Hull White Model Parameters. More...

#include <ored/model/irhwmodeldata.hpp>

Inheritance diagram for HwModelData:

Collaboration diagram for HwModelData:

Public Member Functions
	HwModelData ()
	Default constructor. More...

	HwModelData (std::string qualifier, CalibrationType calibrationType, bool calibrateKappa, ParamType kappaType, std::vector< Time > kappaTimes, std::vector< QuantLib::Array > kappaValues, bool calibrateSigma, ParamType sigmaType, std::vector< Time > sigmaTimes, std::vector< QuantLib::Matrix > sigmaValues, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor. More...

void	clear () override
	Clear list of calibration instruments. More...

void	reset () override
	Reset member variables to defaults. More...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Setters/Getters
bool &	calibrateKappa ()

ParamType &	kappaType ()

std::vector< Time > &	kappaTimes ()

std::vector< Array > &	kappaValues ()

bool &	calibrateSigma ()

ParamType &	sigmaType ()

std::vector< Time > &	sigmaTimes ()

std::vector< QuantLib::Matrix > &	sigmaValues ()

std::vector< std::string > &	optionExpiries ()

std::vector< std::string > &	optionTerms ()

std::vector< std::string > &	optionStrikes ()

Public Member Functions inherited from IrModelData
	IrModelData (const std::string &name)
	minimal constructor More...

	IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType)
	Detailed constructor. More...

virtual void	clear ()
	Clear list of calibration instruments. More...

virtual void	reset ()
	Reset member variables to defaults. More...

const std::string &	name ()

std::string &	qualifier ()

CalibrationType &	calibrationType ()

virtual std::string	ccy () const

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Operators
bool	calibrateKappa_

ParamType	kappaType_

std::vector< Time >	kappaTimes_

std::vector< QuantLib::Array >	kappaValues_

bool	calibrateSigma_

ParamType	sigmaType_

std::vector< Time >	sigmaTimes_

std::vector< QuantLib::Matrix >	sigmaValues_

std::vector< std::string >	optionExpiries_

std::vector< std::string >	optionTerms_

std::vector< std::string >	optionStrikes_

bool	operator== (const HwModelData &rhs)

bool	operator!= (const HwModelData &rhs)

Additional Inherited Members
Protected Attributes inherited from IrModelData
std::string	name_

std::string	qualifier_

CalibrationType	calibrationType_

Detailed Description

Hull White Model Parameters.

This class contains the description of a Hull White interest rate model and instructions for how to calibrate it.

Definition at line 48 of file irhwmodeldata.hpp.

Constructor & Destructor Documentation

◆ HwModelData() [1/2]

HwModelData ( )

Default constructor.

Definition at line 51 of file irhwmodeldata.hpp.

52 : IrModelData("HwModel", "", CalibrationType::None), calibrateKappa_(false), kappaType_(ParamType::Constant),

53 calibrateSigma_(false), sigmaType_(ParamType::Constant) {}

ore::data::HwModelData::calibrateSigma_

bool calibrateSigma_

Definition: irhwmodeldata.hpp:106

ore::data::HwModelData::sigmaType_

ParamType sigmaType_

Definition: irhwmodeldata.hpp:107

ore::data::HwModelData::kappaType_

ParamType kappaType_

Definition: irhwmodeldata.hpp:102

ore::data::HwModelData::calibrateKappa_

bool calibrateKappa_

Definition: irhwmodeldata.hpp:101

ore::data::IrModelData::IrModelData

IrModelData(const std::string &name)

minimal constructor

Definition: irmodeldata.hpp:91

ore::data::CalibrationType::None

@ None

ore::data::ParamType::Constant

@ Constant

◆ HwModelData() [2/2]

HwModelData	(	std::string	qualifier,
		CalibrationType	calibrationType,
		bool	calibrateKappa,
		ParamType	kappaType,
		std::vector< Time >	kappaTimes,
		std::vector< QuantLib::Array >	kappaValues,
		bool	calibrateSigma,
		ParamType	sigmaType,
		std::vector< Time >	sigmaTimes,
		std::vector< QuantLib::Matrix >	sigmaValues,
		std::vector< std::string >	optionExpiries = `std::vector<std::string>()`,
		std::vector< std::string >	optionTerms = `std::vector<std::string>()`,
		std::vector< std::string >	optionStrikes = `std::vector<std::string>()`
	)

Detailed constructor.

Definition at line 56 of file irhwmodeldata.hpp.

