#include <qle/models/cirppconstantfellerparametrization.hpp>

Inheritance diagram for CirppConstantWithFellerParametrization< TS >:

Collaboration diagram for CirppConstantWithFellerParametrization< TS >:

Public Member Functions
	CirppConstantWithFellerParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real kappa, const Real theta, const Real sigma, const Real y0, const bool shifted, bool relaxed=false, const Real fellerFactor=2.0, const std::string &name=std::string())

Real	kappa (const Time t) const override

Real	theta (const Time t) const override

Real	sigma (const Time t) const override

Real	y0 (const Time t) const override

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

const bool	relaxed () 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 override

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

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_

bool	relaxed_

const Real	fellerFactor_

Additional Inherited Members
Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Detailed Description

template<class TS>
class QuantExt::CirppConstantWithFellerParametrization< TS >

CIR++ Constant Parametrization.

Definition at line 36 of file cirppconstantfellerparametrization.hpp.

Constructor & Destructor Documentation

◆ CirppConstantWithFellerParametrization()

CirppConstantWithFellerParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Real	kappa,
		const Real	theta,
		const Real	sigma,
		const Real	y0,
		const bool	shifted,
		bool	relaxed = `false`,
		const Real	fellerFactor = `2.0`,
		const std::string &	name = `std::string()`
	)

Definition at line 67 of file cirppconstantfellerparametrization.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)), relaxed_(relaxed), fellerFactor_(fellerFactor) {
    QL_REQUIRE((relaxed_ ? 4.0 : 2.0) * kappa * theta > sigma * sigma,
               "CirppConstantWithFellerParametrization: Feller constraint violated (kappa="
                   << kappa << ", theta=" << theta << ", sigma=" << sigma << " (relaxed=" << std::boolalpha << relaxed_
                   << ")");
    QL_REQUIRE(fellerFactor_ > 1.0, "CirppConstantWithFellerParametrization: Feller factor ("
                                        << fellerFactor_ << ") should be greater than 1.0");
    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

overridevirtual

Implements CirppParametrization< TS >.

Definition at line 124 of file cirppconstantfellerparametrization.hpp.

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

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◆ theta()

Real theta ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

Definition at line 128 of file cirppconstantfellerparametrization.hpp.

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

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◆ sigma()

Real sigma ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

Definition at line 132 of file cirppconstantfellerparametrization.hpp.

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

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◆ y0()

Real y0 ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

Definition at line 136 of file cirppconstantfellerparametrization.hpp.

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

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◆ parameter()

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

overridevirtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

Definition at line 146 of file cirppconstantfellerparametrization.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_;
}

◆ relaxed()

const bool relaxed

Definition at line 140 of file cirppconstantfellerparametrization.hpp.

                                                                                                {
    return relaxed_;
}

◆ direct()

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

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 87 of file cirppconstantfellerparametrization.hpp.

                                                                                               {
    constexpr Real eps = 1E-10;
    switch (i) {
    case 0:
    case 1:
    case 3:
        return x * x + eps;
    case 2: {
        const Real fellerBound =
            std::sqrt((relaxed_ ? 4.0 : 2.0) * direct(0, kappa_->params()[0]) * direct(1, theta_->params()[0]));
        // return fellerBound * (std::atan(x) + M_PI_2 + eps) / (M_PI - 2.0 * eps); // "free sigma"
        return fellerBound / std::sqrt(fellerFactor_); // tie sigma to kappa/theta on feller boundary
    }
    default:
        QL_FAIL("Index is not defined!");
    }
}

◆ inverse()

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

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 106 of file cirppconstantfellerparametrization.hpp.

                                                                                                {
    constexpr Real eps = 1E-10;
    switch (i) {
    case 0:
    case 1:
    case 3:
        return std::sqrt(y - eps);
    case 2: {
        const Real fellerBound =
            std::sqrt((relaxed_ ? 4.0 : 2.0) * direct(0, kappa_->params()[0]) * direct(1, theta_->params()[0]));
        // return std::tan(y / fellerBound * (M_PI - 2.0 * eps) - M_PI_2 - eps); // see above
        return fellerBound / std::sqrt(fellerFactor_); // see above
    }
    default:
        QL_FAIL("Index is not defined!");
    }
}

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Member Data Documentation

◆ kappa_

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

private

Definition at line 59 of file cirppconstantfellerparametrization.hpp.

◆ theta_

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

private

Definition at line 59 of file cirppconstantfellerparametrization.hpp.

◆ sigma_

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

private

Definition at line 59 of file cirppconstantfellerparametrization.hpp.

◆ y0_

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

private

Definition at line 59 of file cirppconstantfellerparametrization.hpp.

◆ relaxed_

bool relaxed_

private

Definition at line 60 of file cirppconstantfellerparametrization.hpp.

◆ fellerFactor_

const Real fellerFactor_

private

Definition at line 61 of file cirppconstantfellerparametrization.hpp.

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CirppConstantWithFellerParametrization()

Member Function Documentation

◆ kappa()

◆ theta()

◆ sigma()

◆ y0()

◆ parameter()

◆ relaxed()

◆ direct()

◆ inverse()

Member Data Documentation

◆ kappa_

◆ theta_

◆ sigma_

◆ y0_

◆ relaxed_

◆ fellerFactor_