Linear Gauss Morkov Model. More...

#include <qle/models/lgm.hpp>

Inheritance diagram for LinearGaussMarkovModel:

Collaboration diagram for LinearGaussMarkovModel:

Public Types
enum class	Discretization { Euler , Exact }

Public Types inherited from IrModel
enum class	Measure { LGM , BA }

Public Member Functions
	LinearGaussMarkovModel (const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization, const Measure measure=Measure::LGM, const Discretization=Discretization::Euler, const bool evaluateBankAccount=true, const QuantLib::ext::shared_ptr< Integrator > &integrator=QuantLib::ext::make_shared< SimpsonIntegral >(1.0E-8, 100))

Measure	measure () const override
	IrModel interface. More...

const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const override

Handle< YieldTermStructure >	termStructure () const override

Size	n () const override

Size	m () const override

Size	n_aux () const override

Size	m_aux () const override

QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const override

QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override

QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const override

QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override

const QuantLib::ext::shared_ptr< IrLgm1fParametrization >	parametrization () const
	LGM specific methods. More...

Real	numeraire (const Time t, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	bankAccountNumeraire (const Time t, const Real x, const Real y, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	discountBond (const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	reducedDiscountBond (const Time t, const Time T, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	discountBondOption (Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

void	calibrateVolatilitiesIterative (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateReversionsIterative (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateVolatilities (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateReversions (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	update () override

void	generateArguments () override

std::vector< bool >	MoveVolatility (const Size i)

std::vector< bool >	MoveReversion (const Size i)

void	setCalibrationInfo (const LgmCalibrationInfo &calibrationInfo)

const LgmCalibrationInfo &	getCalibrationInfo () const

virtual Measure	measure () const =0

virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0

virtual Handle< YieldTermStructure >	termStructure () const =0

virtual Size	n () const =0

virtual Size	m () const =0

virtual Size	n_aux () const =0

virtual Size	m_aux () const =0

virtual QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const =0

virtual QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const =0

virtual QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const =0

virtual QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const =0

Public Member Functions inherited from LinkableCalibratedModel
	LinkableCalibratedModel ()

void	update () override

virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...

virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	for backward compatibility More...

Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &)

Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility More...

const QuantLib::ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

virtual void	setParam (Size idx, const Real value)

Private Attributes
QuantLib::ext::shared_ptr< IrLgm1fParametrization >	parametrization_

QuantLib::ext::shared_ptr< Integrator >	integrator_

Measure	measure_

Discretization	discretization_

bool	evaluateBankAccount_

QuantLib::ext::shared_ptr< StochasticProcess1D >	stateProcess_

LgmCalibrationInfo	calibrationInfo_

Additional Inherited Members
virtual void	generateArguments ()

Protected Attributes inherited from LinkableCalibratedModel
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_

QuantLib::ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	endCriteria_

Array	problemValues_

Detailed Description

Linear Gauss Morkov Model.

LGM 1f interest rate model Basically the same remarks as for CrossAssetModel hold

Definition at line 46 of file lgm.hpp.

Member Enumeration Documentation

◆ Discretization

enum class Discretization

strong

Enumerator
Euler
Exact

Definition at line 48 of file lgm.hpp.

48{ Euler, Exact };

QuantExt::LinearGaussMarkovModel::Discretization::Euler

@ Euler

QuantExt::LinearGaussMarkovModel::Discretization::Exact

@ Exact

Constructor & Destructor Documentation

◆ LinearGaussMarkovModel()

LinearGaussMarkovModel	(	const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &	parametrization,
		const Measure	measure = `Measure::LGM`,
		const Discretization	discretization = `Discretization::Euler`,
		const bool	evaluateBankAccount = `true`,
		const QuantLib::ext::shared_ptr< Integrator > &	integrator = `QuantLib::ext::make_shared<SimpsonIntegral>(1.0E-8, 100)`
	)

Definition at line 26 of file lgm.cpp.

