HW nF Parametrization with m driving Brownian motions. More...

#include <qle/models/hwparametrization.hpp>

Inheritance diagram for HwParametrization< TS >:

Collaboration diagram for HwParametrization< TS >:

Public Member Functions
	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

Protected Attributes
QuantLib::Size	n_

QuantLib::Size	m_

Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Private Attributes
const QuantLib::Handle< TS >	termStructure_

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

Detailed Description

template<class TS>
class QuantExt::HwParametrization< TS >

HW nF Parametrization with m driving Brownian motions.

Definition at line 37 of file hwparametrization.hpp.

Constructor & Destructor Documentation

◆ HwParametrization()

HwParametrization	(	const QuantLib::Size	n,
		const QuantLib::Size	m,
		const QuantLib::Currency &	currency,
		const QuantLib::Handle< TS > &	termStructure,
		const std::string &	name = `std::string()`
	)

Definition at line 74 of file hwparametrization.hpp.

77 : Parametrization(currency, name.empty() ? currency.code() : name), n_(n), m_(m), termStructure_(termStructure) {}

QuantExt::HwParametrization::n_

QuantLib::Size n_

Definition: hwparametrization.hpp:65

QuantExt::HwParametrization::termStructure_

const QuantLib::Handle< TS > termStructure_

Definition: hwparametrization.hpp:68

QuantExt::HwParametrization::m_

QuantLib::Size m_

Definition: hwparametrization.hpp:65

QuantExt::HwParametrization::n

QuantLib::Size n() const

Definition: hwparametrization.hpp:59

QuantExt::HwParametrization::termStructure

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

Definition: hwparametrization.hpp:54

QuantExt::HwParametrization::m

QuantLib::Size m() const

Definition: hwparametrization.hpp:60

QuantExt::Parametrization::name

const std::string & name() const

Definition: parametrization.hpp:83

QuantExt::Parametrization::currency

virtual const Currency & currency() const

Definition: parametrization.hpp:124

QuantExt::Parametrization::Parametrization

Parametrization(const Currency &currency, const std::string &name="")

Definition: parametrization.cpp:23

Member Function Documentation

◆ sigma_x()

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

pure virtual

sigma_x, 1.12, this is a m x n matrix

Implemented in HwConstantParametrization< TS >.

◆ kappa()

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

pure virtual

Implemented in HwConstantParametrization< TS >.

◆ y()

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

virtual

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

Reimplemented in HwConstantParametrization< TS >.

Definition at line 79 of file hwparametrization.hpp.

                                                                              {
    QL_FAIL("HwParametrization::y(t) not implemented");
}

◆ g()

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

virtual

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

Reimplemented in HwConstantParametrization< TS >.

Definition at line 83 of file hwparametrization.hpp.

                                                                                                           {
    QL_FAIL("HwParametrization::g(t, T) not implemented");
}

◆ termStructure()

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

the underlying term structure

Definition at line 54 of file hwparametrization.hpp.

54{ return termStructure_; }

◆ numberOfParameters()

QuantLib::Size numberOfParameters ( ) const

overridevirtual

we have m x n (from g) + n (from kappa) parameters

Reimplemented from Parametrization.

Definition at line 57 of file hwparametrization.hpp.

57{ return m_ * n_ + n_; }

◆ n()

QuantLib::Size n ( ) const

Definition at line 59 of file hwparametrization.hpp.

59{ return n_; }

◆ m()

QuantLib::Size m ( ) const

Definition at line 60 of file hwparametrization.hpp.

60{ return m_; }

◆ update()

void update

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 87 of file hwparametrization.hpp.

87{ Parametrization::update(); }

QuantExt::Parametrization::update

virtual void update() const

Definition: parametrization.hpp:108

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Member Data Documentation

◆ n_

QuantLib::Size n_

protected

Definition at line 65 of file hwparametrization.hpp.

◆ m_