LGM 1f Piecewise Constant Hull White Adaptor. More...

#include <qle/models/irlgm1fpiecewiseconstanthullwhiteadaptor.hpp>

Inheritance diagram for Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >:

Collaboration diagram for Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >:

Public Member Functions
	Lgm1fPiecewiseConstantHullWhiteAdaptor (const Currency &currency, const Handle< TS > &termStructure, const Array &sigmaTimes, const Array &sigma, const Array &kappaTimes, const Array &kappa, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &sigmaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &kappaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	Lgm1fPiecewiseConstantHullWhiteAdaptor (const Currency &currency, const Handle< TS > &termStructure, const std::vector< Date > &sigmaDates, const Array &sigma, const std::vector< Date > &kappaDates, const Array &kappa, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &sigmaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &kappaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

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

Real	hullWhiteSigma (const Time t) const override

const Array &	parameterTimes (const Size) const override

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

void	update () 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 Member Functions
void	initialize (const Array &sigma, const Array &kappa)

Private Member Functions inherited from PiecewiseConstantHelper3
	PiecewiseConstantHelper3 (const Array &t1, const Array &t2, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint1=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint2=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper3 (const std::vector< Date > &dates1, const std::vector< Date > &dates2, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint1=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint2=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

const Array &	t1 () const

const Array &	t2 () const

const Array &	tUnion () const

const QuantLib::ext::shared_ptr< Parameter >	p1 () const

const QuantLib::ext::shared_ptr< Parameter >	p2 () const

void	update () const

Real	y1 (const Time t) const

Real	y2 (const Time t) const

Real	int_y1_sqr_exp_2_int_y2 (const Time t) const
	int_0^t y1^2(s) exp(2*int_0^s y2(u) du) ds More...

Real	direct1 (const Real x) const

Real	inverse1 (const Real y) const

Real	direct2 (const Real x) const

Real	inverse2 (const Real y) const

Private Member Functions inherited from PiecewiseConstantHelper2
	PiecewiseConstantHelper2 (const Array &t, const QuantLib::ext::shared_ptr< PseudoParameter > &y)

	PiecewiseConstantHelper2 (const Array &t, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper2 (const std::vector< Date > &dates, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

const Array &	t () const

const QuantLib::ext::shared_ptr< Parameter >	p () const

void	update () const

Real	y (const Time t) const

Real	exp_m_int_y (const Time t) const
	exp(int_0^t -y(s)) ds More...

Real	int_exp_m_int_y (const Time t) const
	int_0^t exp(int_0^s -y(u) du) ds More...

Real	direct (const Real x) const

Real	inverse (const Real y) const

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

Real	scaling_

Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Private Attributes inherited from PiecewiseConstantHelper3
const Array	t1_

const Array	t2_

Array	tUnion_

const QuantLib::ext::shared_ptr< PseudoParameter >	y1_

const QuantLib::ext::shared_ptr< PseudoParameter >	y2_

Array	y1Union_

Array	y2Union_

Private Attributes inherited from PiecewiseConstantHelper2
const Array	t_

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

Detailed Description

template<class TS>
class QuantExt::Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >

LGM 1f Piecewise Constant Hull White Adaptor.

Definition at line 37 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

Constructor & Destructor Documentation

◆ Lgm1fPiecewiseConstantHullWhiteAdaptor() [1/2]

Lgm1fPiecewiseConstantHullWhiteAdaptor	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Array &	sigmaTimes,
		const Array &	sigma,
		const Array &	kappaTimes,
		const Array &	kappa,
		const std::string &	name = `std::string()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	sigmaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	kappaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 74 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper3(sigmaTimes, kappaTimes, sigmaConstraint, kappaConstraint),
      PiecewiseConstantHelper2(PiecewiseConstantHelper3::t2_, PiecewiseConstantHelper3::y2_) {
    initialize(sigma, kappa);
}

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◆ Lgm1fPiecewiseConstantHullWhiteAdaptor() [2/2]

