FX Black Scholes constant parametrization. More...

#include <qle/models/fxbspiecewiseconstantparametrization.hpp>

Inheritance diagram for FxBsPiecewiseConstantParametrization:

Collaboration diagram for FxBsPiecewiseConstantParametrization:

Public Member Functions
	FxBsPiecewiseConstantParametrization (const Currency &currency, const Handle< Quote > &fxSpotToday, const Array &times, const Array &sigma, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &sigmaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	FxBsPiecewiseConstantParametrization (const Currency &currency, const Handle< Quote > &fxSpotToday, const std::vector< Date > &dates, const Array &sigma, const Handle< YieldTermStructure > &domesticTermStructure, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &sigmaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

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 FxBsParametrization
	FxBsParametrization (const Currency &foreignCurrency, const Handle< Quote > &fxSpotToday)

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 >	fxSpotToday () 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

FX Black Scholes constant parametrization.

FX Black Scholes parametrization with piecewise constant volatility

Definition at line 36 of file fxbspiecewiseconstantparametrization.hpp.

Constructor & Destructor Documentation

◆ FxBsPiecewiseConstantParametrization() [1/2]

FxBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const Handle< Quote > &	fxSpotToday,
		const Array &	times,
		const Array &	sigma,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	sigmaConstraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

The currency refers to the foreign currency, the spot is as of today (i.e. the discounted spot)

◆ FxBsPiecewiseConstantParametrization() [2/2]

FxBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const Handle< Quote > &	fxSpotToday,
		const std::vector< Date > &	dates,
		const Array &	sigma,
		const Handle< YieldTermStructure > &	domesticTermStructure,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	sigmaConstraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

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.

Member Function Documentation

◆ variance()

Real variance ( const Time t ) const

overridevirtual

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

Implements FxBsParametrization.

Definition at line 78 of file fxbspiecewiseconstantparametrization.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 FxBsParametrization.

Definition at line 82 of file fxbspiecewiseconstantparametrization.hpp.

82{ 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 84 of file fxbspiecewiseconstantparametrization.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 89 of file fxbspiecewiseconstantparametrization.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 94 of file fxbspiecewiseconstantparametrization.hpp.

94{ 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 70 of file fxbspiecewiseconstantparametrization.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 74 of file fxbspiecewiseconstantparametrization.hpp.

                                                                                        {
    return PiecewiseConstantHelper1::inverse(y);
}

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◆ initialize()

void initialize ( const Array & sigma )

private

Definition at line 41 of file fxbspiecewiseconstantparametrization.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

◆ FxBsPiecewiseConstantParametrization() [1/2]

◆ FxBsPiecewiseConstantParametrization() [2/2]

Member Function Documentation

◆ variance()

◆ sigma()

◆ parameterTimes()

◆ parameter()

◆ update()

◆ direct()

◆ inverse()

◆ initialize()