Lgm 1f Piecewise Linear Parametrization. More...

#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>

Inheritance diagram for Lgm1fPiecewiseLinearParametrization< TS >:

Collaboration diagram for Lgm1fPiecewiseLinearParametrization< TS >:

Public Member Functions
	Lgm1fPiecewiseLinearParametrization (const Currency &currency, const Handle< TS > &termStructure, const Array &alphaTimes, const Array &alpha, const Array &hTimes, const Array &h, 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 > &hConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	Lgm1fPiecewiseLinearParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::vector< Date > &alphaDates, const Array &alpha, const std::vector< Date > &hDates, const Array &h, 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 > &hConstraint=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 &h)

Private Member Functions inherited from PiecewiseConstantHelper11
	PiecewiseConstantHelper11 (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 >())

	PiecewiseConstantHelper11 (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 PiecewiseConstantHelper1 &	helper1 () const

const PiecewiseConstantHelper1 &	helper2 () 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_

Detailed Description

template<class TS>
class QuantExt::Lgm1fPiecewiseLinearParametrization< TS >

Lgm 1f Piecewise Linear Parametrization.

parametrization with piecewise linear H and zeta, w.r.t. zeta this is the same as piecewise constant alpha, w.r.t. H this is implemented with a new (helper) parameter h > 0, such that \(H(t) = \int_0^t h(s) ds\)

Warning:: this class is considered experimental, it is not tested well and might have conceptual issues (e.g. kappa is zero almost everywhere); you might rather want to rely on the piecewise constant parametrization

Definition at line 47 of file irlgm1fpiecewiselinearparametrization.hpp.

Constructor & Destructor Documentation

◆ Lgm1fPiecewiseLinearParametrization() [1/2]

Lgm1fPiecewiseLinearParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const Array &	alphaTimes,
		const Array &	alpha,
		const Array &	hTimes,
		const Array &	h,
		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 > &	hConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 81 of file irlgm1fpiecewiselinearparametrization.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper11(alphaTimes, hTimes, alphaConstraint, hConstraint) {
    initialize(alpha, h);
}

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◆ Lgm1fPiecewiseLinearParametrization() [2/2]

Lgm1fPiecewiseLinearParametrization	(	const Currency &	currency,
		const Handle< TS > &	termStructure,
		const std::vector< Date > &	alphaDates,
		const Array &	alpha,
		const std::vector< Date > &	hDates,
		const Array &	h,
		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 > &	hConstraint = `QuantLib::ext::make_shared<QuantLib::NoConstraint>()`
	)

Definition at line 92 of file irlgm1fpiecewiselinearparametrization.hpp.

    : Lgm1fParametrization<TS>(currency, termStructure, name),
      PiecewiseConstantHelper11(alphaDates, hDates, termStructure, alphaConstraint, hConstraint) {
    initialize(alpha, h);
}

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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 127 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                {
    return helper1().int_y_sqr(t) / (this->scaling_ * this->scaling_);
}

◆ 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 131 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                             {
    return this->scaling_ * helper2().int_y_sqr(t) + this->shift_;
}

◆ alpha()

Real alpha ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 135 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                 {
    return helper1().y(t) / this->scaling_;
}

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◆ kappa()

Real kappa ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 139 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                               {
    return 0.0; // almost everywhere
}

◆ Hprime()

Real Hprime ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 143 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                  {
    return this->scaling_ * helper2().y(t);
}

◆ Hprime2()

Real Hprime2 ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Definition at line 147 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                 {
    return 0.0; // almost everywhere
}

◆ parameterTimes()

const Array & parameterTimes ( const Size Size ) const

overridevirtual

the times associated to parameter i

Reimplemented from Parametrization.

Definition at line 157 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                                  {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return helper1().t();
    else
        return helper2().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 167 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                                   {
    QL_REQUIRE(i < 2, "parameter " << i << " does not exist, only have 0..1");
    if (i == 0)
        return helper1().p();
    else
        return helper2().p();
}

◆ 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 151 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                      {
    Lgm1fParametrization<TS>::update();
    helper1().update();
    helper2().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 119 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                                {
    return i == 0 ? helper1().direct(x) : helper2().direct(x);
}

◆ inverse()

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

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 123 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                                 {
    return i == 0 ? helper1().inverse(y) : helper2().inverse(y);
}

◆ initialize()

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

private

Definition at line 102 of file irlgm1fpiecewiselinearparametrization.hpp.

                                                                                                               {
    QL_REQUIRE(helper1().t().size() + 1 == alpha.size(),
               "alpha size (" << alpha.size() << ") inconsistent to times size (" << helper1().t().size() << ")");
    QL_REQUIRE(helper2().t().size() + 1 == h.size(),
               "h size (" << h.size() << ") inconsistent to times size (" << helper1().t().size() << ")");
    // store raw parameter values
    for (Size i = 0; i < helper1().p()->size(); ++i) {
        helper1().p()->setParam(i, inverse(0, alpha[i]));
    }
    for (Size i = 0; i < helper2().p()->size(); ++i) {
        helper2().p()->setParam(i, inverse(1, h[i]));
    }
    update();
}

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Public Member Functions

Protected Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Lgm1fPiecewiseLinearParametrization() [1/2]

◆ Lgm1fPiecewiseLinearParametrization() [2/2]

Member Function Documentation

◆ zeta()

◆ H()

◆ alpha()

◆ kappa()

◆ Hprime()

◆ Hprime2()

◆ parameterTimes()

◆ parameter()

◆ update()

◆ direct()

◆ inverse()

◆ initialize()