LGM 1F Piecewise Constant Parametrization. More...

#include <qle/models/irlgm1fpiecewiseconstantparametrization.hpp>

Inheritance diagram for Lgm1fPiecewiseConstantParametrization< TS >:

Collaboration diagram for Lgm1fPiecewiseConstantParametrization< TS >:

Public Member Functions
	Lgm1fPiecewiseConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const Array &alphaTimes, const Array &alpha, const Array &kappaTimes, const Array &kappa, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &alphaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &kappaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	Lgm1fPiecewiseConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::vector< Date > &alphaDates, const Array &alpha, const std::vector< Date > &kappaDates, const Array &kappa, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &alphaConstraint=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

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 &alpha, const Array &kappa)

Private Member Functions inherited from PiecewiseConstantHelper1
	PiecewiseConstantHelper1 (const Array &t, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper1 (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	int_y_sqr (const Time t) const
	int_0^t y^2(s) ds More...

Real	direct (const Real x) const

Real	inverse (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 PiecewiseConstantHelper1
const Array	t_

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

Private Attributes inherited from PiecewiseConstantHelper2
const Array	t_

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

Detailed Description

template<class TS>
class QuantExt::Lgm1fPiecewiseConstantParametrization< TS >

LGM 1F Piecewise Constant Parametrization.

Definition at line 36 of file irlgm1fpiecewiseconstantparametrization.hpp.

Constructor & Destructor Documentation

◆ Lgm1fPiecewiseConstantParametrization() [1/2]

Lgm1fPiecewiseConstantParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Array &	alphaTimes,
		const Array &	alpha,
		const Array &	kappaTimes,
		const Array &	kappa,
		const std::string &	name = `std::string()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	alphaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	kappaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 73 of file irlgm1fpiecewiseconstantparametrization.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper1(alphaTimes, alphaConstraint),
      PiecewiseConstantHelper2(kappaTimes, kappaConstraint) {
    initialize(alpha, kappa);
}

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◆ Lgm1fPiecewiseConstantParametrization() [2/2]

Lgm1fPiecewiseConstantParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const std::vector< Date > &	alphaDates,
		const Array &	alpha,
		const std::vector< Date > &	kappaDates,
		const Array &	kappa,
		const std::string &	name = `std::string()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	alphaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	kappaConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 85 of file irlgm1fpiecewiseconstantparametrization.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper1(alphaDates, termStructure, alphaConstraint),
      PiecewiseConstantHelper2(kappaDates, termStructure, kappaConstraint) {
    initialize(alpha, 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 123 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                  {
    return PiecewiseConstantHelper1::int_y_sqr(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 127 of file irlgm1fpiecewiseconstantparametrization.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 131 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                   {
    return PiecewiseConstantHelper1::y(t) / this->scaling_;
}

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◆ kappa()

Real kappa ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 135 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                   {
    return PiecewiseConstantHelper2::y(t);
}

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◆ Hprime()

Real Hprime ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 139 of file irlgm1fpiecewiseconstantparametrization.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 143 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                     {
    return -this->scaling_ * PiecewiseConstantHelper2::exp_m_int_y(t) * kappa(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 153 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                                    {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return PiecewiseConstantHelper1::t_;
    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 162 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                                     {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return PiecewiseConstantHelper1::y_;
    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 147 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                        {
    Lgm1fParametrization<TS>::update();
    PiecewiseConstantHelper1::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 115 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                                  {
    return i == 0 ? PiecewiseConstantHelper1::direct(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 119 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                                   {
    return i == 0 ? PiecewiseConstantHelper1::inverse(y) : PiecewiseConstantHelper2::inverse(y);
}

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◆ initialize()

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

private

Definition at line 96 of file irlgm1fpiecewiseconstantparametrization.hpp.

                                                                                                                     {
    QL_REQUIRE(PiecewiseConstantHelper1::t().size() + 1 == alpha.size(),
               "alpha size (" << alpha.size() << ") inconsistent to times size ("
                              << PiecewiseConstantHelper1::t().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 < PiecewiseConstantHelper1::y_->size(); ++i) {
        PiecewiseConstantHelper1::y_->setParam(i, inverse(0, alpha[i]));
    }
    for (Size i = 0; i < PiecewiseConstantHelper2::y_->size(); ++i) {
        PiecewiseConstantHelper2::y_->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

◆ Lgm1fPiecewiseConstantParametrization() [1/2]

◆ Lgm1fPiecewiseConstantParametrization() [2/2]

Member Function Documentation

◆ zeta()

◆ H()

◆ alpha()

◆ kappa()

◆ Hprime()

◆ Hprime2()

◆ parameterTimes()

◆ parameter()

◆ update()

◆ direct()

◆ inverse()

◆ initialize()