crlgm1fparametrization.hpp

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/*
 Copyright (C) 2017 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file crlgm1fparametrization.hpp
    \brief Credit Linear Gaussian Markov 1 factor parametrization
    \ingroup models
*/
 
#ifndef quantext_crlgm1f_parametrization_hpp
#define quantext_crlgm1f_parametrization_hpp
 
#include <ql/handle.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <qle/models/irlgm1fconstantparametrization.hpp>
#include <qle/models/irlgm1fparametrization.hpp>
#include <qle/models/irlgm1fpiecewiseconstanthullwhiteadaptor.hpp>
#include <qle/models/irlgm1fpiecewiseconstantparametrization.hpp>
#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>
 
namespace QuantExt {
using namespace QuantLib;
using namespace QuantExt;
 
typedef Lgm1fParametrization<DefaultProbabilityTermStructure> CrLgm1fParametrization;
 
typedef Lgm1fConstantParametrization<DefaultProbabilityTermStructure> CrLgm1fConstantParametrization;
 
typedef Lgm1fPiecewiseConstantHullWhiteAdaptor<DefaultProbabilityTermStructure>
    CrLgm1fPiecewiseConstantHullWhiteADaptor;
 
typedef Lgm1fPiecewiseConstantParametrization<DefaultProbabilityTermStructure> CrLgm1fPiecewiseConstantParametrization;
 
typedef Lgm1fPiecewiseLinearParametrization<DefaultProbabilityTermStructure> CrLgm1fPiecewiseLinearParametrization;
 
} // namespace QuantExt
 
#endif