    : parametrization_(parametrization), measure_(measure), discretization_(discretization),
      evaluateBankAccount_(evaluateBankAccount) {
    QL_REQUIRE(parametrization_ != nullptr, "HwModel: parametrization is null");
    stateProcess_ = QuantLib::ext::make_shared<IrLgm1fStateProcess>(parametrization_);
    arguments_.resize(2);
    arguments_[0] = parametrization_->parameter(0);
    arguments_[1] = parametrization_->parameter(1);
    registerWith(parametrization_->termStructure());
 
    std::vector<Time> allTimes;
    for (Size i = 0; i < 2; ++i)
        allTimes.insert(allTimes.end(), parametrization_->parameterTimes(i).begin(),
                        parametrization_->parameterTimes(i).end());
 
    integrator_ = QuantLib::ext::make_shared<PiecewiseIntegral>(integrator, allTimes, true);
}

Member Function Documentation

◆ measure()

Measure measure ( ) const

overridevirtual

IrModel interface.

Implements IrModel.

Definition at line 58 of file lgm.hpp.

58{ return measure_; }

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◆ parametrizationBase()

const QuantLib::ext::shared_ptr< Parametrization > parametrizationBase ( ) const

overridevirtual

parametrization (as base class)

Implements IrModel.

Definition at line 59 of file lgm.hpp.

59{ return parametrization_; }

◆ termStructure()

Handle< YieldTermStructure > termStructure ( ) const

overridevirtual

yield term structure to which the IrModel is (initially) calibrated

Implements IrModel.

Definition at line 60 of file lgm.hpp.

60{ return parametrization_->termStructure(); }

◆ n()

Size n ( ) const

overridevirtual

dimension of model state, excluding auxilliary states

Implements IrModel.

Definition at line 58 of file lgm.cpp.

58{ return 1; }

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◆ m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements IrModel.

Definition at line 59 of file lgm.cpp.

59{ return 1; }

◆ n_aux()

Size n_aux ( ) const

overridevirtual

(effective) dimension of auxilliary state, typically to evaluate the numeraire in the BA-measure

Implements IrModel.

Definition at line 60 of file lgm.cpp.

60{ return evaluateBankAccount_ && measure_ == Measure::BA ? 1 : 0; }

QuantExt::IrModel::Measure::BA

@ BA

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◆ m_aux()

Size m_aux ( ) const

overridevirtual

(effective) number of Brownians required to evolve the auxilliary state, typcially for exact discretization schemes

Implements IrModel.

Definition at line 61 of file lgm.cpp.

                                         {
    return evaluateBankAccount_ && measure_ == Measure::BA && discretization_ == Discretization::Exact ? 1 : 0;
}

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◆ stateProcess()

QuantLib::ext::shared_ptr< StochasticProcess > stateProcess ( ) const

overridevirtual

stochastic process, this has dimension n() + n_aux() and m() + m_aux() Brownian drivers

Implements IrModel.

Definition at line 175 of file lgm.hpp.

                                                                                           {
    QL_REQUIRE(measure_ == Measure::LGM, "LinearGaussMarkovModel::stateProcess() only supports measure = LGM");
    return stateProcess_;
}

◆ discountBond() [1/2]

QuantLib::Real discountBond	(	const QuantLib::Time	t,
		const QuantLib::Time	T,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`
	)		const

overridevirtual

discount bond depending on state (of dimension n())

Implements IrModel.

Definition at line 181 of file lgm.hpp.

                                                                                                            {
    QL_REQUIRE(x.size() == n(), "LinearGaussMarkovModel::discountBond() requires input state of dimension " << n());
    return discountBond(t, T, x[0], discountCurve);
}

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◆ numeraire() [1/2]

QuantLib::Real numeraire	(	const QuantLib::Time	t,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`,
		const QuantLib::Array &	aux = `Array()`
	)		const

overridevirtual

numeraire depending on state and aux state (of dimensions n(), n_aux()

Implements IrModel.

