InfDkVectorised Class Reference

#include <qle/models/infdkvectorised.hpp>

Collaboration diagram for InfDkVectorised:

Public Member Functions
	InfDkVectorised (const QuantLib::ext::shared_ptr< CrossAssetModel > &cam)
std::pair< RandomVariable, RandomVariable >	infdkI (const Size i, const Time t, const Time T, const RandomVariable &z, const RandomVariable &y, bool indexIsInterpolated) const

Private Attributes
const QuantLib::ext::shared_ptr< CrossAssetModel >	cam_

Detailed Description

Definition at line 36 of file infdkvectorised.hpp.

Constructor & Destructor Documentation

InfDkVectorised()

InfDkVectorised

(

const QuantLib::ext::shared_ptr< CrossAssetModel > &

cam

)

Definition at line 24 of file infdkvectorised.cpp.

    : cam_(cam) {
 
    }

Member Function Documentation

infdkI()

std::pair< RandomVariable, RandomVariable > infdkI	(	const Size	i,
		const Time	t,
		const Time	T,
		const RandomVariable &	z,
		const RandomVariable &	y,
		bool	indexIsInterpolated
	)		const

Definition at line 29 of file infdkvectorised.cpp.

                                                                                                    {
            //
            
            Size n_samples = z.size();
 
            std::pair<Real, Real> Vs = cam_->infdkV(i, t, T);
            RandomVariable V0(n_samples, Vs.first);
            RandomVariable V_tilde(n_samples, Vs.second);
            RandomVariable Hyt(n_samples, cam_->infdk(i)->H(t));
            RandomVariable HyT(n_samples, cam_->infdk(i)->H(T));
 
            // TODO account for seasonality ...
            // compute final results depending on z and y
            const auto& zts = cam_->infdk(i)->termStructure();
            auto dc = cam_->irlgm1f(0)->termStructure()->dayCounter();
            RandomVariable growth_t(n_samples, inflationGrowth(zts, t, dc, indexIsInterpolated));
            RandomVariable growth_T(n_samples, inflationGrowth(zts, T, dc, indexIsInterpolated));
            // Vectorize the scalars
 
 
            RandomVariable It = growth_t * exp(Hyt * z - y - V0);
            RandomVariable Itilde_t_T = growth_T / growth_t * exp((HyT - Hyt) * z + V_tilde);
            // concerning interpolation there is an inaccuracy here: if the index
            // is not interpolated, we still simulate the index value as of t
            // (and T), although we should go back to t, T which corresponds to
            // the last actual publication time of the index => is the approximation
            // here in this sense good enough that we can tolerate this?
            return std::make_pair(It, Itilde_t_T);
    }

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Member Data Documentation

cam_

const QuantLib::ext::shared_ptr<CrossAssetModel> cam_

private

Definition at line 44 of file infdkvectorised.hpp.