Parametrization Class Reference

Parametrization. More...

#include <qle/models/parametrization.hpp>

Inheritance diagram for Parametrization:

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Public Member Functions
	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
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

Protected Attributes
const Real	h_
const Real	h2_

Private Attributes
Currency	currency_
std::string	name_
const Array	emptyTimes_
const QuantLib::ext::shared_ptr< Parameter >	emptyParameter_

Detailed Description

Parametrization.

Base class for classes representing model parameters. There is a disctinction between "actual" and "raw" parameters. The "actual" parameter value is the true value of the parameter, e.g. 0.20 to represent a black scholes volatility of 20%. The "raw" parameter is derived from the actual parameter by applying a transformation

actual value = direct( raw value ) raw value = inverse( actual value )

The idea behind that is that the optimization during a model calibration can be performed as an unconstrained optimization which usually works more stable and is faster than a constrained optimization. For example, to ensure a positive black volatility one can use the transformation

direct ( x ) = x * x

To ensure a valid correlation one can use the transformation

direct ( x ) = (atan( x ) + pi / 2) / pi

and so forth. To implement you own transformation you can overwrite the direct() and inverse() methods. The default implementation of these methods represents the trivial transformation (identity, i.e. direct( x ) = x ).

Definition at line 57 of file parametrization.hpp.

Constructor & Destructor Documentation

Parametrization()

Parametrization	(	const Currency &	currency,
		const std::string &	name = ""
	)

Definition at line 23 of file parametrization.cpp.

    : h_(1.0E-6), h2_(1.0E-4), currency_(currency), name_(name), emptyParameter_(QuantLib::ext::make_shared<NullParameter>()) {}

~Parametrization()

virtual ~Parametrization ( )

virtual

Definition at line 60 of file parametrization.hpp.

{}

Member Function Documentation

currency()

const Currency & currency ( ) const

virtual

the currency associated to this parametrization

Definition at line 124 of file parametrization.hpp.

{ return currency_; }

parameterTimes()

const Array & parameterTimes ( const  Size ) const

virtual

the times associated to parameter i

Reimplemented in EqBsPiecewiseConstantParametrization, FxBsPiecewiseConstantParametrization, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseLinearParametrization< TS >.

Definition at line 126 of file parametrization.hpp.

{ return emptyTimes_; }

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numberOfParameters()

virtual Size numberOfParameters ( ) const

virtual

the number of parameters in this parametrization

Reimplemented in CirppParametrization< TS >, CommoditySchwartzParametrization, EqBsParametrization, FxBsParametrization, HwParametrization< TS >, InfJyParameterization, and Lgm1fParametrization< TS >.

Definition at line 69 of file parametrization.hpp.

{ return 0; }

parameterValues()

Array parameterValues ( const Size  i ) const

virtual

the actual parameter values

Definition at line 130 of file parametrization.hpp.

                                                                {
    const Array& tmp = parameter(i)->params();
    Array res(tmp.size());
    for (Size ii = 0; ii < res.size(); ++ii) {
        res[ii] = direct(i, tmp[ii]);
    }
    return res;
}

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parameter()

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

virtual

the parameter storing the raw parameter values

Reimplemented in CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, CommoditySchwartzParametrization, EqBsConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsPiecewiseConstantParametrization, Lgm1fConstantParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseLinearParametrization< TS >.

Definition at line 128 of file parametrization.hpp.

{ return emptyParameter_; }

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update()

void update ( ) const

virtual

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

Reimplemented in EqBsPiecewiseConstantParametrization, FxBsPiecewiseConstantParametrization, HwParametrization< TS >, InfJyParameterization, Lgm1fParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseLinearParametrization< TS >.

Definition at line 108 of file parametrization.hpp.

{}

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name()

const std::string & name

(

)

const

return a name (inflation index, equity name, credit name, etc.)

Definition at line 83 of file parametrization.hpp.

{ return name_; }

direct()

Real direct ( const  Size, const Real  x  ) const

virtual

transformations between raw and actual parameters

Reimplemented in CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, CommoditySchwartzParametrization, EqBsConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsPiecewiseConstantParametrization, Lgm1fConstantParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseLinearParametrization< TS >.

Definition at line 120 of file parametrization.hpp.

{ return x; }

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inverse()

Real inverse ( const  Size, const Real  y  ) const

virtual

Reimplemented in CommoditySchwartzParametrization, EqBsConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsPiecewiseConstantParametrization, CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, Lgm1fConstantParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseLinearParametrization< TS >.

Definition at line 122 of file parametrization.hpp.

{ return y; }

tr()

Time tr ( const Time  t ) const

protected

adjusted central difference scheme

Definition at line 110 of file parametrization.hpp.

{ return t > 0.5 * h_ ? t + 0.5 * h_ : h_; }

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tl()

Time tl ( const Time  t ) const

protected

Definition at line 112 of file parametrization.hpp.

{ return std::max(t - 0.5 * h_, 0.0); }

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tr2()

Time tr2 ( const Time  t ) const

protected

Definition at line 114 of file parametrization.hpp.

{ return t > h2_ ? t + h2_ : 2.0 * h2_; }

tm2()

Time tm2 ( const Time  t ) const

protected

Definition at line 116 of file parametrization.hpp.

{ return t > h2_ ? t : h2_; }

tl2()

Time tl2 ( const Time  t ) const

protected

Definition at line 118 of file parametrization.hpp.

{ return std::max(t - h2_, 0.0); }

Member Data Documentation

h_

const Real h_

protected

step size for numerical differentiation

Definition at line 91 of file parametrization.hpp.

h2_

const Real h2_

protected

Definition at line 91 of file parametrization.hpp.

currency_

Currency currency_

private

Definition at line 100 of file parametrization.hpp.

name_

std::string name_

private

Definition at line 101 of file parametrization.hpp.

emptyTimes_

const Array emptyTimes_

private

Definition at line 102 of file parametrization.hpp.

emptyParameter_

const QuantLib::ext::shared_ptr<Parameter> emptyParameter_

private

Definition at line 103 of file parametrization.hpp.