IrLgm1fStateProcess Class Reference

Ir Lgm 1f State Process. More...

#include <qle/processes/irlgm1fstateprocess.hpp>

Inheritance diagram for IrLgm1fStateProcess:

Collaboration diagram for IrLgm1fStateProcess:

Public Member Functions
	IrLgm1fStateProcess (const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization)

StochasticProcess interface
const QuantLib::ext::shared_ptr< IrLgm1fParametrization >	p_
bool	cacheNotReady_d_ = true
bool	cacheNotReady_v_ = true
Size	timeStepsToCache_d_ = 0
Size	timeStepsToCache_v_ = 0
Size	timeStepCache_d_ = 0
Size	timeStepCache_v_ = 0
std::vector< Real >	cache_d_
std::vector< Real >	cache_v_
Real	x0 () const override
Real	drift (Time t, Real x) const override
Real	diffusion (Time t, Real x) const override
Real	expectation (Time t0, Real x0, Time dt) const override
Real	stdDeviation (Time t0, Real x0, Time dt) const override
Real	variance (Time t0, Real x0, Time dt) const override
void	resetCache (const Size timeSteps) const

Detailed Description

Ir Lgm 1f State Process.

Definition at line 36 of file irlgm1fstateprocess.hpp.

Constructor & Destructor Documentation

IrLgm1fStateProcess()

IrLgm1fStateProcess

(

const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &

parametrization

)

Definition at line 23 of file irlgm1fstateprocess.cpp.

    : p_(parametrization) {}

Member Function Documentation

x0()

Real x0 ( ) const

override

Definition at line 65 of file irlgm1fstateprocess.hpp.

{ return 0.0; }

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drift()

Real drift ( Time  t, Real  x  ) const

override

Definition at line 67 of file irlgm1fstateprocess.hpp.

{ return 0.0; }

diffusion()

Real diffusion ( Time  t, Real  x  ) const

override

Definition at line 69 of file irlgm1fstateprocess.hpp.

                                                             {
    if (cacheNotReady_d_) {
        Real tmp = p_->alpha(t);
        if (timeStepsToCache_d_ > 0) {
            cache_d_.push_back(tmp);
            if (cache_d_.size() == timeStepsToCache_d_)
                cacheNotReady_d_ = false;
        }
        return tmp;
    } else {
        Real tmp = cache_d_[timeStepCache_d_++];
        if (timeStepCache_d_ == timeStepsToCache_d_)
            timeStepCache_d_ = 0;
        return tmp;
    }
}

expectation()

Real expectation ( Time  t0, Real  x0, Time  dt  ) const

override

Definition at line 86 of file irlgm1fstateprocess.hpp.

{ return x0; }

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stdDeviation()

Real stdDeviation ( Time  t0, Real  x0, Time  dt  ) const

override

Definition at line 105 of file irlgm1fstateprocess.hpp.

                                                                             {
    return std::sqrt(variance(t0, x0, dt));
}

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variance()

Real variance ( Time  t0, Real  x0, Time  dt  ) const

override

Definition at line 88 of file irlgm1fstateprocess.hpp.

                                                                      {
    if (cacheNotReady_v_) {
        Real tmp = p_->zeta(t0 + dt) - p_->zeta(t0);
        if (timeStepsToCache_v_ > 0) {
            cache_v_.push_back(tmp);
            if (cache_v_.size() == timeStepsToCache_v_)
                cacheNotReady_v_ = false;
        }
        return tmp;
    } else {
        Real tmp = cache_v_[timeStepCache_v_++];
        if (timeStepCache_v_ == timeStepsToCache_d_)
            timeStepCache_v_ = 0;
        return tmp;
    }
}

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resetCache()

void resetCache

(

const Size

timeSteps

)

const

Definition at line 109 of file irlgm1fstateprocess.hpp.

                                                                      {
    cacheNotReady_d_ = cacheNotReady_v_ = true;
    timeStepsToCache_d_ = timeStepsToCache_v_ = timeSteps;
    cache_d_.clear();
    cache_v_.clear();
    p_->update();
}

Member Data Documentation

p_

const QuantLib::ext::shared_ptr<IrLgm1fParametrization> p_

private

Definition at line 52 of file irlgm1fstateprocess.hpp.

cacheNotReady_d_

bool cacheNotReady_d_ = true

mutableprivate

Definition at line 53 of file irlgm1fstateprocess.hpp.

cacheNotReady_v_

bool cacheNotReady_v_ = true

mutableprivate

Definition at line 54 of file irlgm1fstateprocess.hpp.

timeStepsToCache_d_

Size timeStepsToCache_d_ = 0

mutableprivate

Definition at line 55 of file irlgm1fstateprocess.hpp.

timeStepsToCache_v_

Size timeStepsToCache_v_ = 0

mutableprivate

Definition at line 56 of file irlgm1fstateprocess.hpp.

timeStepCache_d_

Size timeStepCache_d_ = 0

mutableprivate

Definition at line 57 of file irlgm1fstateprocess.hpp.

timeStepCache_v_

Size timeStepCache_v_ = 0

mutableprivate

Definition at line 58 of file irlgm1fstateprocess.hpp.

cache_d_

std::vector<Real> cache_d_

mutableprivate

Definition at line 59 of file irlgm1fstateprocess.hpp.

cache_v_

std::vector<Real> cache_v_

mutableprivate

Definition at line 60 of file irlgm1fstateprocess.hpp.