#include <qle/models/commodityschwartzmodel.hpp>

Inheritance diagram for CommoditySchwartzModel:

Collaboration diagram for CommoditySchwartzModel:

Public Types
enum class	Discretization { Euler , Exact }

Public Member Functions
	CommoditySchwartzModel (const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > &parametrization, const Discretization discretization=Discretization::Euler)

const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const override

Handle< PriceTermStructure >	termStructure () const override

const Currency &	currency () const override

Size	n () const override

Size	m () const override

QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const override

QuantLib::Real	forwardPrice (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >()) const override

const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization >	parametrization () const
	Schwartz model specific methods. More...

void	update () override
	observer and linked calibrated model interface More...

void	generateArguments () override

virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0

virtual Handle< PriceTermStructure >	termStructure () const =0

virtual const Currency &	currency () const =0

virtual Size	n () const =0

virtual Size	m () const =0

virtual QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const =0

virtual QuantLib::Real	forwardPrice (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >()) const =0

Public Member Functions inherited from LinkableCalibratedModel
	LinkableCalibratedModel ()

void	update () override

virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...

virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	for backward compatibility More...

Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &)

Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility More...

const QuantLib::ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

virtual void	setParam (Size idx, const Real value)

Private Attributes
QuantLib::ext::shared_ptr< CommoditySchwartzParametrization >	parametrization_

Discretization	discretization_

QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess_

Additional Inherited Members
virtual void	generateArguments ()

Protected Attributes inherited from LinkableCalibratedModel
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_

QuantLib::ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	endCriteria_

Array	problemValues_

Detailed Description

Schwartz (1997) one-factor model of the commodity price termstructure with two constant parameters, sigma and kappa

Price curve dynamics (Martingale) dF(t,T) / F(t,T) = sigma * exp(-kappa * (T-t)) * dW

Model-implied price curve: F(t,T) = F(0,T) * exp{ X(t) * exp(-kappa*(T-t))) - 1/2 * (V(0,T)-V(t,T)) }, with
V(t,T) = sigma^2 * (1 - exp(-2*kappa*(T-t))) / (2*kappa), and dX(t) = -kappa * X(t) * dt + sigma * dW(t), X(0) = 0

In terms of drift-free state variable Y(t) = exp(kappa*t) * X(t): F(t,T) = F(0,T) * exp{ Y(t) * exp(-kappa*T)) - 1/2 * (V(0,T)-V(t,T)) }, dY(t) = sigma * exp(kappa * t) dW(t), Y(0) = 0

Definition at line 52 of file commodityschwartzmodel.hpp.

Member Enumeration Documentation

◆ Discretization

enum class Discretization

strong

Enumerator
Euler
Exact

Definition at line 54 of file commodityschwartzmodel.hpp.

54{ Euler, Exact };

QuantExt::CommoditySchwartzModel::Discretization::Euler

@ Euler

QuantExt::CommoditySchwartzModel::Discretization::Exact

@ Exact

Constructor & Destructor Documentation

◆ CommoditySchwartzModel()

CommoditySchwartzModel	(	const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > &	parametrization,
		const Discretization	discretization = `Discretization::Euler`
	)

Definition at line 24 of file commodityschwartzmodel.cpp.

    : parametrization_(parametrization), discretization_(discretization) {
    QL_REQUIRE(parametrization_ != nullptr, "CommoditySchwartzModel: parametrization is null");
    arguments_.resize(2);
    arguments_[0] = parametrization_->parameter(0);
    arguments_[1] = parametrization_->parameter(1);
    stateProcess_ = QuantLib::ext::make_shared<CommoditySchwartzStateProcess>(parametrization_, discretization_);
}

Member Function Documentation

◆ parametrizationBase()

const QuantLib::ext::shared_ptr< Parametrization > parametrizationBase ( ) const

overridevirtual

parametrization (as base class)

Implements CommodityModel.

Definition at line 61 of file commodityschwartzmodel.hpp.

