PiecewiseConstantHelper3 Class Reference

Piecewise Constant Helper 3. More...

#include <qle/models/piecewiseconstanthelper.hpp>

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Public Member Functions
	PiecewiseConstantHelper3 (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 >())
	PiecewiseConstantHelper3 (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 Array &	t1 () const
const Array &	t2 () const
const Array &	tUnion () const
const QuantLib::ext::shared_ptr< Parameter >	p1 () const
const QuantLib::ext::shared_ptr< Parameter >	p2 () const
void	update () const
Real	y1 (const Time t) const
Real	y2 (const Time t) const
Real	int_y1_sqr_exp_2_int_y2 (const Time t) const
	int_0^t y1^2(s) exp(2*int_0^s y2(u) du) ds More...
Real	direct1 (const Real x) const
Real	inverse1 (const Real y) const
Real	direct2 (const Real x) const
Real	inverse2 (const Real y) const

Protected Attributes
const Array	t1_
const Array	t2_
Array	tUnion_
const QuantLib::ext::shared_ptr< PseudoParameter >	y1_
const QuantLib::ext::shared_ptr< PseudoParameter >	y2_
Array	y1Union_
Array	y2Union_

Private Attributes
const Real	zeroCutoff_
std::vector< Real >	b_
std::vector< Real >	c_

Detailed Description

Piecewise Constant Helper 3.

Definition at line 127 of file piecewiseconstanthelper.hpp.

Constructor & Destructor Documentation

PiecewiseConstantHelper3() [1/2]

PiecewiseConstantHelper3	(	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 >()
	)

PiecewiseConstantHelper3() [2/2]

PiecewiseConstantHelper3	(	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 >()
	)

Member Function Documentation

t1()

const Array & t1

(

)

const

Definition at line 220 of file piecewiseconstanthelper.hpp.

{ return t1_; }

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t2()

const Array & t2

(

)

const

Definition at line 221 of file piecewiseconstanthelper.hpp.

{ return t2_; }

tUnion()

const Array & tUnion

(

)

const

Definition at line 222 of file piecewiseconstanthelper.hpp.

{ return tUnion_; }

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p1()

const QuantLib::ext::shared_ptr< Parameter > p1

(

)

const

Definition at line 224 of file piecewiseconstanthelper.hpp.

{ return y1_; }

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p2()

const QuantLib::ext::shared_ptr< Parameter > p2

(

)

const

Definition at line 226 of file piecewiseconstanthelper.hpp.

{ return y2_; }

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update()

void update

(

)

const

Definition at line 236 of file piecewiseconstanthelper.hpp.

                                                   {
    std::vector<Real> tTmp(t1_.begin(), t1_.end());
    tTmp.insert(tTmp.end(), t2_.begin(), t2_.end());
    std::sort(tTmp.begin(), tTmp.end());
    std::vector<Real>::const_iterator end =
        std::unique(tTmp.begin(), tTmp.end(), [](const Real x, const Real y) { return QuantLib::close_enough(x, y); });
    tTmp.resize(end - tTmp.begin());
    tUnion_ = Array(tTmp.begin(), tTmp.end());
    y1Union_ = Array(tUnion_.size() + 1);
    y2Union_ = Array(tUnion_.size() + 1);
    for (Size i = 0; i < tUnion_.size() + 1; ++i) {
        // choose a safe t for y1 and y2 evaluation
        Real t = (i == tUnion_.size() ? (tUnion_.size() == 0 ? 1.0 : tUnion_.back() + 1.0)
                                      : (0.5 * (tUnion_[i] + (i > 0 ? tUnion_[i - 1] : 0.0))));
        y1Union_[i] = QL_PIECEWISE_FUNCTION(t1_, y1_->params(), t);
        y2Union_[i] = QL_PIECEWISE_FUNCTION(t2_, y2_->params(), t);
    }
    Real sum = 0.0, sum2 = 0.0;
    b_.resize(tUnion_.size());
    c_.resize(tUnion_.size());
    for (Size i = 0; i < tUnion_.size(); ++i) {
        Real t0 = (i == 0 ? 0.0 : tUnion_[i - 1]);
        sum += direct2(y2Union_[i]) * (tUnion_[i] - t0);
        b_[i] = sum;
        Real b2Tmp = (i == 0 ? 0.0 : b_[i - 1]);
        if (std::fabs(direct2(y2Union_[i])) < zeroCutoff_) {
            sum2 += direct1(y1Union_[i]) * direct1(y1Union_[i]) * (tUnion_[i] - t0) * std::exp(2.0 * b2Tmp);
        } else {
            sum2 += direct1(y1Union_[i]) * direct1(y1Union_[i]) *
                    (std::exp(2.0 * b2Tmp + 2.0 * direct2(y2Union_[i]) * (tUnion_[i] - t0)) - std::exp(2.0 * b2Tmp)) /
                    (2.0 * direct2(y2Union_[i]));
        }
        c_[i] = sum2;
    }
}

