Gaussian 1d Cross Asset adaptor. More...

#include <qle/models/gaussian1dcrossassetadaptor.hpp>

Inheritance diagram for Gaussian1dCrossAssetAdaptor:

Collaboration diagram for Gaussian1dCrossAssetAdaptor:

Public Member Functions
	Gaussian1dCrossAssetAdaptor (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model)

	Gaussian1dCrossAssetAdaptor (const Size ccy, const QuantLib::ext::shared_ptr< CrossAssetModel > &model)

Private Member Functions
Real	numeraireImpl (const Time t, const Real y, const Handle< YieldTermStructure > &yts) const override

Real	zerobondImpl (const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const override

void	initialize ()

Private Attributes
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel >	x_

Detailed Description

Gaussian 1d Cross Asset adaptor.

Definition at line 36 of file gaussian1dcrossassetadaptor.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dCrossAssetAdaptor() [1/2]

Gaussian1dCrossAssetAdaptor ( const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > & model )

Definition at line 26 of file gaussian1dcrossassetadaptor.cpp.

    : Gaussian1dModel(model->parametrization()->termStructure()), x_(model) {
    initialize();
}

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◆ Gaussian1dCrossAssetAdaptor() [2/2]

Gaussian1dCrossAssetAdaptor	(	const Size	ccy,
		const QuantLib::ext::shared_ptr< CrossAssetModel > &	model
	)

Definition at line 31 of file gaussian1dcrossassetadaptor.cpp.

    : Gaussian1dModel(model->irlgm1f(ccy)->termStructure()), x_(model->lgm(ccy)) {
    initialize();
}

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Member Function Documentation

◆ numeraireImpl()

Real numeraireImpl	(	const Time	t,
		const Real	y,
		const Handle< YieldTermStructure > &	yts
	)		const

overrideprivate

Gaussian1dModel interface

Definition at line 67 of file gaussian1dcrossassetadaptor.hpp.

                                                                                                    {
    Real d = yts.empty() ? 1.0 : x_->parametrization()->termStructure()->discount(t) / yts->discount(t);
    Real x = y * std::sqrt(x_->parametrization()->zeta(t));
    return d * x_->numeraire(t, x);
}

◆ zerobondImpl()

Real zerobondImpl	(	const Time	T,
		const Time	t,
		const Real	y,
		const Handle< YieldTermStructure > &	yts
	)		const

overrideprivate

Definition at line 74 of file gaussian1dcrossassetadaptor.hpp.

                                                                                                   {
    Real d = yts.empty()
                 ? 1.0
                 : x_->parametrization()->termStructure()->discount(t) /
                       x_->parametrization()->termStructure()->discount(T) * yts->discount(T) / yts->discount(t);
    Real x = y * std::sqrt(x_->parametrization()->zeta(t));
    return d * x_->discountBond(t, T, x);
}

◆ initialize()

void initialize ( )

private

Definition at line 36 of file gaussian1dcrossassetadaptor.cpp.

                                             {
    registerWith(x_);
    stateProcess_ = QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(x_->stateProcess());
}

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