Definition at line 188 of file lgm.hpp.

                                                                  {
    QL_REQUIRE(x.size() == n(), "LinearGaussMarkovModel::numeraire() requires input state of dimension " << n());
    QL_REQUIRE(aux.size() == n_aux(),
               "LinearGaussMarkovModel::numeraire() requires aux input state of dimension " << n_aux());
    if (measure() == Measure::LGM) {
        return numeraire(t, x[0], discountCurve);
    } else {
        return bankAccountNumeraire(t, x[0], aux[0], discountCurve);
    }
}

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◆ shortRate()

QuantLib::Real shortRate	(	const QuantLib::Time	t,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`
	)		const

overridevirtual

short rate at t

Implements IrModel.

Definition at line 227 of file lgm.hpp.

                                                                                                         {
    QL_FAIL("LGM does not provide short rate.");
}

◆ parametrization()

const QuantLib::ext::shared_ptr< IrLgm1fParametrization > parametrization ( ) const

LGM specific methods.

Definition at line 201 of file lgm.hpp.

                                                                                                         {
    return parametrization_;
}

◆ numeraire() [2/2]

Real numeraire	(	const Time	t,
		const Real	x,
		const Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

Definition at line 205 of file lgm.hpp.

                                                                                                    {
    QL_REQUIRE(t >= 0.0, "t (" << t << ") >= 0 required in LGM::numeraire");
    Real Ht = parametrization_->H(t);
    return std::exp(Ht * x + 0.5 * Ht * Ht * parametrization_->zeta(t)) /
           (discountCurve.empty() ? parametrization_->termStructure()->discount(t) : discountCurve->discount(t));
}

◆ bankAccountNumeraire()

Real bankAccountNumeraire	(	const Time	t,
		const Real	x,
		const Real	y,
		const Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

Bank account measure numeraire B(t) as a function of LGM state variable x (with drift) and auxiliary state variable y

Definition at line 47 of file lgm.cpp.

                                                                                                        {
    QL_REQUIRE(t >= 0.0, "t (" << t << ") >= 0 required in LGM::bankAccountNumeraire");
    Real Ht = parametrization_->H(t);
    Real zeta0 = parametrization_->zeta(t);
    Real zeta2 = parametrization_->zetan(2, t, integrator_);
    Real Vt = 0.5 * (Ht * Ht * zeta0 + zeta2);
    return std::exp(Ht * x - y + Vt) /
           (discountCurve.empty() ? parametrization_->termStructure()->discount(t) : discountCurve->discount(t));
}

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◆ discountBond() [2/2]

Real discountBond	(	const Time	t,
		const Time	T,
		const Real	x,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

Definition at line 213 of file lgm.hpp.

                                                                                                       {
    if (QuantLib::close_enough(t, T))
        return 1.0;
    QL_REQUIRE(T >= t && t >= 0.0, "T(" << T << ") >= t(" << t << ") >= 0 required in LGM::discountBond");
    Real Ht = parametrization_->H(t);
    Real HT = parametrization_->H(T);
    return (discountCurve.empty()
                ? parametrization_->termStructure()->discount(T) / parametrization_->termStructure()->discount(t)
                : discountCurve->discount(T) / discountCurve->discount(t)) *
           std::exp(-(HT - Ht) * x - 0.5 * (HT * HT - Ht * Ht) * parametrization_->zeta(t));
}

◆ reducedDiscountBond()

Real reducedDiscountBond	(	const Time	t,
		const Time	T,
		const Real	x,
		const Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

Definition at line 232 of file lgm.hpp.