        : IrModelData("HwModel", qualifier, calibrationType), calibrateKappa_(calibrateKappa), kappaType_(kappaType),
          kappaTimes_(kappaTimes), kappaValues_(kappaValues), calibrateSigma_(calibrateSigma), sigmaType_(sigmaType),
          sigmaTimes_(sigmaTimes), sigmaValues_(sigmaValues), optionExpiries_(optionExpiries),
          optionTerms_(optionTerms), optionStrikes_(optionStrikes) {}

Member Function Documentation

◆ clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

Definition at line 47 of file irhwmodeldata.cpp.

                        {
    optionExpiries_.clear();
    optionTerms_.clear();
    optionStrikes_.clear();
}

◆ reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.

Definition at line 53 of file irhwmodeldata.cpp.

                        {
    IrModelData::reset();
    calibrationType_ = CalibrationType::None;
    calibrateKappa_ = false;
    kappaType_ = ParamType::Constant;
    kappaTimes_ = {};
    kappaValues_ = {Array(1, 0.01)};
    calibrateSigma_ = false;
    sigmaType_ = ParamType::Constant;
    sigmaTimes_ = {};
    sigmaValues_ = {Matrix(1, 1, 0.03)};
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from IrModelData.

Definition at line 66 of file irhwmodeldata.cpp.

                                       {
 
    qualifier_ = XMLUtils::getAttribute(node, "key");
    if (qualifier_.empty()) {
        std::string ccy = XMLUtils::getAttribute(node, "ccy");
        if (!ccy.empty()) {
            qualifier_ = ccy;
            WLOG("HwModelData: attribute ccy is deprecated, use key instead.");
        }
    }
    LOG("HwModelData with attribute (key) = " << qualifier_);
 
    // Mean reversion config
 
    XMLNode* reversionNode = XMLUtils::getChildNode(node, "Reversion");
 
    calibrateKappa_ = XMLUtils::getChildValueAsBool(reversionNode, "Calibrate", true);
    LOG("Hull White mean reversion calibrate = " << calibrateKappa_);
    QL_REQUIRE(!calibrateKappa_, "Calibration of kappa not supported yet");
 
    std::string kappaCalibrationString = XMLUtils::getChildValue(reversionNode, "ParamType", true);
    kappaType_ = parseParamType(kappaCalibrationString);
    LOG("Hull White Kappa param type = " << kappaCalibrationString);
    QL_REQUIRE(kappaType_ == ParamType::Constant, "Only constant mean reversion supported at the moment");
 
    kappaTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(reversionNode, "TimeGrid", true);
    LOG("Hull White Reversion time grid size = " << kappaTimes_.size());
 
    XMLNode* initialValuesNode = XMLUtils::getChildNode(reversionNode, "InitialValue");
    for (XMLNode* child = XMLUtils::getChildNode(initialValuesNode, "Kappa"); child;
         child = XMLUtils::getNextSibling(child, "Kappa")) {
        auto kappa_t = XMLUtils::getNodeValueAsDoublesCompact(child);
        kappaValues_.push_back(Array(kappa_t.begin(), kappa_t.end()));
    }
 
    QL_REQUIRE(!kappaValues_.empty(), "No initial mean reversion values given");
    size_t nFactors = kappaValues_.front().size();
    for (size_t i = 1; i < kappaValues_.size(); ++i) {
        QL_REQUIRE(nFactors == kappaValues_[i].size(), "expect " << nFactors << " factors but got "
                                                                 << kappaValues_[i].size() << " at time "
                                                                 << kappaTimes_[i]);
    }
 
    // Volatility config
 
    XMLNode* volatilityNode = XMLUtils::getChildNode(node, "Volatility");
 
    calibrateSigma_ = XMLUtils::getChildValueAsBool(volatilityNode, "Calibrate", true);
    LOG("Hull White volatility calibrate = " << calibrateSigma_);
    QL_REQUIRE(!calibrateSigma_, "Calibration of kappa not supported yet");
 
    std::string sigmaParameterTypeString = XMLUtils::getChildValue(volatilityNode, "ParamType", true);
    sigmaType_ = parseParamType(sigmaParameterTypeString);
    LOG("Hull White Volatility param type = " << sigmaParameterTypeString);
    QL_REQUIRE(sigmaType_ == ParamType::Constant, "Only constant constant supported at the moment");
 
    sigmaTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(volatilityNode, "TimeGrid", true);
    LOG("Hull White volatility time grid size = " << sigmaTimes_.size());
 
