InfJyParameterization Class Reference

#include <qle/models/infjyparameterization.hpp>

Inheritance diagram for InfJyParameterization:

Collaboration diagram for InfJyParameterization:

Public Member Functions
	InfJyParameterization (QuantLib::ext::shared_ptr< Lgm1fParametrization< QuantLib::ZeroInflationTermStructure > > realRate, QuantLib::ext::shared_ptr< FxBsParametrization > index, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > inflationIndex)
Inspectors
QuantLib::ext::shared_ptr< Lgm1fParametrization< QuantLib::ZeroInflationTermStructure > >	realRate () const
QuantLib::ext::shared_ptr< FxBsParametrization >	index () const
QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	inflationIndex () const
Size	numberOfParameters () 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

Parametrization interface
QuantLib::ext::shared_ptr< Lgm1fParametrization< QuantLib::ZeroInflationTermStructure > >	realRate_
QuantLib::ext::shared_ptr< FxBsParametrization >	index_
QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	inflationIndex_
const QuantLib::Array &	parameterTimes (const QuantLib::Size i) const override
const QuantLib::ext::shared_ptr< QuantLib::Parameter >	parameter (const QuantLib::Size i) const override
void	update () const override
QuantLib::Real	direct (const QuantLib::Size i, const QuantLib::Real x) const override
QuantLib::Real	inverse (const QuantLib::Size i, const QuantLib::Real y) const override
void	checkIndex (QuantLib::Size i) const
	Check that the indexing. More...

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 Parametrization
const Real	h_
const Real	h2_

Detailed Description

Definition at line 34 of file infjyparameterization.hpp.

Constructor & Destructor Documentation

InfJyParameterization()

InfJyParameterization	(	QuantLib::ext::shared_ptr< Lgm1fParametrization< QuantLib::ZeroInflationTermStructure > >	realRate,
		QuantLib::ext::shared_ptr< FxBsParametrization >	index,
		QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	inflationIndex
	)

Definition at line 31 of file infjyparameterization.cpp.

    : Parametrization(realRate->currency(), realRate->name()),
      realRate_(realRate), index_(index), inflationIndex_(inflationIndex) {}

Member Function Documentation

parameterTimes()

const Array & parameterTimes ( const QuantLib::Size  i ) const

override

Definition at line 38 of file infjyparameterization.cpp.

                                                                     {
    checkIndex(i);
    if (i < 2) {
        return realRate_->parameterTimes(i);
    } else {
        return index_->parameterTimes(0);
    }
}

Here is the call graph for this function:

parameter()

const QuantLib::ext::shared_ptr< Parameter > parameter ( const QuantLib::Size  i ) const

override

Definition at line 47 of file infjyparameterization.cpp.

                                                                                          {
    checkIndex(i);
    if (i < 2) {
        return realRate_->parameter(i);
    } else {
        return index_->parameter(0);
    }
}

Here is the call graph for this function:

update()

void update ( ) const

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 56 of file infjyparameterization.cpp.

                                         {
    realRate_->update();
    index_->update();
}

realRate()

QuantLib::ext::shared_ptr< Lgm1fParametrization< ZeroInflationTermStructure > > realRate

(

)

const

Definition at line 61 of file infjyparameterization.cpp.

                                                                                                              {
    return realRate_;
}

index()

QuantLib::ext::shared_ptr< FxBsParametrization > index

(

)

const

Definition at line 65 of file infjyparameterization.cpp.

                                                                              {
    return index_;
}

inflationIndex()

QuantLib::ext::shared_ptr< ZeroInflationIndex > inflationIndex

(

)

const

Definition at line 69 of file infjyparameterization.cpp.

                                                                                      {
    return inflationIndex_;
}

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.

Definition at line 54 of file infjyparameterization.hpp.

{ return 3; }

direct()

Real direct ( const QuantLib::Size  i, const QuantLib::Real  x  ) const

overrideprotected

Definition at line 73 of file infjyparameterization.cpp.

                                                                   {
    checkIndex(i);
    if (i < 2) {
        return realRate_->direct(i, x);
    } else {
        return index_->direct(0, x);
    }
}

Here is the call graph for this function:

inverse()

Real inverse ( const QuantLib::Size  i, const QuantLib::Real  y  ) const

overrideprotected

Definition at line 82 of file infjyparameterization.cpp.

                                                                    {
    checkIndex(i);
    if (i < 2) {
        return realRate_->inverse(i, y);
    } else {
        return index_->inverse(i, y);
    }
}

Here is the call graph for this function:

checkIndex()

void checkIndex ( QuantLib::Size  i ) const

private

Check that the indexing.

Definition at line 91 of file infjyparameterization.cpp.

                                                   {
    QL_REQUIRE(i < 3, "InfJyParameterization has 3 parameters but has been asked for its " << io::ordinal(i + 1));
}

Here is the caller graph for this function:

Member Data Documentation

realRate_

QuantLib::ext::shared_ptr<Lgm1fParametrization<QuantLib::ZeroInflationTermStructure> > realRate_

private

Definition at line 64 of file infjyparameterization.hpp.

index_

QuantLib::ext::shared_ptr<FxBsParametrization> index_

private

Definition at line 65 of file infjyparameterization.hpp.

inflationIndex_

QuantLib::ext::shared_ptr<QuantLib::ZeroInflationIndex> inflationIndex_

private

Definition at line 66 of file infjyparameterization.hpp.