61{ return parametrization_; }

◆ termStructure()

Handle< PriceTermStructure > termStructure ( ) const

overridevirtual

price term structure to which the model is (initially) calibrated

Implements CommodityModel.

Definition at line 63 of file commodityschwartzmodel.hpp.

63{ return parametrization_->priceCurve(); }

◆ currency()

const Currency & currency ( ) const

overridevirtual

currency of the commodity

Implements CommodityModel.

Definition at line 65 of file commodityschwartzmodel.hpp.

65{ return parametrization_->currency(); }

◆ n()

Size n ( ) const

overridevirtual

dimension of model state

Implements CommodityModel.

Definition at line 67 of file commodityschwartzmodel.hpp.

67{ return 1; }

◆ m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements CommodityModel.

Definition at line 68 of file commodityschwartzmodel.hpp.

68{ return 1; }

◆ stateProcess()

QuantLib::ext::shared_ptr< StochasticProcess > stateProcess ( ) const

overridevirtual

stochastic process, this has dimension n() and m() Brownian drivers

Implements CommodityModel.

Definition at line 70 of file commodityschwartzmodel.hpp.

70{ return stateProcess_; }

◆ forwardPrice()

QuantLib::Real forwardPrice	(	const QuantLib::Time	t,
		const QuantLib::Time	T,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantExt::PriceTermStructure > &	priceCurve = `QuantLib::Handle< QuantExt::PriceTermStructure >()`
	)		const

overridevirtual

stochastic forward price curve F(t,T) at future time t depending on state (of dimension n())

Implements CommodityModel.

Definition at line 34 of file commodityschwartzmodel.cpp.

                                                                                                                        {
    QL_REQUIRE(T >= t && t >= 0.0, "T(" << T << ") >= t(" << t << ") >= 0 required in CommoditySchwartzModel::forwardPrice");
    Real f0T = priceCurve.empty() ? parametrization_->priceCurve()->price(T) : priceCurve->price(T);
    Real VtT = parametrization_->VtT(t, T);
    Real V0T = parametrization_->VtT(0, T);
    Real k = parametrization_->kappaParameter();
    if (parametrization_->driftFreeState())
        return f0T * std::exp(-state[0] * std::exp(-k*T) - 0.5 * (V0T - VtT));
    else
        return f0T * std::exp(-state[0] * std::exp(-k*(T-t)) - 0.5 * (V0T - VtT));
}

◆ parametrization()

const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > parametrization ( ) const

Schwartz model specific methods.

Definition at line 77 of file commodityschwartzmodel.hpp.

77{ return parametrization_; }

◆ update()

void update ( )

override

observer and linked calibrated model interface

Definition at line 47 of file commodityschwartzmodel.cpp.

                                    {
    parametrization_->update();
    notifyObservers();
}

Here is the caller graph for this function:

◆ generateArguments()

void generateArguments ( )

overridevirtual

Reimplemented from LinkableCalibratedModel.

Definition at line 52 of file commodityschwartzmodel.cpp.

52{ update(); }

QuantExt::CommoditySchwartzModel::update

void update() override

observer and linked calibrated model interface

Definition: commodityschwartzmodel.cpp:47

Here is the call graph for this function:

Member Data Documentation

◆ parametrization_

QuantLib::ext::shared_ptr<CommoditySchwartzParametrization> parametrization_

private

Definition at line 84 of file commodityschwartzmodel.hpp.

◆ discretization_

Discretization discretization_

private

Definition at line 85 of file commodityschwartzmodel.hpp.

◆ stateProcess_

QuantLib::ext::shared_ptr<StochasticProcess> stateProcess_

private

Definition at line 86 of file commodityschwartzmodel.hpp.

Public Types

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Discretization

Constructor & Destructor Documentation

◆ CommoditySchwartzModel()

Member Function Documentation

◆ parametrizationBase()

◆ termStructure()

◆ currency()

◆ n()

◆ m()

◆ stateProcess()

◆ forwardPrice()

◆ parametrization()

◆ update()

◆ generateArguments()

Member Data Documentation

◆ parametrization_

◆ discretization_

◆ stateProcess_