#include <qle/models/hwmodel.hpp>

Inheritance diagram for HwModel:

Collaboration diagram for HwModel:

Public Types
enum class	Discretization { Euler , Exact }

Public Types inherited from IrModel
enum class	Measure { LGM , BA }

Public Member Functions
	HwModel (const QuantLib::ext::shared_ptr< IrHwParametrization > &parametrization, const Measure measure=Measure::BA, const Discretization discretization=Discretization::Euler, const bool evaluateBankAccount=true)

Measure	measure () const override

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

Handle< YieldTermStructure >	termStructure () const override

Size	n () const override

Size	m () const override

Size	n_aux () const override

Size	m_aux () const override

QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const override

QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override

QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const override

QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override

const QuantLib::ext::shared_ptr< IrHwParametrization >	parametrization () const

void	update () override

void	generateArguments () override

virtual Measure	measure () const =0

virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0

virtual Handle< YieldTermStructure >	termStructure () const =0

virtual Size	n () const =0

virtual Size	m () const =0

virtual Size	n_aux () const =0

virtual Size	m_aux () const =0

virtual QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const =0

virtual QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const =0

virtual QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const =0

virtual QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) 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< IrHwParametrization >	parametrization_

Measure	measure_

Discretization	discretization_

QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess_

bool	evaluateBankAccount_

Additional Inherited Members
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 hwmodel.hpp.

Member Enumeration Documentation

◆ Discretization

enum class Discretization

strong

Enumerator
Euler
Exact

Definition at line 35 of file hwmodel.hpp.

35{ Euler, Exact };

QuantExt::HwModel::Discretization::Euler

@ Euler

QuantExt::HwModel::Discretization::Exact

@ Exact

Constructor & Destructor Documentation

◆ HwModel()

HwModel	(	const QuantLib::ext::shared_ptr< IrHwParametrization > &	parametrization,
		const Measure	measure = `Measure::BA`,
		const Discretization	discretization = `Discretization::Euler`,
		const bool	evaluateBankAccount = `true`
	)

Definition at line 24 of file hwmodel.cpp.

    : parametrization_(parametrization), measure_(measure), discretization_(discretization),
      evaluateBankAccount_(evaluateBankAccount) {
    QL_REQUIRE(parametrization_ != nullptr, "HwModel: parametrization is null");
    stateProcess_ =
        QuantLib::ext::make_shared<IrHwStateProcess>(parametrization_, measure_, discretization_, evaluateBankAccount_);
}

Member Function Documentation

◆ measure()

Measure measure ( ) const

overridevirtual

measure under which the model is operated

Implements IrModel.

Definition at line 42 of file hwmodel.hpp.

42{ return measure_; }

◆ parametrizationBase()

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

overridevirtual

parametrization (as base class)

Implements IrModel.

Definition at line 44 of file hwmodel.hpp.

44{ return parametrization_; }

◆ termStructure()

Handle< YieldTermStructure > termStructure ( ) const

overridevirtual

yield term structure to which the IrModel is (initially) calibrated

Implements IrModel.

Definition at line 46 of file hwmodel.hpp.

46{ return parametrization_->termStructure(); }

◆ n()

Size n ( ) const

overridevirtual

dimension of model state, excluding auxilliary states

Implements IrModel.

Definition at line 69 of file hwmodel.cpp.

69{ return parametrization_->n(); }

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◆ m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements IrModel.

Definition at line 70 of file hwmodel.cpp.

70{ return parametrization_->m(); }

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◆ n_aux()

Size n_aux ( ) const

overridevirtual

(effective) dimension of auxilliary state, typically to evaluate the numeraire in the BA-measure

Implements IrModel.

Definition at line 71 of file hwmodel.cpp.

71{ return evaluateBankAccount_ && measure_ == Measure::BA ? n() : 0; }

QuantExt::HwModel::n

Size n() const override

Definition: hwmodel.cpp:69

QuantExt::IrModel::Measure::BA

@ BA

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◆ m_aux()

Size m_aux ( ) const

overridevirtual

(effective) number of Brownians required to evolve the auxilliary state, typcially for exact discretization schemes

Implements IrModel.

Definition at line 72 of file hwmodel.cpp.