    XMLNode* initialSigmasNode = XMLUtils::getChildNode(volatilityNode, "InitialValue");
    for (XMLNode* sigmaNode = XMLUtils::getChildNode(initialSigmasNode, "Sigma"); sigmaNode;
         sigmaNode = XMLUtils::getNextSibling(sigmaNode, "Sigma")) {
        std::vector<std::vector<double>> matrix;
        for (XMLNode* rowNode = XMLUtils::getChildNode(sigmaNode, "Row"); rowNode;
             rowNode = XMLUtils::getNextSibling(rowNode, "Row")) {
            matrix.push_back(XMLUtils::getNodeValueAsDoublesCompact(rowNode));
            QL_REQUIRE(matrix.back().size() == nFactors, "Mismatch between kappa and sigma");
        }
        QL_REQUIRE(!matrix.empty(), "Sigma not provided");
        QL_REQUIRE(!matrix.front().empty(), "Sigma not provided");
        Matrix sigma(matrix.size(), matrix.front().size(), 0.0);
        for (size_t i = 0; i < matrix.size(); ++i) {
            for (size_t j = 0; j < nFactors; ++j)
                sigma[i][j] = matrix[i][j];
        }
        sigmaValues_.push_back(sigma);
    }
 
    QL_REQUIRE(!sigmaValues_.empty(), "need at least one sigma matrix");
    size_t m_brownians = sigmaValues_.front().rows();
    for (size_t i = 0; i < sigmaValues_.size(); ++i) {
        QL_REQUIRE(sigmaValues_[i].rows() == m_brownians, "all sigma matrixes need to have the same row dimension");
    }
 
    IrModelData::fromXML(node);
    LOG("HwModelData done");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from IrModelData.

Definition at line 154 of file irhwmodeldata.cpp.

                                                  {
 
    XMLNode* hwModelNode = IrModelData::toXML(doc);
    // reversion
    XMLNode* reversionNode = XMLUtils::addChild(doc, hwModelNode, "Reversion");
    XMLUtils::addChild(doc, reversionNode, "Calibrate", calibrateKappa_);
    XMLUtils::addGenericChild(doc, reversionNode, "ParamType", kappaType_);
    XMLUtils::addGenericChildAsList(doc, reversionNode, "TimeGrid", kappaTimes_);
 
    auto kappaNode = XMLUtils::addChild(doc, reversionNode, "InitialValue");
    for (const auto& kappa : kappaValues_) {
        std::ostringstream oss;
        if (kappa.size() == 0) {
            oss << "";
        } else {
            oss << kappa[0];
            for (Size i = 1; i < kappa.size(); i++) {
                oss << ", " << kappa[i];
            }
        }
        XMLUtils::addChild(doc, kappaNode, "Kappa", oss.str());
    }
    // volatility
    XMLNode* volatilityNode = XMLUtils::addChild(doc, hwModelNode, "Volatility");
    XMLUtils::addChild(doc, volatilityNode, "Calibrate", calibrateSigma_);
 
    XMLUtils::addGenericChild(doc, volatilityNode, "ParamType", sigmaType_);
    XMLUtils::addGenericChildAsList(doc, volatilityNode, "TimeGrid", sigmaTimes_);
 
    auto sigmaValues = XMLUtils::addChild(doc, reversionNode, "InitialValue");
    for (const auto& sigma : sigmaValues_) {
        auto sigmaNode = XMLUtils::addChild(doc, sigmaValues, "Sigma");
        for (size_t row = 0; row < sigma.rows(); ++row) {
            std::ostringstream oss;
            if (sigma.columns() == 0) {
                oss << "";
            } else {
                oss << sigma[row][0];
                for (Size col = 0; col < sigma.columns(); col++) {
                    oss << ", " << sigma[row][col];
                }
            }
            XMLUtils::addChild(doc, sigmaNode, "Row", oss.str());
        }
    }
    return hwModelNode;
}

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◆ calibrateKappa()

bool & calibrateKappa ( )

Definition at line 81 of file irhwmodeldata.hpp.

81{ return calibrateKappa_; }

◆ kappaType()

ParamType & kappaType ( )

Definition at line 82 of file irhwmodeldata.hpp.

82{ return kappaType_; }

◆ kappaTimes()

std::vector< Time > & kappaTimes ( )

Definition at line 83 of file irhwmodeldata.hpp.

83{ return kappaTimes_; }

◆ kappaValues()

std::vector< Array > & kappaValues ( )

Definition at line 84 of file irhwmodeldata.hpp.

