HW nF Parametrization with m driving Brownian motions and constant reversion, vol. More...

#include <qle/models/hwconstantparametrization.hpp>

Inheritance diagram for HwConstantParametrization< TS >:

Collaboration diagram for HwConstantParametrization< TS >:

Public Member Functions
	HwConstantParametrization (const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, QuantLib::Matrix sigma, QuantLib::Array kappa, const std::string &name=std::string())

QuantLib::Matrix	sigma_x (const QuantLib::Time t) const override

QuantLib::Array	kappa (const QuantLib::Time t) const override

QuantLib::Matrix	y (const QuantLib::Time t) const override

QuantLib::Array	g (const QuantLib::Time t, const QuantLib::Time T) const override

Public Member Functions inherited from HwParametrization< TS >
	HwParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const std::string &name=std::string())

virtual QuantLib::Matrix	sigma_x (const QuantLib::Time t) const =0

virtual QuantLib::Array	kappa (const QuantLib::Time t) const =0

virtual QuantLib::Matrix	y (const QuantLib::Time t) const

virtual QuantLib::Array	g (const QuantLib::Time t, const QuantLib::Time T) const

const QuantLib::Handle< TS >	termStructure () const

QuantLib::Size	numberOfParameters () const override

QuantLib::Size	n () const

QuantLib::Size	m () const

void	update () 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

Private Attributes
QuantLib::Matrix	sigma_

QuantLib::Array	kappa_

Static Private Attributes
static constexpr QuantLib::Real	zeroKappaCutoff_ = 1.0E-6

Additional Inherited Members
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

Protected Attributes inherited from HwParametrization< TS >
QuantLib::Size	n_

QuantLib::Size	m_

Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Detailed Description

template<class TS>
class QuantExt::HwConstantParametrization< TS >

HW nF Parametrization with m driving Brownian motions and constant reversion, vol.

Definition at line 33 of file hwconstantparametrization.hpp.

Constructor & Destructor Documentation

◆ HwConstantParametrization()

HwConstantParametrization	(	const QuantLib::Currency &	currency,
		const QuantLib::Handle< TS > &	termStructure,
		QuantLib::Matrix	sigma,
		QuantLib::Array	kappa,
		const std::string &	name = `std::string()`
	)

Definition at line 52 of file hwconstantparametrization.hpp.

    : HwParametrization<TS>(kappa.size(), sigma.rows(), currency, termStructure, name.empty() ? currency.code() : name),
      sigma_(std::move(sigma)), kappa_(std::move(kappa)) {
    QL_REQUIRE(sigma_.columns() == kappa_.size(), "HwConstantParametrization: sigma ("
                                                      << sigma_.rows() << "x" << sigma_.columns()
                                                      << ") not consistent with kappa (" << kappa_.size() << ")");
}

Member Function Documentation

◆ sigma_x()

QuantLib::Matrix sigma_x ( const QuantLib::Time t ) const

overridevirtual

sigma_x, 1.12, this is a m x n matrix

Implements HwParametrization< TS >.

Definition at line 38 of file hwconstantparametrization.hpp.

38{ return sigma_; }

◆ kappa()

QuantLib::Array kappa ( const QuantLib::Time t ) const

overridevirtual

Implements HwParametrization< TS >.

Definition at line 39 of file hwconstantparametrization.hpp.

39{ return kappa_; };

◆ y()

QuantLib::Matrix y ( const QuantLib::Time t ) const

overridevirtual

y(t), 1.19, this is an n x n matrix

Reimplemented from HwParametrization< TS >.

Definition at line 63 of file hwconstantparametrization.hpp.

                                                                                              {
    QuantLib::Matrix y(this->n_, this->n_, 0.0);
    for (Size i = 0; i < this->n_; ++i) {
        for (Size j = 0; j <= i; ++j) {
            QuantLib::Real tmp;
            if (std::abs(kappa_[i] + kappa_[j]) < zeroKappaCutoff_) {
                tmp = t;
            } else {
                tmp = (1.0 - std::exp(-(kappa_[i] + kappa_[j]) * t)) / (kappa_[i] + kappa_[j]);
            }
            for (Size k = 0; k < this->m_; ++k) {
                y(i, j) += sigma_x(t)(k, i) * sigma_x(t)(k, j) * tmp;
            }
        }
    }
    for (Size i = 0; i < this->n_; ++i) {
        for (Size j = 0; j < i; ++j) {
            y(j, i) = y(i, j);
        }
    }
    return y;
}

◆ g()

QuantLib::Array g	(	const QuantLib::Time	t,
		const QuantLib::Time	T
	)		const

overridevirtual

g(t,T), 1.21, this is an n-array

Reimplemented from HwParametrization< TS >.

Definition at line 87 of file hwconstantparametrization.hpp.

                                                                                               {
    QL_REQUIRE(t <= T, "HwConstantParametrization::g(" << t << "," << T << ") invalid, expected t < T");
    QuantLib::Array g(this->n_, 0.0);
    for (Size i = 0; i < this->n_; ++i) {
        if (std::abs(kappa_[i]) < zeroKappaCutoff_) {
            g[i] = T - t;
        } else {
            g[i] = (1.0 - std::exp(-kappa_[i] * (T - t))) / kappa_[i];
        }
    }
    return g;
}

Member Data Documentation

◆ zeroKappaCutoff_

constexpr QuantLib::Real zeroKappaCutoff_ = 1.0E-6

staticconstexprprivate

Definition at line 44 of file hwconstantparametrization.hpp.

◆ sigma_

QuantLib::Matrix sigma_

private

Definition at line 45 of file hwconstantparametrization.hpp.

◆ kappa_

QuantLib::Array kappa_

private

Definition at line 46 of file hwconstantparametrization.hpp.

Public Member Functions

Private Attributes

Static Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ HwConstantParametrization()

Member Function Documentation

◆ sigma_x()

◆ kappa()

◆ y()

◆ g()

Member Data Documentation

◆ zeroKappaCutoff_

◆ sigma_

◆ kappa_