CirppParametrization< TS > Class Template Reference

CIR++ Parametrization. More...

#include <qle/models/cirppparametrization.hpp>

Inheritance diagram for CirppParametrization< TS >:

Collaboration diagram for CirppParametrization< TS >:

Public Member Functions
	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

Private Attributes
const Handle< TS >	termStructure_
const bool	shifted_

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

Detailed Description

template<class TS>
class QuantExt::CirppParametrization< TS >

CIR++ Parametrization.

Definition at line 37 of file cirppparametrization.hpp.

Constructor & Destructor Documentation

CirppParametrization()

CirppParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		bool	shifted,
		const std::string &	name = std::string()
	)

Definition at line 65 of file cirppparametrization.hpp.

    : Parametrization(currency, name.empty() ? currency.code() : name), termStructure_(termStructure),
      shifted_(shifted) {}

Member Function Documentation

kappa()

virtual Real kappa ( const Time  t ) const

pure virtual

Implemented in CirppConstantParametrization< TS >, and CirppConstantWithFellerParametrization< TS >.

theta()

virtual Real theta ( const Time  t ) const

pure virtual

Implemented in CirppConstantParametrization< TS >, and CirppConstantWithFellerParametrization< TS >.

sigma()

virtual Real sigma ( const Time  t ) const

pure virtual

Implemented in CirppConstantParametrization< TS >, and CirppConstantWithFellerParametrization< TS >.

y0()

virtual Real y0 ( const Time  t ) const

pure virtual

Implemented in CirppConstantParametrization< TS >, and CirppConstantWithFellerParametrization< TS >.

termStructure()

const Handle< TS > termStructure

Definition at line 57 of file cirppparametrization.hpp.

{ return termStructure_; }

shifted()

const bool shifted

Definition at line 58 of file cirppparametrization.hpp.

{ return shifted_; }

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.

Definition at line 50 of file cirppparametrization.hpp.

{ return 4; }

Member Data Documentation

termStructure_

const Handle<TS> termStructure_

private

Definition at line 53 of file cirppparametrization.hpp.

shifted_

const bool shifted_

private

Definition at line 54 of file cirppparametrization.hpp.