Bucketing Class Reference

#include <qle/models/hullwhitebucketing.hpp>

Inheritance diagram for Bucketing:

Collaboration diagram for Bucketing:

Public Member Functions
template<class I >
	Bucketing (I bucketsBegin, I bucketsEnd)
	Bucketing (const Real lowerBound, const Real upperBound, const Size n)
const std::vector< Real > &	upperBucketBound () const
Size	index (const Real x) const
Size	buckets () const

Protected Member Functions
void	initBuckets ()

Protected Attributes
std::vector< Real >	buckets_
bool	uniformBuckets_ = false
Real	lowerBound_
Real	upperBound_
Real	h_

Detailed Description

Definition at line 33 of file hullwhitebucketing.hpp.

Constructor & Destructor Documentation

Bucketing() [1/2]

Bucketing	(	I	bucketsBegin,
		I	bucketsEnd
	)

buckets are (-QL_MAX_REAL, b1), [b1, b2), [b2,b3), ... , [b_{n-1}, b_n), [b_n, +QL_MAX_REAL)

Definition at line 77 of file hullwhitebucketing.hpp.

                                                                    : buckets_(bucketsBegin, bucketsEnd) {
    initBuckets();
}

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Bucketing() [2/2]

Bucketing	(	const Real	lowerBound,
		const Real	upperBound,
		const Size	n
	)

there are n+2 buckets constructed, lb = lower bound, ub = upper bound, h = (ub - lb) / n buckets are (-QL_MAX_REAL, lb), [lb, lb+h), [lb+h, lb+2h), ... , [lb+(n-1)h, ub), [ub,+QL_MAX_REAL)

Definition at line 28 of file hullwhitebucketing.cpp.

                                                                               {
    buckets_.resize(n + 1);
    Real h = (upperBound - lowerBound) / static_cast<Real>(n);
    for (Size i = 0; i <= n; ++i)
        buckets_[i] = lowerBound + static_cast<Real>(i) * h;
    initBuckets();
    uniformBuckets_ = true;
    lowerBound_ = lowerBound;
    upperBound_ = upperBound;
    h_ = h;
}

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Member Function Documentation

upperBucketBound()

const std::vector< Real > & upperBucketBound

(

)

const

Definition at line 40 of file hullwhitebucketing.hpp.

{ return buckets_; }

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index()

Size index

(

const Real

x

)

const

Definition at line 40 of file hullwhitebucketing.cpp.

                                        {
    if (uniformBuckets_) {
        return std::min<Size>(buckets_.size() - 1,
                              std::max(0, static_cast<int>(std::floor((x - lowerBound_) / h_) + 1)));
    } else {
        return std::upper_bound(buckets_.begin(), buckets_.end(), x) - buckets_.begin();
    }
}

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buckets()

Size buckets

(

)

const

Definition at line 42 of file hullwhitebucketing.hpp.

{ return buckets_.size(); }

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initBuckets()

void initBuckets ( )

protected

Definition at line 49 of file hullwhitebucketing.cpp.

                            {
    QL_REQUIRE(!buckets_.empty(), "Bucketing::initBuckets() no buckets given");
    QL_REQUIRE(std::is_sorted(buckets_.begin(), buckets_.end()), "buckets must be sorted");
    if (!close_enough(buckets_.back(), QL_MAX_REAL)) {
        buckets_.insert(buckets_.end(), QL_MAX_REAL);
    }
}

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Member Data Documentation

buckets_

std::vector<Real> buckets_

protected

Definition at line 46 of file hullwhitebucketing.hpp.

uniformBuckets_

bool uniformBuckets_ = false

protected

Definition at line 47 of file hullwhitebucketing.hpp.

lowerBound_

Real lowerBound_

protected

Definition at line 48 of file hullwhitebucketing.hpp.

upperBound_

Real upperBound_

protected

Definition at line 48 of file hullwhitebucketing.hpp.

h_

Real h_

protected

Definition at line 48 of file hullwhitebucketing.hpp.