EQ Black Scholes constant parametrization. More...

#include <qle/models/eqbspiecewiseconstantparametrization.hpp>

Inheritance diagram for EqBsPiecewiseConstantParametrization:

Collaboration diagram for EqBsPiecewiseConstantParametrization:

Public Member Functions
	EqBsPiecewiseConstantParametrization (const Currency &currency, const std::string &eqName, const Handle< Quote > &eqSpotToday, const Handle< Quote > &fxSpotToday, const Array &times, const Array &sigma, const Handle< YieldTermStructure > &eqIrCurveToday, const Handle< YieldTermStructure > &eqDivYieldCurveToday)

	EqBsPiecewiseConstantParametrization (const Currency &currency, const std::string &eqName, const Handle< Quote > &eqSpotToday, const Handle< Quote > &fxSpotToday, const std::vector< Date > &dates, const Array &sigma, const Handle< YieldTermStructure > &domesticTermStructure, const Handle< YieldTermStructure > &eqIrCurveToday, const Handle< YieldTermStructure > &eqDivYieldCurveToday)

Real	variance (const Time t) const override

Real	sigma (const Time t) const override

const Array &	parameterTimes (const Size) const override

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

void	update () const override

Public Member Functions inherited from EqBsParametrization
	EqBsParametrization (const Currency &eqCcy, const std::string &eqName, const Handle< Quote > &equitySpotToday, const Handle< Quote > &fxSpotToday, const Handle< YieldTermStructure > &equityIrCurveToday, const Handle< YieldTermStructure > &equityDivYieldCurveToday)

virtual Real	variance (const Time t) const =0

virtual Real	sigma (const Time t) const

virtual Real	stdDeviation (const Time t) const

const Handle< Quote >	eqSpotToday () const

const Handle< Quote >	fxSpotToday () const

const Handle< YieldTermStructure >	equityIrCurveToday () const

const Handle< YieldTermStructure >	equityDivYieldCurveToday () 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 i, 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 Member Functions
void	initialize (const Array &sigma)

Private Member Functions inherited from PiecewiseConstantHelper1
	PiecewiseConstantHelper1 (const Array &t, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper1 (const std::vector< Date > &dates, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

const Array &	t () const

const QuantLib::ext::shared_ptr< Parameter >	p () const

void	update () const

Real	y (const Time t) const

Real	int_y_sqr (const Time t) const
	int_0^t y^2(s) ds More...

Real	direct (const Real x) const

Real	inverse (const Real y) const

Additional Inherited Members
Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Private Attributes inherited from PiecewiseConstantHelper1
const Array	t_

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

Detailed Description

EQ Black Scholes constant parametrization.

EQ Black Scholes parametrization with piecewise constant volatility

Definition at line 36 of file eqbspiecewiseconstantparametrization.hpp.

Constructor & Destructor Documentation

◆ EqBsPiecewiseConstantParametrization() [1/2]

EqBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const std::string &	eqName,
		const Handle< Quote > &	eqSpotToday,
		const Handle< Quote > &	fxSpotToday,
		const Array &	times,
		const Array &	sigma,
		const Handle< YieldTermStructure > &	eqIrCurveToday,
		const Handle< YieldTermStructure > &	eqDivYieldCurveToday
	)

The currency refers to the equity currency, the spots are as of today (i.e. the discounted spot)

Definition at line 23 of file eqbspiecewiseconstantparametrization.cpp.

    : EqBsParametrization(currency, eqName, eqSpotToday, fxSpotToday, eqIrCurveToday, eqDivYieldCurveToday),
      PiecewiseConstantHelper1(times) {
    initialize(sigma);
}

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◆ EqBsPiecewiseConstantParametrization() [2/2]

EqBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const std::string &	eqName,
		const Handle< Quote > &	eqSpotToday,
		const Handle< Quote > &	fxSpotToday,
		const std::vector< Date > &	dates,
		const Array &	sigma,
		const Handle< YieldTermStructure > &	domesticTermStructure,
		const Handle< YieldTermStructure > &	eqIrCurveToday,
		const Handle< YieldTermStructure > &	eqDivYieldCurveToday
	)

The term structure is needed in addition because it it's day counter and reference date is needed to convert dates to times. It should be the term structure of the domestic IR component in the cross asset model, since this is defining the model's date-time conversion in more general terms.