                                                                                                              {
    if (QuantLib::close_enough(t, T))
        return 1.0 / numeraire(t, x, discountCurve);
    QL_REQUIRE(T >= t && t >= 0.0, "T(" << T << ") >= t(" << t << ") >= 0 required in LGM::reducedDiscountBond");
    Real HT = parametrization_->H(T);
    return (discountCurve.empty() ? parametrization_->termStructure()->discount(T) : discountCurve->discount(T)) *
           std::exp(-HT * x - 0.5 * HT * HT * parametrization_->zeta(t));
}

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◆ discountBondOption()

Real discountBondOption	(	Option::Type	type,
		const Real	K,
		const Time	t,
		const Time	S,
		const Time	T,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

Definition at line 242 of file lgm.hpp.

                                                                                                             {
    QL_REQUIRE(T > S && S >= t && t >= 0.0,
               "T(" << T << ") > S(" << S << ") >= t(" << t << ") >= 0 required in LGM::discountBondOption");
    Real w = (type == Option::Call ? 1.0 : -1.0);
    Real pS = discountCurve.empty() ? parametrization_->termStructure()->discount(S) : discountCurve->discount(S);
    Real pT = discountCurve.empty() ? parametrization_->termStructure()->discount(T) : discountCurve->discount(T);
    // slight generalization of Lichters, Stamm, Gallagher 11.2.1
    // with t < S, SSRN: https://ssrn.com/abstract=2246054
    Real sigma = std::sqrt(parametrization_->zeta(t)) * (parametrization_->H(T) - parametrization_->H(S));
    Real dp = std::log(pT / (K * pS)) / sigma + 0.5 * sigma * sigma;
    Real dm = dp - sigma;
    CumulativeNormalDistribution N;
    return w * (pT * N(w * dp) - pS * K * N(w * dm));
}

◆ calibrateVolatilitiesIterative()

void calibrateVolatilitiesIterative	(	const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector<Real>()`
	)

calibrate volatilities to a sequence of ir options with expiry times equal to step times in the parametrization

Definition at line 259 of file lgm.hpp.

                                                                                                  {
    for (Size i = 0; i < helpers.size(); ++i) {
        std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>> h(1, helpers[i]);
        calibrate(h, method, endCriteria, constraint, weights, MoveVolatility(i));
    }
    update();
}

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◆ calibrateReversionsIterative()

void calibrateReversionsIterative	(	const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector<Real>()`
	)

calibrate reversion to a sequence of ir options with maturities equal to step times in the parametrization

Definition at line 269 of file lgm.hpp.

                                                                                                  {
    for (Size i = 0; i < helpers.size(); ++i) {
        std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>> h(1, helpers[i]);
        calibrate(h, method, endCriteria, constraint, weights, MoveReversion(i));
    }
    update();
}

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◆ calibrateVolatilities()

void calibrateVolatilities	(	const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector<Real>()`
	)

calibrate volatilities globally

Definition at line 280 of file lgm.hpp.

                                                                                                            {
    std::vector<bool> moveVols(parametrization_->parameter(0)->size() + parametrization_->parameter(1)->size(), true);
    for (Size i = 0; i < parametrization_->parameter(0)->size(); ++i)
        moveVols[i] = false;
    calibrate(helpers, method, endCriteria, constraint, weights, moveVols);
    update();
}

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◆ calibrateReversions()

void calibrateReversions	(	const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector<Real>()`
	)

calibrate volatilities globally

Definition at line 291 of file lgm.hpp.

                                                                                                          {
    std::vector<bool> moveRevs(parametrization_->parameter(0)->size() + parametrization_->parameter(1)->size(), true);
    for (Size i = 0; i < parametrization_->parameter(1)->size(); ++i)
        moveRevs[parametrization_->parameter(0)->size() + i] = false;
    calibrate(helpers, method, endCriteria, constraint, weights, moveRevs);
    update();
}

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◆ update()

void update ( )

override

observer and linked calibrated model interface

Definition at line 168 of file lgm.hpp.

                                           {
    parametrization_->update();
    notifyObservers();
}

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◆ generateArguments()

void generateArguments ( )

overridevirtual

Reimplemented from LinkableCalibratedModel.