                          {
    return evaluateBankAccount_ && measure_ == Measure::BA && discretization_ == Discretization::Exact ? m() : 0;
}

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◆ stateProcess()

QuantLib::ext::shared_ptr< StochasticProcess > stateProcess ( ) const

overridevirtual

stochastic process, this has dimension n() + n_aux() and m() + m_aux() Brownian drivers

Implements IrModel.

Definition at line 53 of file hwmodel.hpp.

53{ return stateProcess_; }

◆ discountBond()

QuantLib::Real discountBond	(	const QuantLib::Time	t,
		const QuantLib::Time	T,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`
	)		const

overridevirtual

discount bond depending on state (of dimension n())

Implements IrModel.

Definition at line 33 of file hwmodel.cpp.

                                                                                                            {
    if (QuantLib::close_enough(t, T))
        return 1.0;
    QL_REQUIRE(T >= t && t >= 0.0, "T(" << T << ") >= t(" << t << ") >= 0 required in HwModel::discountBond");
    QuantLib::Array gt = parametrization_->g(t, T);
    QuantLib::Matrix yt = parametrization_->y(t);
 
    return (discountCurve.empty()
                ? parametrization_->termStructure()->discount(T) / parametrization_->termStructure()->discount(t)
                : discountCurve->discount(T) / discountCurve->discount(t)) *
           std::exp(-QuantLib::DotProduct(gt, x) - 0.5 * QuantLib::DotProduct(gt, yt * gt));
}

◆ numeraire()

QuantLib::Real numeraire	(	const QuantLib::Time	t,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`,
		const QuantLib::Array &	aux = `Array()`
	)		const

overridevirtual

numeraire depending on state and aux state (of dimensions n(), n_aux()

Implements IrModel.

Definition at line 47 of file hwmodel.cpp.

                                                                  {
    QL_REQUIRE(measure_ == IrModel::Measure::BA, "HwModel::numeraire() supports BA measure only currently.");
    return std::exp(std::accumulate(aux.begin(), aux.end(), 0.0)) /
           (discountCurve.empty() ? parametrization_->termStructure()->discount(t) : discountCurve->discount(t));
}

◆ shortRate()

QuantLib::Real shortRate	(	const QuantLib::Time	t,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`
	)		const

overridevirtual

short rate at t

Implements IrModel.

Definition at line 55 of file hwmodel.cpp.

                                                                                                         {
    return std::accumulate(x.begin(), x.end(), 0.0) +
           (discountCurve.empty() ? parametrization_->termStructure()->forwardRate(t, t, Compounding::Continuous)
                                  : discountCurve->forwardRate(t, t, Compounding::Continuous));
}

◆ parametrization()

const QuantLib::ext::shared_ptr< IrHwParametrization > parametrization ( ) const

Definition at line 70 of file hwmodel.hpp.

70{ return parametrization_; }

◆ update()

void update ( )

override

observer and linked calibrated model interface

Definition at line 62 of file hwmodel.cpp.

                     {
    parametrization_->update();
    notifyObservers();
}

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◆ generateArguments()

void generateArguments ( )

overridevirtual

Reimplemented from LinkableCalibratedModel.

Definition at line 67 of file hwmodel.cpp.

67{ update(); }

QuantExt::HwModel::update

void update() override

Definition: hwmodel.cpp:62

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Member Data Documentation

◆ parametrization_

QuantLib::ext::shared_ptr<IrHwParametrization> parametrization_

private

Definition at line 77 of file hwmodel.hpp.

◆ measure_

Measure measure_

private

Definition at line 78 of file hwmodel.hpp.

◆ discretization_

Discretization discretization_

private

Definition at line 79 of file hwmodel.hpp.

◆ stateProcess_

QuantLib::ext::shared_ptr<StochasticProcess> stateProcess_

private

Definition at line 80 of file hwmodel.hpp.

◆ evaluateBankAccount_

bool evaluateBankAccount_

private

Definition at line 81 of file hwmodel.hpp.

Public Types

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Discretization

Constructor & Destructor Documentation

◆ HwModel()

Member Function Documentation

◆ measure()

◆ parametrizationBase()

◆ termStructure()

◆ n()

◆ m()

◆ n_aux()

◆ m_aux()

◆ stateProcess()

◆ discountBond()

◆ numeraire()

◆ shortRate()

◆ parametrization()

◆ update()

◆ generateArguments()

Member Data Documentation

◆ parametrization_

◆ measure_

◆ discretization_

◆ stateProcess_

◆ evaluateBankAccount_