IrModel Class Reference

#include <qle/models/irmodel.hpp>

Inheritance diagram for IrModel:

Collaboration diagram for IrModel:

Public Types
enum class	Measure { LGM , BA }

Public Member Functions
virtual Measure	measure () const =0
virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0
virtual Handle< YieldTermStructure >	termStructure () const =0
virtual Size	n () const =0
virtual Size	m () const =0
virtual Size	n_aux () const =0
virtual Size	m_aux () const =0
virtual QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const =0
virtual QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const =0
virtual QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const =0
virtual QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const =0
Public Member Functions inherited from LinkableCalibratedModel
	LinkableCalibratedModel ()
void	update () override
virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	for backward compatibility More...
Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &)
Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility More...
const QuantLib::ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
virtual void	setParam (Size idx, const Real value)

Additional Inherited Members
Protected Member Functions inherited from LinkableCalibratedModel
virtual void	generateArguments ()
Protected Attributes inherited from LinkableCalibratedModel
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_
QuantLib::ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	endCriteria_
Array	problemValues_

Detailed Description

Definition at line 33 of file irmodel.hpp.

Member Enumeration Documentation

Measure

enum class Measure

strong

Enumerator
LGM
BA

Definition at line 35 of file irmodel.hpp.

{ LGM, BA };

Member Function Documentation

measure()

virtual Measure measure ( ) const

pure virtual

measure under which the model is operated

Implemented in HwModel, and LinearGaussMarkovModel.

parametrizationBase()

virtual const QuantLib::ext::shared_ptr< Parametrization > parametrizationBase ( ) const

pure virtual

parametrization (as base class)

Implemented in HwModel, and LinearGaussMarkovModel.

termStructure()

virtual Handle< YieldTermStructure > termStructure ( ) const

pure virtual

yield term structure to which the IrModel is (initially) calibrated

Implemented in HwModel, and LinearGaussMarkovModel.

n()

virtual Size n ( ) const

pure virtual

dimension of model state, excluding auxilliary states

Implemented in HwModel, and LinearGaussMarkovModel.

m()

virtual Size m ( ) const

pure virtual

number of Brownians to evolve the state

Implemented in HwModel, and LinearGaussMarkovModel.

n_aux()

virtual Size n_aux ( ) const

pure virtual

(effective) dimension of auxilliary state, typically to evaluate the numeraire in the BA-measure

Implemented in HwModel, and LinearGaussMarkovModel.

m_aux()

virtual Size m_aux ( ) const

pure virtual

(effective) number of Brownians required to evolve the auxilliary state, typcially for exact discretization schemes

Implemented in HwModel, and LinearGaussMarkovModel.

stateProcess()

virtual QuantLib::ext::shared_ptr< StochasticProcess > stateProcess ( ) const

pure virtual

stochastic process, this has dimension n() + n_aux() and m() + m_aux() Brownian drivers

Implemented in HwModel, and LinearGaussMarkovModel.

discountBond()

virtual QuantLib::Real discountBond ( const QuantLib::Time  t, const QuantLib::Time  T, const QuantLib::Array &  x, const QuantLib::Handle< QuantLib::YieldTermStructure > &  discountCurve = Handle< YieldTermStructure >()  ) const

pure virtual

discount bond depending on state (of dimension n())

Implemented in HwModel, and LinearGaussMarkovModel.

numeraire()

virtual QuantLib::Real numeraire ( const QuantLib::Time  t, const QuantLib::Array &  x, const QuantLib::Handle< QuantLib::YieldTermStructure > &  discountCurve = Handle< YieldTermStructure >(), const QuantLib::Array &  aux = Array()  ) const

pure virtual

numeraire depending on state and aux state (of dimensions n(), n_aux()

Implemented in HwModel, and LinearGaussMarkovModel.

shortRate()

virtual QuantLib::Real shortRate ( const QuantLib::Time  t, const QuantLib::Array &  x, const QuantLib::Handle< QuantLib::YieldTermStructure > &  discountCurve = Handle< YieldTermStructure >()  ) const

pure virtual

short rate at t

Implemented in HwModel, and LinearGaussMarkovModel.