NormalCLVModel Class Reference

#include <ql/experimental/models/normalclvmodel.hpp>

Inheritance diagram for NormalCLVModel:

Collaboration diagram for NormalCLVModel:

Classes
class	MappingFunction

Public Member Functions
	NormalCLVModel (const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, ext::shared_ptr< OrnsteinUhlenbeckProcess > ouProcess, const std::vector< Date > &maturityDates, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Real	cdf (const Date &d, Real x) const
Real	invCDF (const Date &d, Real q) const
Array	collocationPointsX (const Date &d) const
Array	collocationPointsY (const Date &d) const
ext::function< Real(Time, Real)>	g () const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Protected Member Functions
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Attributes
const Array	x_
const Volatility	sigma_
const ext::shared_ptr< GeneralizedBlackScholesProcess >	bsProcess_
const ext::shared_ptr< OrnsteinUhlenbeckProcess >	ouProcess_
const std::vector< Date >	maturityDates_
const ext::shared_ptr< GBSMRNDCalculator >	rndCalculator_
std::vector< Time >	maturityTimes_
ext::function< Real(Time, Real)>	g_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Definition at line 48 of file normalclvmodel.hpp.

Constructor & Destructor Documentation

NormalCLVModel()

NormalCLVModel	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	bsProcess,
		ext::shared_ptr< OrnsteinUhlenbeckProcess >	ouProcess,
		const std::vector< Date > &	maturityDates,
		Size	lagrangeOrder,
		Real	pMax = Null<Real>(),
		Real	pMin = Null<Real>()
	)

Definition at line 39 of file normalclvmodel.cpp.

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Member Function Documentation

cdf()

Real cdf	(	const Date &	d,
		Real	x
	)		const

Definition at line 63 of file normalclvmodel.cpp.

invCDF()

Real invCDF	(	const Date &	d,
		Real	q
	)		const

Definition at line 68 of file normalclvmodel.cpp.

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collocationPointsX()

Array collocationPointsX

(

const Date &

d

)

const

Definition at line 72 of file normalclvmodel.cpp.

collocationPointsY()

Array collocationPointsY

(

const Date &

d

)

const

Definition at line 83 of file normalclvmodel.cpp.

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g()

ext::function< Real(Time, Real)> g

(

)

const

Definition at line 95 of file normalclvmodel.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 134 of file normalclvmodel.cpp.

Member Data Documentation

x_

const Array x_

private

Definition at line 106 of file normalclvmodel.hpp.

sigma_

const Volatility sigma_

private

Definition at line 107 of file normalclvmodel.hpp.

bsProcess_

const ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_

private

Definition at line 108 of file normalclvmodel.hpp.

ouProcess_

const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess_

private

Definition at line 109 of file normalclvmodel.hpp.

maturityDates_

const std::vector<Date> maturityDates_

private

Definition at line 110 of file normalclvmodel.hpp.

rndCalculator_

const ext::shared_ptr<GBSMRNDCalculator> rndCalculator_

private

Definition at line 111 of file normalclvmodel.hpp.

maturityTimes_

std::vector<Time> maturityTimes_

private

Definition at line 113 of file normalclvmodel.hpp.

g_

ext::function<Real(Time, Real)> g_

mutableprivate

Definition at line 114 of file normalclvmodel.hpp.