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y1()

Real y1

(

const Time

t

)

const

this returns the transformed value

Definition at line 280 of file piecewiseconstanthelper.hpp.

                                                           {
    return direct1(QL_PIECEWISE_FUNCTION(t1_, y1_->params(), t));
}

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y2()

Real y2

(

const Time

t

)

const

this returns the transformed value

Definition at line 284 of file piecewiseconstanthelper.hpp.

                                                           {
    return direct2(QL_PIECEWISE_FUNCTION(t2_, y2_->params(), t));
}

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int_y1_sqr_exp_2_int_y2()

Real int_y1_sqr_exp_2_int_y2

(

const Time

t

)

const

int_0^t y1^2(s) exp(2*int_0^s y2(u) du) ds

Definition at line 330 of file piecewiseconstanthelper.hpp.

                                                                                {
    if (t < 0.0)
        return 0.0;
    Size i = std::upper_bound(tUnion_.begin(), tUnion_.end(), t) - tUnion_.begin();
    Real res = 0.0;
    if (i >= 1)
        res += c_[std::min(i - 1, c_.size() - 1)];
    Real a = direct2(y2Union_[std::min(i, y2Union_.size() - 1)]);
    Real b = direct1(y1Union_[std::min(i, y1Union_.size() - 1)]);
    Real t0 = (i == 0 ? 0.0 : tUnion_[i - 1]);
    Real b2Tmp = (i == 0 ? 0.0 : b_[i - 1]);
    if (std::fabs(a) < zeroCutoff_) {
        res += b * b * std::exp(2.0 * b2Tmp) * (t - t0);
    } else {
        res += b * b * (std::exp(2.0 * b2Tmp + 2.0 * a * (t - t0)) - std::exp(2.0 * b2Tmp)) / (2.0 * a);
    }
    return res;
}

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direct1()

Real direct1

(

const Real

x

)

const

Definition at line 228 of file piecewiseconstanthelper.hpp.

{ return x * x; }

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inverse1()

Real inverse1

(

const Real

y

)

const

Definition at line 230 of file piecewiseconstanthelper.hpp.

{ return std::sqrt(y); }

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direct2()

Real direct2

(

const Real

x

)

const

Definition at line 232 of file piecewiseconstanthelper.hpp.

{ return x; }

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inverse2()

Real inverse2

(

const Real

y

)

const

Definition at line 234 of file piecewiseconstanthelper.hpp.

{ return y; }

Member Data Documentation

zeroCutoff_

const Real zeroCutoff_

private

Definition at line 157 of file piecewiseconstanthelper.hpp.

t1_

const Array t1_

protected

Definition at line 160 of file piecewiseconstanthelper.hpp.

t2_

const Array t2_

protected

Definition at line 160 of file piecewiseconstanthelper.hpp.

tUnion_

Array tUnion_

mutableprotected

Definition at line 161 of file piecewiseconstanthelper.hpp.

y1_

const QuantLib::ext::shared_ptr<PseudoParameter> y1_

protected

y1, y2 are the raw values in the sense of parameter transformation

Definition at line 163 of file piecewiseconstanthelper.hpp.

y2_

const QuantLib::ext::shared_ptr<PseudoParameter> y2_

protected

Definition at line 163 of file piecewiseconstanthelper.hpp.

y1Union_

Array y1Union_

mutableprotected

Definition at line 164 of file piecewiseconstanthelper.hpp.

y2Union_

Array y2Union_

protected

Definition at line 164 of file piecewiseconstanthelper.hpp.

b_

std::vector<Real> b_

mutableprivate

Definition at line 167 of file piecewiseconstanthelper.hpp.

c_

std::vector<Real> c_

private

Definition at line 167 of file piecewiseconstanthelper.hpp.