#include <qle/models/piecewiseconstanthelper.hpp>

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Public Member Functions
	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

Protected Attributes
const Array	t_

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

Private Attributes
const Real	zeroCutoff_

std::vector< Real >	b_

std::vector< Real >	c_

Detailed Description

Piecewise Constant Helper2.

Definition at line 92 of file piecewiseconstanthelper.hpp.

Constructor & Destructor Documentation

◆ PiecewiseConstantHelper2() [1/3]

PiecewiseConstantHelper2	(	const Array &	t,
		const QuantLib::ext::shared_ptr< PseudoParameter > &	y
	)

Definition at line 88 of file piecewiseconstanthelper.cpp.

89 : zeroCutoff_(1.0E-6), t_(t), y_(p) {}

QuantExt::PiecewiseConstantHelper2::y_

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

Definition: piecewiseconstanthelper.hpp:118

QuantExt::PiecewiseConstantHelper2::p

const QuantLib::ext::shared_ptr< Parameter > p() const

Definition: piecewiseconstanthelper.hpp:195

QuantExt::PiecewiseConstantHelper2::t

const Array & t() const

Definition: piecewiseconstanthelper.hpp:193

QuantExt::PiecewiseConstantHelper2::zeroCutoff_

const Real zeroCutoff_

Definition: piecewiseconstanthelper.hpp:113

QuantExt::PiecewiseConstantHelper2::t_

const Array t_

Definition: piecewiseconstanthelper.hpp:116

◆ PiecewiseConstantHelper2() [2/3]

PiecewiseConstantHelper2	(	const Array &	t,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	constraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

◆ PiecewiseConstantHelper2() [3/3]

PiecewiseConstantHelper2	(	const std::vector< Date > &	dates,
		const Handle< YieldTermStructure > &	yts,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	constraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

Member Function Documentation

◆ t()

const Array & t ( ) const

Definition at line 193 of file piecewiseconstanthelper.hpp.

193{ return t_; }

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◆ p()

const QuantLib::ext::shared_ptr< Parameter > p ( ) const

Definition at line 195 of file piecewiseconstanthelper.hpp.

195{ return y_; }

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◆ update()

void update ( ) const

Definition at line 201 of file piecewiseconstanthelper.hpp.

                                                   {
    Real sum = 0.0, sum2 = 0.0;
    b_.resize(t_.size());
    c_.resize(t_.size());
    for (Size i = 0; i < t_.size(); ++i) {
        Real t0 = (i == 0 ? 0.0 : t_[i - 1]);
        sum += direct(y_->params()[i]) * (t_[i] - t0);
        b_[i] = sum;
        Real b2Tmp = (i == 0 ? 0.0 : b_[i - 1]);
        if (std::fabs(direct(y_->params()[i])) < zeroCutoff_) {
            sum2 += (t_[i] - t0) * std::exp(-b2Tmp);
        } else {
            sum2 += (std::exp(-b2Tmp) - std::exp(-b2Tmp - direct(y_->params()[i]) * (t_[i] - t0))) /
                    direct(y_->params()[i]);
        }
        c_[i] = sum2;
    }
}

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◆ y()

Real y ( const Time t ) const

this returns the transformed value

Definition at line 276 of file piecewiseconstanthelper.hpp.

                                                          {
    return direct(QL_PIECEWISE_FUNCTION(t_, y_->params(), t));
}

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◆ exp_m_int_y()

Real exp_m_int_y ( const Time t ) const

exp(int_0^t -y(s)) ds

Definition at line 300 of file piecewiseconstanthelper.hpp.

                                                                    {
    if (t < 0.0)
        return 1.0;
    Size i = std::upper_bound(t_.begin(), t_.end(), t) - t_.begin();
    Real res = 0.0;
    if (i >= 1)
        res += b_[std::min(i - 1, b_.size() - 1)];
    Real a = y_->params()[std::min(i, y_->size() - 1)];
    res += a * (t - (i == 0 ? 0.0 : t_[i - 1]));
    return std::exp(-res);
}

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◆ int_exp_m_int_y()

Real int_exp_m_int_y ( const Time t ) const

int_0^t exp(int_0^s -y(u) du) ds

Definition at line 312 of file piecewiseconstanthelper.hpp.

                                                                        {
    if (t < 0.0)
        return 0.0;
    Size i = std::upper_bound(t_.begin(), t_.end(), t) - t_.begin();
    Real res = 0.0;
    if (i >= 1)
        res += c_[std::min(i - 1, c_.size() - 1)];
    Real a = direct(y_->params()[std::min(i, y_->size() - 1)]);
    Real t0 = (i == 0 ? 0.0 : t_[i - 1]);
    Real b2Tmp = (i == 0 ? 0.0 : b_[i - 1]);
    if (std::fabs(a) < zeroCutoff_) {
        res += std::exp(-b2Tmp) * (t - t0);
    } else {
        res += (std::exp(-b2Tmp) - std::exp(-b2Tmp - a * (t - t0))) / a;
    }
    return res;
}