84{ return kappaValues_; }

◆ calibrateSigma()

bool & calibrateSigma ( )

Definition at line 85 of file irhwmodeldata.hpp.

85{ return calibrateSigma_; }

◆ sigmaType()

ParamType & sigmaType ( )

Definition at line 86 of file irhwmodeldata.hpp.

86{ return sigmaType_; }

◆ sigmaTimes()

std::vector< Time > & sigmaTimes ( )

Definition at line 87 of file irhwmodeldata.hpp.

87{ return sigmaTimes_; }

◆ sigmaValues()

std::vector< QuantLib::Matrix > & sigmaValues ( )

Definition at line 88 of file irhwmodeldata.hpp.

88{ return sigmaValues_; }

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◆ optionExpiries()

std::vector< std::string > & optionExpiries ( )

Definition at line 89 of file irhwmodeldata.hpp.

89{ return optionExpiries_; }

◆ optionTerms()

std::vector< std::string > & optionTerms ( )

Definition at line 90 of file irhwmodeldata.hpp.

90{ return optionTerms_; }

◆ optionStrikes()

std::vector< std::string > & optionStrikes ( )

Definition at line 91 of file irhwmodeldata.hpp.

91{ return optionStrikes_; }

◆ operator==()

bool operator== ( const HwModelData & rhs )

Definition at line 34 of file irhwmodeldata.cpp.

                                                   {
 
    if (qualifier_ != rhs.qualifier_ || calibrationType_ != rhs.calibrationType_ ||
        calibrateKappa_ != rhs.calibrateKappa_ || kappaType_ != rhs.kappaType_ || kappaTimes_ != rhs.kappaTimes_ ||
        kappaValues_ != rhs.kappaValues_ || calibrateSigma_ != rhs.calibrateSigma_ || sigmaType_ != rhs.sigmaType_ ||
        sigmaTimes_ != rhs.sigmaTimes_ || sigmaValues_ != rhs.sigmaValues_) {
        return false;
    }
    return true;
}

◆ operator!=()

bool operator!= ( const HwModelData & rhs )

Definition at line 45 of file irhwmodeldata.cpp.

45{ return !(*this == rhs); }

Member Data Documentation

◆ calibrateKappa_

bool calibrateKappa_

private

Definition at line 101 of file irhwmodeldata.hpp.

◆ kappaType_

ParamType kappaType_

private

Definition at line 102 of file irhwmodeldata.hpp.

◆ kappaTimes_

std::vector<Time> kappaTimes_

private

Definition at line 103 of file irhwmodeldata.hpp.

◆ kappaValues_

std::vector<QuantLib::Array> kappaValues_

private

Definition at line 104 of file irhwmodeldata.hpp.

◆ calibrateSigma_

bool calibrateSigma_

private

Definition at line 106 of file irhwmodeldata.hpp.

◆ sigmaType_

ParamType sigmaType_

private

Definition at line 107 of file irhwmodeldata.hpp.

◆ sigmaTimes_

std::vector<Time> sigmaTimes_

private

Definition at line 108 of file irhwmodeldata.hpp.

◆ sigmaValues_

std::vector<QuantLib::Matrix> sigmaValues_

private

Definition at line 109 of file irhwmodeldata.hpp.

◆ optionExpiries_

std::vector<std::string> optionExpiries_

private

Definition at line 110 of file irhwmodeldata.hpp.

◆ optionTerms_

std::vector<std::string> optionTerms_

private

Definition at line 111 of file irhwmodeldata.hpp.

◆ optionStrikes_

std::vector<std::string> optionStrikes_

private

Definition at line 112 of file irhwmodeldata.hpp.

Public Member Functions

Operators

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ HwModelData() [1/2]

◆ HwModelData() [2/2]

Member Function Documentation

◆ clear()

◆ reset()

◆ fromXML()

◆ toXML()

◆ calibrateKappa()

◆ kappaType()

◆ kappaTimes()

◆ kappaValues()

◆ calibrateSigma()

◆ sigmaType()

◆ sigmaTimes()

◆ sigmaValues()

◆ optionExpiries()

◆ optionTerms()

◆ optionStrikes()

◆ operator==()

◆ operator!=()

Member Data Documentation

◆ calibrateKappa_

◆ kappaType_

◆ kappaTimes_

◆ kappaValues_

◆ calibrateSigma_

◆ sigmaType_

◆ sigmaTimes_

◆ sigmaValues_

◆ optionExpiries_

◆ optionTerms_

◆ optionStrikes_