LGM 1F Constant Parametrization. More...

#include <qle/models/irlgm1fconstantparametrization.hpp>

Inheritance diagram for Lgm1fConstantParametrization< TS >:

Collaboration diagram for Lgm1fConstantParametrization< TS >:

Public Member Functions
	Lgm1fConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real alpha, const Real kappa, const std::string &name=std::string())

Real	zeta (const Time t) const override

Real	H (const Time t) const override

Real	alpha (const Time t) const override

Real	kappa (const Time t) const override

Real	Hprime (const Time t) const override

Real	Hprime2 (const Time t) const override

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

Public Member Functions inherited from Lgm1fParametrization< TS >
	Lgm1fParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::string &name=std::string())

virtual Real	zeta (const Time t) const =0

virtual Real	H (const Time t) const =0

virtual Real	alpha (const Time t) const

virtual Real	kappa (const Time t) const

virtual Real	Hprime (const Time t) const

virtual Real	Hprime2 (const Time t) const

virtual Real	hullWhiteSigma (const Time t) const

const Handle< TS >	termStructure () const

Real	zetan (const Size n, const Time t, const QuantLib::ext::shared_ptr< Integrator > &integrator)

Real &	shift ()

Real &	scaling ()

Size	numberOfParameters () const override

void	update () 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

Protected Member Functions
Real	direct (const Size i, const Real x) const override

Real	inverse (const Size j, const Real y) const override

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

Private Attributes
const QuantLib::ext::shared_ptr< PseudoParameter >	alpha_

const QuantLib::ext::shared_ptr< PseudoParameter >	kappa_

const Real	zeroKappaCutoff_

Additional Inherited Members
Protected Attributes inherited from Lgm1fParametrization< TS >
Real	shift_

Real	scaling_

Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Detailed Description

template<class TS>
class QuantExt::Lgm1fConstantParametrization< TS >

LGM 1F Constant Parametrization.

Definition at line 34 of file irlgm1fconstantparametrization.hpp.

Constructor & Destructor Documentation

◆ Lgm1fConstantParametrization()

Lgm1fConstantParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Real	alpha,
		const Real	kappa,
		const std::string &	name = `std::string()`
	)

Definition at line 58 of file irlgm1fconstantparametrization.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name), alpha_(QuantLib::ext::make_shared<PseudoParameter>(1)),
      kappa_(QuantLib::ext::make_shared<PseudoParameter>(1)), zeroKappaCutoff_(1.0E-6) {
    alpha_->setParam(0, inverse(0, alpha));
    kappa_->setParam(0, inverse(1, kappa));
}

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Member Function Documentation

◆ zeta()

Real zeta ( const Time t ) const

overridevirtual

zeta must satisfy zeta(0) = 0, zeta'(t) >= 0

Implements Lgm1fParametrization< TS >.

Definition at line 77 of file irlgm1fconstantparametrization.hpp.

                                                                                         {
    return direct(0, alpha_->params()[0]) * direct(0, alpha_->params()[0]) * t / (this->scaling_ * this->scaling_);
}

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◆ H()

Real H ( const Time t ) const

overridevirtual

H must be such that H' does not change its sign

Implements Lgm1fParametrization< TS >.

Definition at line 81 of file irlgm1fconstantparametrization.hpp.

                                                                                      {
    if (std::fabs(kappa_->params()[0]) < zeroKappaCutoff_) {
        return this->scaling_ * t + this->shift_;
    } else {
        return this->scaling_ * (1.0 - std::exp(-kappa_->params()[0] * t)) / kappa_->params()[0] + this->shift_;
    }
}

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◆ alpha()

Real alpha ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 89 of file irlgm1fconstantparametrization.hpp.

                                                                                        {
    return direct(0, alpha_->params()[0]) / this->scaling_;
}

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◆ kappa()

Real kappa ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 93 of file irlgm1fconstantparametrization.hpp.

                                                                                        {
    return kappa_->params()[0];
}

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◆ Hprime()

Real Hprime ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 97 of file irlgm1fconstantparametrization.hpp.

                                                                                           {
    return this->scaling_ * std::exp(-kappa_->params()[0] * t);
}

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◆ Hprime2()

Real Hprime2 ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 101 of file irlgm1fconstantparametrization.hpp.

                                                                                            {
    return -this->scaling_ * kappa_->params()[0] * std::exp(-kappa_->params()[0] * t);
}

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◆ parameter()

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

overridevirtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

Definition at line 106 of file irlgm1fconstantparametrization.hpp.

                                                                                                            {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return alpha_;
    else
        return kappa_;
}

◆ direct()

Real direct	(	const Size	Size,
		const Real	x
	)		const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 69 of file irlgm1fconstantparametrization.hpp.

                                                                                                         {
    return i == 0 ? x * x : x;
}

◆ inverse()

Real inverse	(	const Size	j,
		const Real	y
	)		const

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 73 of file irlgm1fconstantparametrization.hpp.

                                                                                                          {
    return i == 0 ? std::sqrt(y) : y;
}

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Member Data Documentation

◆ alpha_

const QuantLib::ext::shared_ptr<PseudoParameter> alpha_

private

Definition at line 51 of file irlgm1fconstantparametrization.hpp.

◆ kappa_

const QuantLib::ext::shared_ptr<PseudoParameter> kappa_

private

Definition at line 51 of file irlgm1fconstantparametrization.hpp.

◆ zeroKappaCutoff_

const Real zeroKappaCutoff_

private

Definition at line 52 of file irlgm1fconstantparametrization.hpp.

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Lgm1fConstantParametrization()

Member Function Documentation

◆ zeta()

◆ H()

◆ alpha()

◆ kappa()

◆ Hprime()

◆ Hprime2()

◆ parameter()

◆ direct()

◆ inverse()

Member Data Documentation

◆ alpha_

◆ kappa_

◆ zeroKappaCutoff_