Lgm1fPiecewiseConstantHullWhiteAdaptor	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const std::vector< Date > &	sigmaDates,
		const Array &	sigma,
		const std::vector< Date > &	kappaDates,
		const Array &	kappa,
		const std::string &	name = `std::string()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	sigmaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	kappaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 86 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper3(sigmaDates, kappaDates, termStructure, sigmaConstraint, kappaConstraint),
      PiecewiseConstantHelper2(PiecewiseConstantHelper3::t2_,PiecewiseConstantHelper3::y2_) {
    initialize(sigma, 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 126 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                   {
    return PiecewiseConstantHelper3::int_y1_sqr_exp_2_int_y2(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 134 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                {
    return this->scaling_ * PiecewiseConstantHelper2::int_exp_m_int_y(t) + this->shift_;
}

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◆ alpha()

Real alpha ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 130 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                    {
    return hullWhiteSigma(t) / Hprime(t) / this->scaling_;
}

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◆ kappa()

Real kappa ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 138 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                    {
    return PiecewiseConstantHelper2::y(t);
}

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◆ Hprime()

Real Hprime ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 142 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                     {
    return this->scaling_ * PiecewiseConstantHelper2::exp_m_int_y(t);
}

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◆ Hprime2()

Real Hprime2 ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 146 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                      {
    return -this->scaling_ * PiecewiseConstantHelper2::exp_m_int_y(t) * kappa(t);
}

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◆ hullWhiteSigma()

Real hullWhiteSigma ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 150 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                             {
    return PiecewiseConstantHelper3::y1(t);
}

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◆ parameterTimes()

const Array & parameterTimes ( const Size Size ) const

overridevirtual

the times associated to parameter i

Reimplemented from Parametrization.

Definition at line 160 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                                     {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return PiecewiseConstantHelper3::t1_;
    else
        return PiecewiseConstantHelper2::t_;
}

◆ 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 169 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                                      {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return PiecewiseConstantHelper3::y1_;
    else
        return PiecewiseConstantHelper2::y_;
}

◆ update()

void update

overridevirtual

this method should be called when input parameters linked via references or pointers change in order to ensure consistent results

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 154 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                         {
    Lgm1fParametrization<TS>::update();
    PiecewiseConstantHelper3::update();
    PiecewiseConstantHelper2::update();
}

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◆ direct()

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

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 118 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                                   {
    return i == 0 ? PiecewiseConstantHelper3::direct1(x) : PiecewiseConstantHelper2::direct(x);
}

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◆ inverse()

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

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 122 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                                    {
    return i == 0 ? PiecewiseConstantHelper3::inverse1(y) : PiecewiseConstantHelper2::inverse(y);
}

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◆ initialize()

void initialize	(	const Array &	sigma,
		const Array &	kappa
	)

private

Definition at line 98 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.

                                                                                                  {
    QL_REQUIRE(PiecewiseConstantHelper3::t1().size() + 1 == sigma.size(),
               "sigma size (" << sigma.size() << ") inconsistent to times size ("
                              << PiecewiseConstantHelper3::t1().size() << ")");
    QL_REQUIRE(PiecewiseConstantHelper2::t().size() + 1 == kappa.size(),
               "kappa size (" << kappa.size() << ") inconsistent to times size ("
                              << PiecewiseConstantHelper2::t().size() << ")");
 
    // store raw parameter values
    for (Size i = 0; i < PiecewiseConstantHelper3::y1_->size(); ++i) {
        PiecewiseConstantHelper3::y1_->setParam(i, inverse(0, sigma[i]));
    }
    for (Size i = 0; i < PiecewiseConstantHelper3::y2_->size(); ++i) {
        PiecewiseConstantHelper3::y2_->setParam(i, inverse(1, kappa[i]));
    }
    update();
}

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Public Member Functions

Protected Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Lgm1fPiecewiseConstantHullWhiteAdaptor() [1/2]

◆ Lgm1fPiecewiseConstantHullWhiteAdaptor() [2/2]

Member Function Documentation

◆ zeta()

◆ H()

◆ alpha()

◆ kappa()

◆ Hprime()

◆ Hprime2()

◆ hullWhiteSigma()

◆ parameterTimes()

◆ parameter()

◆ update()

◆ direct()

◆ inverse()

◆ initialize()