Definition at line 173 of file lgm.hpp.

173{ update(); }

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◆ MoveVolatility()

std::vector< bool > MoveVolatility ( const Size i )

calibration constraints, these can be used directly, or through the customized calibrate methods above

Definition at line 133 of file lgm.hpp.

                                                 {
        QL_REQUIRE(i < parametrization_->parameter(0)->size(),
                   "volatility index (" << i << ") out of range 0..." << parametrization_->parameter(0)->size() - 1);
        std::vector<bool> res(parametrization_->parameter(0)->size() + parametrization_->parameter(1)->size(), true);
        res[i] = false;
        return res;
    }

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◆ MoveReversion()

std::vector< bool > MoveReversion ( const Size i )

Definition at line 141 of file lgm.hpp.

                                                {
        QL_REQUIRE(i < parametrization_->parameter(1)->size(),
                   "reversion index (" << i << ") out of range 0..." << parametrization_->parameter(1)->size() - 1);
        std::vector<bool> res(parametrization_->parameter(0)->size() + parametrization_->parameter(1)->size(), true);
        res[parametrization_->parameter(0)->size() + i] = false;
        return res;
    }

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◆ setCalibrationInfo()

void setCalibrationInfo ( const LgmCalibrationInfo & calibrationInfo )

set info on how the model was calibrated

Definition at line 150 of file lgm.hpp.

150{ calibrationInfo_ = calibrationInfo; }

QuantExt::LinearGaussMarkovModel::calibrationInfo_

LgmCalibrationInfo calibrationInfo_

Definition: lgm.hpp:161

◆ getCalibrationInfo()

const LgmCalibrationInfo & getCalibrationInfo ( ) const

get info on how the model was calibrated

Definition at line 152 of file lgm.hpp.

152{ return calibrationInfo_; }

Member Data Documentation

◆ parametrization_

QuantLib::ext::shared_ptr<IrLgm1fParametrization> parametrization_

private

Definition at line 155 of file lgm.hpp.

◆ integrator_

QuantLib::ext::shared_ptr<Integrator> integrator_

private

Definition at line 156 of file lgm.hpp.

◆ measure_

Measure measure_

private

Definition at line 157 of file lgm.hpp.

◆ discretization_

Discretization discretization_

private

Definition at line 158 of file lgm.hpp.

◆ evaluateBankAccount_

bool evaluateBankAccount_

private

Definition at line 159 of file lgm.hpp.

◆ stateProcess_

QuantLib::ext::shared_ptr<StochasticProcess1D> stateProcess_

private

Definition at line 160 of file lgm.hpp.

◆ calibrationInfo_

LgmCalibrationInfo calibrationInfo_

private

Definition at line 161 of file lgm.hpp.

Public Types

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Discretization

Constructor & Destructor Documentation

◆ LinearGaussMarkovModel()

Member Function Documentation

◆ measure()

◆ parametrizationBase()

◆ termStructure()

◆ n()

◆ m()

◆ n_aux()

◆ m_aux()

◆ stateProcess()

◆ discountBond() [1/2]

◆ numeraire() [1/2]

◆ shortRate()

◆ parametrization()

◆ numeraire() [2/2]

◆ bankAccountNumeraire()

◆ discountBond() [2/2]

◆ reducedDiscountBond()

◆ discountBondOption()

◆ calibrateVolatilitiesIterative()

◆ calibrateReversionsIterative()

◆ calibrateVolatilities()

◆ calibrateReversions()

◆ update()

◆ generateArguments()

◆ MoveVolatility()

◆ MoveReversion()

◆ setCalibrationInfo()

◆ getCalibrationInfo()

Member Data Documentation

◆ parametrization_

◆ integrator_

◆ measure_

◆ discretization_

◆ evaluateBankAccount_

◆ stateProcess_

◆ calibrationInfo_