GFunctionFactory::GFunctionWithShifts Class Reference

Inheritance diagram for GFunctionFactory::GFunctionWithShifts:

Collaboration diagram for GFunctionFactory::GFunctionWithShifts:

Classes
class	ObjectiveFunction

Public Member Functions
	GFunctionWithShifts (const CmsCoupon &coupon, Handle< Quote > meanReversion)
Real	operator() (Real x) override
Real	firstDerivative (Real x) override
Real	secondDerivative (Real x) override
Public Member Functions inherited from GFunction
virtual	~GFunction ()=default
virtual Real	operator() (Real x)=0
virtual Real	firstDerivative (Real x)=0
virtual Real	secondDerivative (Real x)=0

Private Member Functions
Real	shapeOfShift (Real s) const
Real	calibrationOfShift (Real Rs)
Real	functionZ (Real x)
Real	derRs_derX (Real x)
Real	derZ_derX (Real x)
Real	der2Rs_derX2 (Real x)
Real	der2Z_derX2 (Real x)

Private Attributes
Time	swapStartTime_
Time	shapedPaymentTime_
std::vector< Time >	shapedSwapPaymentTimes_
std::vector< Time >	accruals_
std::vector< Real >	swapPaymentDiscounts_
Real	discountAtStart_
Real	discountRatio_
Real	swapRateValue_
Handle< Quote >	meanReversion_
Real	calibratedShift_ = 0.03
Real	tmpRs_ = 10000000.0
const Real	accuracy_ = 1.0e-14
ext::shared_ptr< ObjectiveFunction >	objectiveFunction_

Detailed Description

Definition at line 133 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

GFunctionWithShifts()

GFunctionWithShifts	(	const CmsCoupon &	coupon,
		Handle< Quote >	meanReversion
	)

Definition at line 736 of file conundrumpricer.cpp.

Here is the call graph for this function:

Member Function Documentation

shapeOfShift()

Real shapeOfShift ( Real  s ) const

private

Definition at line 929 of file conundrumpricer.cpp.

Here is the caller graph for this function:

calibrationOfShift()

Real calibrationOfShift ( Real  Rs )

private

Definition at line 940 of file conundrumpricer.cpp.

Here is the call graph for this function:

functionZ()

Real functionZ ( Real  x )

private

Definition at line 783 of file conundrumpricer.cpp.

derRs_derX()

Real derRs_derX ( Real  x )

private

Definition at line 788 of file conundrumpricer.cpp.

derZ_derX()

Real derZ_derX ( Real  x )

private

Definition at line 849 of file conundrumpricer.cpp.

der2Rs_derX2()

Real der2Rs_derX2 ( Real  x )

private

Definition at line 808 of file conundrumpricer.cpp.

der2Z_derX2()

Real der2Z_derX2 ( Real  x )

private

Definition at line 861 of file conundrumpricer.cpp.

operator()()

Real operator() ( Real  x )

overridevirtual

Implements GFunction.

Definition at line 778 of file conundrumpricer.cpp.

firstDerivative()

Real firstDerivative ( Real  x )

overridevirtual

Implements GFunction.

Definition at line 885 of file conundrumpricer.cpp.

secondDerivative()

Real secondDerivative ( Real  x )

overridevirtual

Implements GFunction.

Definition at line 892 of file conundrumpricer.cpp.

Member Data Documentation

swapStartTime_

Time swapStartTime_

private

Definition at line 135 of file conundrumpricer.hpp.

shapedPaymentTime_

Time shapedPaymentTime_

private

Definition at line 137 of file conundrumpricer.hpp.

shapedSwapPaymentTimes_

std::vector<Time> shapedSwapPaymentTimes_

private

Definition at line 138 of file conundrumpricer.hpp.

accruals_

std::vector<Time> accruals_

private

Definition at line 140 of file conundrumpricer.hpp.

swapPaymentDiscounts_

std::vector<Real> swapPaymentDiscounts_

private

Definition at line 141 of file conundrumpricer.hpp.

discountAtStart_

Real discountAtStart_

private

Definition at line 142 of file conundrumpricer.hpp.

discountRatio_

Real discountRatio_

private

Definition at line 142 of file conundrumpricer.hpp.

swapRateValue_

Real swapRateValue_

private

Definition at line 144 of file conundrumpricer.hpp.

meanReversion_

Handle<Quote> meanReversion_

private

Definition at line 145 of file conundrumpricer.hpp.

calibratedShift_

Real calibratedShift_ = 0.03

private

Definition at line 147 of file conundrumpricer.hpp.

tmpRs_

Real tmpRs_ = 10000000.0

private

Definition at line 147 of file conundrumpricer.hpp.

accuracy_

const Real accuracy_ = 1.0e-14

private

Definition at line 148 of file conundrumpricer.hpp.

objectiveFunction_

ext::shared_ptr<ObjectiveFunction> objectiveFunction_

private

Definition at line 173 of file conundrumpricer.hpp.