FxBsModel Class Reference

#include <qle/models/fxbsmodel.hpp>

Inheritance diagram for FxBsModel:

Collaboration diagram for FxBsModel:

Public Member Functions
	FxBsModel (const QuantLib::ext::shared_ptr< FxBsParametrization > &parametrization)
const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const override
Handle< Quote >	fxSpotToday () const override
Size	n () const override
Size	m () const override
Array	eulerStep (const Time t0, const Array &x0, const Time dt, const Array &dw, const Real r_dom, const Real r_for) const override
virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0
virtual Handle< Quote >	fxSpotToday () const =0
virtual Size	n () const =0
virtual Size	m () const =0
virtual Array	eulerStep (const Time t0, const Array &x0, const Time dt, const Array &dw, const Real r_dom, const Real r_for) 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< FxBsParametrization >	parametrization_

Additional Inherited Members
Protected Member Functions inherited from LinkableCalibratedModel
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

Definition at line 33 of file fxbsmodel.hpp.

Constructor & Destructor Documentation

FxBsModel()

FxBsModel ( const QuantLib::ext::shared_ptr< FxBsParametrization > &  parametrization )

explicit

Definition at line 50 of file fxbsmodel.hpp.

    : parametrization_(parametrization) {
    QL_REQUIRE(parametrization != nullptr, "FxBsModel: parametrization is null");
}

Member Function Documentation

parametrizationBase()

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

overridevirtual

parametrization (as base class)

Implements FxModel.

Definition at line 37 of file fxbsmodel.hpp.

{ return parametrization_; }

fxSpotToday()

Handle< Quote > fxSpotToday ( ) const

overridevirtual

today's fx rate on which the model is based

Implements FxModel.

Definition at line 39 of file fxbsmodel.hpp.

{ return parametrization_->fxSpotToday(); }

n()

Size n ( ) const

overridevirtual

dimension of model state, excluding auxilliary states

Implements FxModel.

Definition at line 40 of file fxbsmodel.hpp.

{ return 1; }

m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements FxModel.

Definition at line 41 of file fxbsmodel.hpp.

{ return 1; }

eulerStep()

Array eulerStep ( const Time  t0, const Array &  x0, const Time  dt, const Array &  dw, const Real  r_dom, const Real  r_for  ) const

overridevirtual

perform an Euler step given short rates for the rates

Implements FxModel.

Definition at line 55 of file fxbsmodel.hpp.

                                                          {
    Real sigma = parametrization_->sigma(t0);
    return x0 + (r_dom - r_for - 0.5 * sigma * sigma) * dt + sigma * std::sqrt(dt) * dw[0];
}

Member Data Documentation

parametrization_

QuantLib::ext::shared_ptr<FxBsParametrization> parametrization_

private

Definition at line 47 of file fxbsmodel.hpp.