CirppConstantParametrization< TS > Class Template Reference

CIR++ Constant Parametrization. More...

#include <qle/models/cirppconstantparametrization.hpp>

Inheritance diagram for CirppConstantParametrization< TS >:

Collaboration diagram for CirppConstantParametrization< TS >:

Public Member Functions
	CirppConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real kappa, const Real theta, const Real sigma, const Real y0, const bool shifted, const std::string &name=std::string())
Real	kappa (const Time t) const
Real	theta (const Time t) const
Real	sigma (const Time t) const
Real	y0 (const Time t) const
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
Public Member Functions inherited from CirppParametrization< TS >
	CirppParametrization (const Currency &currency, const Handle< TS > &termStructure, bool shifted, const std::string &name=std::string())
virtual Real	kappa (const Time t) const =0
virtual Real	theta (const Time t) const =0
virtual Real	sigma (const Time t) const =0
virtual Real	y0 (const Time t) const =0
const Handle< TS >	termStructure () const
const bool	shifted () const
Size	numberOfParameters () const override
Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, const std::string &name="")
virtual	~Parametrization ()
virtual const Currency &	currency () const
virtual const Array &	parameterTimes (const Size) const
virtual Size	numberOfParameters () const
virtual Array	parameterValues (const Size) const
virtual const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () const
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

Protected Member Functions
Real	direct (const Size i, const Real x) const
Real	inverse (const Size j, const Real y) const
Protected Member Functions inherited from Parametrization
Time	tr (const Time t) const
Time	tl (const Time t) const
Time	tr2 (const Time t) const
Time	tm2 (const Time t) const
Time	tl2 (const Time t) const

Private Attributes
const QuantLib::ext::shared_ptr< PseudoParameter >	kappa_
const QuantLib::ext::shared_ptr< PseudoParameter >	theta_
const QuantLib::ext::shared_ptr< PseudoParameter >	sigma_
const QuantLib::ext::shared_ptr< PseudoParameter >	y0_

Additional Inherited Members
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::CirppConstantParametrization< TS >

CIR++ Constant Parametrization.

Definition at line 36 of file cirppconstantparametrization.hpp.

Constructor & Destructor Documentation

CirppConstantParametrization()

CirppConstantParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Real	kappa,
		const Real	theta,
		const Real	sigma,
		const Real	y0,
		const bool	shifted,
		const std::string &	name = std::string()
	)

Definition at line 60 of file cirppconstantparametrization.hpp.

    : CirppParametrization<TS>(currency, termStructure, shifted, name),
      kappa_(QuantLib::ext::make_shared<PseudoParameter>(1)),
      theta_(QuantLib::ext::make_shared<PseudoParameter>(1)), sigma_(QuantLib::ext::make_shared<PseudoParameter>(1)),
      y0_(QuantLib::ext::make_shared<PseudoParameter>(1)) {
    kappa_->setParam(0, inverse(0, kappa));
    theta_->setParam(0, inverse(1, theta));
    sigma_->setParam(0, inverse(2, sigma));
    y0_->setParam(0, inverse(3, y0));
}

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Member Function Documentation

kappa()

Real kappa ( const Time  t ) const

virtual

Implements CirppParametrization< TS >.

Definition at line 86 of file cirppconstantparametrization.hpp.

                                                                                        {
    return direct(0, kappa_->params()[0]);
}

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theta()

Real theta ( const Time  t ) const

virtual

Implements CirppParametrization< TS >.

Definition at line 90 of file cirppconstantparametrization.hpp.

                                                                                        {
    return direct(1, theta_->params()[0]);
}

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sigma()

Real sigma ( const Time  t ) const

virtual

Implements CirppParametrization< TS >.

Definition at line 94 of file cirppconstantparametrization.hpp.

                                                                                        {
    return direct(2, sigma_->params()[0]);
}

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y0()

Real y0 ( const Time  t ) const

virtual

Implements CirppParametrization< TS >.

Definition at line 98 of file cirppconstantparametrization.hpp.

                                                                                     {
    return direct(3, y0_->params()[0]);
}

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parameter()

const QuantLib::ext::shared_ptr< Parameter > parameter ( const Size  Size ) const

virtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

Definition at line 103 of file cirppconstantparametrization.hpp.

                                                                                                            {
    QL_REQUIRE(i < 4, "parameter " << i << " does not exist, only have 0..3");
    if (i == 0)
        return kappa_;
    else if (i == 1)
        return theta_;
    else if (i == 2)
        return sigma_;
    else
        return y0_;
}

direct()

Real direct ( const Size  Size, const Real  x  ) const

protectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 76 of file cirppconstantparametrization.hpp.

                                                                                                         {
    constexpr Real eps = 1E-10;
    return x * x + eps;
}

inverse()

Real inverse ( const Size  j, const Real  y  ) const

protectedvirtual

Reimplemented from Parametrization.

Definition at line 81 of file cirppconstantparametrization.hpp.

                                                                                                          {
    constexpr Real eps = 1E-10;
    return std::sqrt(y - eps);
}

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Member Data Documentation

kappa_

const QuantLib::ext::shared_ptr<PseudoParameter> kappa_

private

Definition at line 54 of file cirppconstantparametrization.hpp.

theta_

const QuantLib::ext::shared_ptr<PseudoParameter> theta_

private

Definition at line 54 of file cirppconstantparametrization.hpp.

sigma_

const QuantLib::ext::shared_ptr<PseudoParameter> sigma_

private

Definition at line 54 of file cirppconstantparametrization.hpp.

y0_

const QuantLib::ext::shared_ptr<PseudoParameter> y0_

private

Definition at line 54 of file cirppconstantparametrization.hpp.