Definition at line 32 of file eqbspiecewiseconstantparametrization.cpp.

    : EqBsParametrization(currency, eqName, eqSpotToday, fxSpotToday, eqIrCurveToday, eqDivYieldCurveToday),
      PiecewiseConstantHelper1(dates, domesticTermStructure) {
    initialize(sigma);
}

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Member Function Documentation

◆ variance()

Real variance ( const Time t ) const

overridevirtual

must satisfy variance(0) = 0.0, variance'(t) >= 0

Implements EqBsParametrization.

Definition at line 81 of file eqbspiecewiseconstantparametrization.hpp.

                                                                             {
    return PiecewiseConstantHelper1::int_y_sqr(t);
}

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◆ sigma()

Real sigma ( const Time t ) const

overridevirtual

is supposed to be positive

Reimplemented from EqBsParametrization.

Definition at line 85 of file eqbspiecewiseconstantparametrization.hpp.

85{ return PiecewiseConstantHelper1::y(t); }

QuantExt::PiecewiseConstantHelper1::y

Real y(const Time t) const

Definition: piecewiseconstanthelper.hpp:272

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◆ parameterTimes()

const Array & parameterTimes ( const Size Size ) const

overridevirtual

the times associated to parameter i

Reimplemented from Parametrization.

Definition at line 87 of file eqbspiecewiseconstantparametrization.hpp.

                                                                                           {
    QL_REQUIRE(i == 0, "parameter " << i << " does not exist, only have 0");
    return PiecewiseConstantHelper1::t_;
}

◆ 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 92 of file eqbspiecewiseconstantparametrization.hpp.

                                                                                                                {
    QL_REQUIRE(i == 0, "parameter " << i << " does not exist, only have 0");
    return PiecewiseConstantHelper1::y_;
}

◆ update()

void update ( ) const

overridevirtual

this method should be called when input parameters linked via references or pointers change in order to ensure consistent results

Reimplemented from Parametrization.

Definition at line 97 of file eqbspiecewiseconstantparametrization.hpp.

97{ PiecewiseConstantHelper1::update(); }

QuantExt::PiecewiseConstantHelper1::update

void update() const

Definition: piecewiseconstanthelper.hpp:180

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◆ direct()

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

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 73 of file eqbspiecewiseconstantparametrization.hpp.

                                                                                       {
    return PiecewiseConstantHelper1::direct(x);
}

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◆ inverse()

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

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 77 of file eqbspiecewiseconstantparametrization.hpp.

                                                                                        {
    return PiecewiseConstantHelper1::inverse(y);
}

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◆ initialize()

void initialize ( const Array & sigma )

private

Definition at line 42 of file eqbspiecewiseconstantparametrization.cpp.

                                                                        {
    QL_REQUIRE(PiecewiseConstantHelper1::t().size() + 1 == sigma.size(),
               "alpha size (" << sigma.size() << ") inconsistent to times size ("
                              << PiecewiseConstantHelper1::t().size() << ")");
 
    // store raw parameter values
    for (Size i = 0; i < PiecewiseConstantHelper1::y_->size(); ++i) {
        PiecewiseConstantHelper1::y_->setParam(i, inverse(0, sigma[i]));
    }
    update();
}

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Public Member Functions

Protected Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EqBsPiecewiseConstantParametrization() [1/2]

◆ EqBsPiecewiseConstantParametrization() [2/2]

Member Function Documentation

◆ variance()

◆ sigma()

◆ parameterTimes()

◆ parameter()

◆ update()

◆ direct()

◆ inverse()

◆ initialize()