IrHwStateProcess Class Reference

Ir HW State Process. More...

#include <qle/processes/irhwstateprocess.hpp>

Inheritance diagram for IrHwStateProcess:

Collaboration diagram for IrHwStateProcess:

Public Member Functions
	IrHwStateProcess (const QuantLib::ext::shared_ptr< IrHwParametrization > &parametrization, const IrModel::Measure measure, const HwModel::Discretization discretization=HwModel::Discretization::Euler, const bool evaluateBankAccount=true)
Size	size () const override
Size	factors () const override
Array	initialValues () const override
Array	drift (Time t, const Array &s) const override
Matrix	diffusion (Time t, const Array &s) const override

Private Attributes
QuantLib::ext::shared_ptr< IrHwParametrization >	parametrization_
IrModel::Measure	measure_
HwModel::Discretization	discretization_
bool	evaluateBankAccount_

Detailed Description

Ir HW State Process.

Definition at line 38 of file irhwstateprocess.hpp.

Constructor & Destructor Documentation

IrHwStateProcess()

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

Definition at line 40 of file irhwstateprocess.hpp.

        : StochasticProcess(discretization == HwModel::Discretization::Euler ? QuantLib::ext::make_shared<EulerDiscretization>()
                                                                             : nullptr),
          parametrization_(parametrization), measure_(measure), discretization_(discretization),
          evaluateBankAccount_(evaluateBankAccount) {
        QL_REQUIRE(measure_ == IrModel::Measure::BA, "IrHwStateProcess only supports measure BA");
        QL_REQUIRE(discretization_ == HwModel::Discretization::Euler,
                   "IrHwStateProcess only supports dicsretization Euler");
    }

Member Function Documentation

size()

Size size ( ) const

override

Definition at line 51 of file irhwstateprocess.hpp.

                               {
        return parametrization_->n() +
               (evaluateBankAccount_ && measure_ == IrModel::Measure::BA ? parametrization_->n() : 0);
    }

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factors()

Size factors ( ) const

override

Definition at line 55 of file irhwstateprocess.hpp.

                                  {
        return parametrization_->m() + (evaluateBankAccount_ && measure_ == IrModel::Measure::BA &&
                                                discretization_ == HwModel::Discretization::Exact
                                            ? parametrization_->m()
                                            : 0);
    }

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initialValues()

Array initialValues ( ) const

override

Definition at line 23 of file irhwstateprocess.cpp.

{ return Array(size(), 0.0); }

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drift()

Array drift ( Time  t, const Array &  s  ) const

override

Definition at line 25 of file irhwstateprocess.cpp.

                                                          {
    Array ones(parametrization_->n(), 1.0);
    Array x(s.begin(), std::next(s.begin(), parametrization_->n()));
    Array drift_x = parametrization_->y(t) * ones - parametrization_->kappa(t) * x;
    if (!(evaluateBankAccount_ && measure_ == IrModel::Measure::BA))
        return drift_x;
    Array drift_int_x = x;
    Array result(2 * parametrization_->n());
    std::copy(drift_x.begin(), drift_x.end(), result.begin());
    std::copy(drift_int_x.begin(), drift_int_x.end(), std::next(result.begin(), parametrization_->n()));
    return result;
}

diffusion()

Matrix diffusion ( Time  t, const Array &  s  ) const

override

Definition at line 38 of file irhwstateprocess.cpp.

                                                               {
    Matrix res(size(), factors(), 0.0);
    for (Size i = 0; i < parametrization_->n(); ++i) {
        for (Size j = 0; j < res.columns(); ++j) {
            res(i, j) = parametrization_->sigma_x(t)(j, i);
        }
    }
    // the rest of the diffusion rows (if present for the aux state) is zero
    return res;
}

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Member Data Documentation

parametrization_

QuantLib::ext::shared_ptr<IrHwParametrization> parametrization_

private

Definition at line 66 of file irhwstateprocess.hpp.

measure_

IrModel::Measure measure_

private

Definition at line 67 of file irhwstateprocess.hpp.

discretization_

HwModel::Discretization discretization_

private

Definition at line 68 of file irhwstateprocess.hpp.

evaluateBankAccount_

bool evaluateBankAccount_

private

Definition at line 69 of file irhwstateprocess.hpp.