Lgm Implied Yield Term Structure. More...

#include <qle/models/lgmimpliedyieldtermstructure.hpp>

Inheritance diagram for LgmImpliedYieldTermStructure:

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Public Member Functions
	LgmImpliedYieldTermStructure (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false, const bool cacheValues=false)

Date	maxDate () const override

Time	maxTime () const override

const Date &	referenceDate () const override

virtual void	referenceDate (const Date &d)

virtual void	referenceTime (const Time t)

void	state (const Real s)

void	move (const Date &d, const Real s)

void	move (const Time t, const Real s)

virtual void	update () override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
Real	dt_

Real	zeta_

Real	Ht_

bool	cacheValues_

const QuantLib::ext::shared_ptr< LinearGaussMarkovModel >	model_

const bool	purelyTimeBased_

Date	referenceDate_

Real	relativeTime_

Real	state_

Detailed Description

Lgm Implied Yield Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

\ingroup models

Definition at line 46 of file lgmimpliedyieldtermstructure.hpp.

Constructor & Destructor Documentation

◆ LgmImpliedYieldTermStructure()

LgmImpliedYieldTermStructure	(	const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model,
		const DayCounter &	dc = `DayCounter()`,
		const bool	purelyTimeBased = `false`,
		const bool	cacheValues = `false`
	)

Definition at line 23 of file lgmimpliedyieldtermstructure.cpp.

    : YieldTermStructure(dc == DayCounter() ? model->parametrization()->termStructure()->dayCounter() : dc),
      cacheValues_(cacheValues), model_(model), purelyTimeBased_(purelyTimeBased),
      referenceDate_(purelyTimeBased ? Null<Date>() : model_->parametrization()->termStructure()->referenceDate()),
      state_(0.0) {
    registerWith(model_);
    update();
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 121 of file lgmimpliedyieldtermstructure.hpp.

                                                        {
    // we don't care - let the underlying classes throw
    // exceptions if applicable
    return Date::maxDate();
}

◆ maxTime()

Time maxTime ( ) const

override

Definition at line 127 of file lgmimpliedyieldtermstructure.hpp.

                                                        {
    // see maxDate
    return QL_MAX_REAL;
}

◆ referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 132 of file lgmimpliedyieldtermstructure.hpp.

                                                                     {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    return referenceDate_;
}

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◆ referenceDate() [2/2]

void referenceDate ( const Date & d )

virtual

Reimplemented in LgmImpliedYtsFwdFwdCorrected.

Definition at line 138 of file lgmimpliedyieldtermstructure.hpp.

                                                                     {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    referenceDate_ = d;
    update();
}

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◆ referenceTime()

void referenceTime ( const Time t )

virtual

Reimplemented in LgmImpliedYtsFwdFwdCorrected.

Definition at line 158 of file lgmimpliedyieldtermstructure.hpp.

                                                                    {
    QL_REQUIRE(purelyTimeBased_, "reference time can only be set for purely "
                                 "time based term structure");
    relativeTime_ = t;
    notifyObservers();
}

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◆ state()

void state ( const Real s )

Definition at line 178 of file lgmimpliedyieldtermstructure.hpp.

                                                            {
    state_ = s;
    notifyObservers();
}

◆ move() [1/2]

void move	(	const Date &	d,
		const Real	s
	)

Definition at line 183 of file lgmimpliedyieldtermstructure.hpp.

                                                                          {
 
    state_ = s;
    referenceDate(d);
}

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◆ move() [2/2]

void move	(	const Time	t,
		const Real	s
	)

Definition at line 189 of file lgmimpliedyieldtermstructure.hpp.

                                                                         {
    state_ = s;
    referenceTime(t);
 
    notifyObservers();
}

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◆ update()

void update ( )

overridevirtual

Definition at line 196 of file lgmimpliedyieldtermstructure.hpp.

                                                 {
    if (!purelyTimeBased_) {
        relativeTime_ =
            dayCounter().yearFraction(model_->parametrization()->termStructure()->referenceDate(), referenceDate_);
    }
 
    notifyObservers();
}

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◆ discountImpl()

Real discountImpl ( Time t ) const

overrideprotected

Definition at line 205 of file lgmimpliedyieldtermstructure.hpp.

                                                                   {
    QL_REQUIRE(t >= 0.0, "negative time (" << t << ") given");
    return model_->discountBond(relativeTime_, relativeTime_ + t, state_);
}