SquareRootAndersen Class Reference

#include <squarerootandersen.hpp>

Inheritance diagram for SquareRootAndersen:

Collaboration diagram for SquareRootAndersen:

Public Member Functions
	SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5)
Size	variatesPerStep () override
Size	numberSteps () override
void	nextPath () override
Real	nextstep (const std::vector< Real > &variates) override
Real	stepSd () const override
const std::vector< Real > &	stateVariables () const override
Size	numberStateVariables () const override
Public Member Functions inherited from MarketModelVolProcess
	MarketModelVolProcess ()=default
virtual	~MarketModelVolProcess ()=default
virtual Size	variatesPerStep ()=0
virtual Size	numberSteps ()=0
virtual void	nextPath ()=0
virtual Real	nextstep (const std::vector< Real > &variates)=0
virtual Real	stepSd () const =0
virtual const std::vector< Real > &	stateVariables () const =0
virtual Size	numberStateVariables () const =0

Private Member Functions
void	DoOneSubStep (Real &v, Real variate, Size j)

Private Attributes
Real	theta_
Real	k_
Real	epsilon_
Real	v0_
Size	numberSubSteps_
std::vector< Real >	dt_
std::vector< Real >	eMinuskDt_
Real	w1_
Real	w2_
Real	PsiC_
Real	v_
	evolving values More...
Size	currentStep_
Size	subStep_
std::vector< Real >	vPath_
std::vector< Real >	state_

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.

Definition at line 34 of file squarerootandersen.hpp.

Constructor & Destructor Documentation

SquareRootAndersen()

SquareRootAndersen	(	Real	meanLevel,
		Real	reversionSpeed,
		Real	volVar,
		Real	v0,
		const std::vector< Real > &	evolutionTimes,
		Size	numberSubSteps_,
		Real	w1,
		Real	w2,
		Real	cutPoint = 1.5
	)

Definition at line 27 of file squarerootandersen.cpp.

Member Function Documentation

variatesPerStep()

Size variatesPerStep ( )

overridevirtual

Implements MarketModelVolProcess.

Definition at line 73 of file squarerootandersen.cpp.

numberSteps()

Size numberSteps ( )

overridevirtual

Implements MarketModelVolProcess.

Definition at line 78 of file squarerootandersen.cpp.

nextPath()

void nextPath ( )

overridevirtual

Implements MarketModelVolProcess.

Definition at line 83 of file squarerootandersen.cpp.

nextstep()

Real nextstep ( const std::vector< Real > &  variates )

overridevirtual

Implements MarketModelVolProcess.

Definition at line 126 of file squarerootandersen.cpp.

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stepSd()

Real stepSd ( ) const

overridevirtual

Implements MarketModelVolProcess.

Definition at line 140 of file squarerootandersen.cpp.

stateVariables()

const std::vector< Real > & stateVariables ( ) const

overridevirtual

Implements MarketModelVolProcess.

Definition at line 153 of file squarerootandersen.cpp.

numberStateVariables()

Size numberStateVariables ( ) const

overridevirtual

Implements MarketModelVolProcess.

Definition at line 159 of file squarerootandersen.cpp.

DoOneSubStep()

void DoOneSubStep ( Real &  v, Real  variate, Size  j  )

private

Definition at line 91 of file squarerootandersen.cpp.

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Member Data Documentation

theta_

Real theta_

private

Definition at line 61 of file squarerootandersen.hpp.

k_

Real k_

private

Definition at line 63 of file squarerootandersen.hpp.

epsilon_

Real epsilon_

private

Definition at line 64 of file squarerootandersen.hpp.

v0_

Real v0_

private

Definition at line 66 of file squarerootandersen.hpp.

numberSubSteps_

Size numberSubSteps_

private

Definition at line 67 of file squarerootandersen.hpp.

dt_

std::vector<Real> dt_

private

Definition at line 70 of file squarerootandersen.hpp.

eMinuskDt_

std::vector<Real> eMinuskDt_

private

Definition at line 71 of file squarerootandersen.hpp.

w1_

Real w1_

private

Definition at line 73 of file squarerootandersen.hpp.

w2_

Real w2_

private

Definition at line 74 of file squarerootandersen.hpp.

PsiC_

Real PsiC_

private

Definition at line 75 of file squarerootandersen.hpp.

v_

Real v_

private

evolving values

Definition at line 78 of file squarerootandersen.hpp.

currentStep_

Size currentStep_

private

Definition at line 79 of file squarerootandersen.hpp.

subStep_

Size subStep_

private

Definition at line 80 of file squarerootandersen.hpp.

vPath_

std::vector<Real> vPath_

private

Definition at line 81 of file squarerootandersen.hpp.

state_

std::vector<Real> state_

mutableprivate

Definition at line 83 of file squarerootandersen.hpp.