RangeAccrualPricerByBgm Class Reference

#include <rangeaccrual.hpp>

Inheritance diagram for RangeAccrualPricerByBgm:

Collaboration diagram for RangeAccrualPricerByBgm:

Public Member Functions
	RangeAccrualPricerByBgm (Real correlation, ext::shared_ptr< SmileSection > smilesOnExpiry, ext::shared_ptr< SmileSection > smilesOnPayment, bool withSmile, bool byCallSpread)
Public Member Functions inherited from RangeAccrualPricer
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
void	initialize (const FloatingRateCoupon &coupon) override
Public Member Functions inherited from FloatingRateCouponPricer
	~FloatingRateCouponPricer () override=default
void	update () override
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 ()
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 ()

Observer interface
Real	correlation_
bool	withSmile_
bool	byCallSpread_
ext::shared_ptr< SmileSection >	smilesOnExpiry_
ext::shared_ptr< SmileSection >	smilesOnPayment_
Real	eps_ = 1.0e-8
Real	swapletPrice () const override
Real	drift (Real U, Real lambdaS, Real lambdaT, Real correlation) const
Real	derDriftDerLambdaS (Real U, Real lambdaS, Real lambdaT, Real correlation) const
Real	derDriftDerLambdaT (Real U, Real lambdaS, Real lambdaT, Real correlation) const
Real	lambda (Real U, Real lambdaS, Real lambdaT) const
Real	derLambdaDerLambdaS (Real U) const
Real	derLambdaDerLambdaT (Real U) const
std::vector< Real >	driftsOverPeriod (Real U, Real lambdaS, Real lambdaT, Real correlation) const
std::vector< Real >	lambdasOverPeriod (Real U, Real lambdaS, Real lambdaT) const
Real	digitalRangePrice (Real lowerTrigger, Real upperTrigger, Real initialValue, Real expiry, Real deflator) const
Real	digitalPrice (Real strike, Real initialValue, Real expiry, Real deflator) const
Real	digitalPriceWithoutSmile (Real strike, Real initialValue, Real expiry, Real deflator) const
Real	digitalPriceWithSmile (Real strike, Real initialValue, Real expiry, Real deflator) const
Real	callSpreadPrice (Real previousInitialValue, Real nextInitialValue, Real previousStrike, Real nextStrike, Real deflator, Real previousVariance, Real nextVariance) const
Real	smileCorrection (Real strike, Real initialValue, Real expiry, Real deflator) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from RangeAccrualPricer
const RangeAccrualFloatersCoupon *	coupon_
Real	startTime_
Real	endTime_
Real	accrualFactor_
std::vector< Real >	observationTimeLags_
std::vector< Real >	observationTimes_
std::vector< Real >	initialValues_
Size	observationsNo_
Real	lowerTrigger_
Real	upperTrigger_
Real	discount_
Real	gearing_
Spread	spread_
Real	spreadLegValue_

Detailed Description

Definition at line 121 of file rangeaccrual.hpp.

Constructor & Destructor Documentation

RangeAccrualPricerByBgm()

RangeAccrualPricerByBgm	(	Real	correlation,
		ext::shared_ptr< SmileSection >	smilesOnExpiry,
		ext::shared_ptr< SmileSection >	smilesOnPayment,
		bool	withSmile,
		bool	byCallSpread
	)

Definition at line 173 of file rangeaccrual.cpp.

Member Function Documentation

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 180 of file rangeaccrual.cpp.

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drift()

Real drift ( Real  U, Real  lambdaS, Real  lambdaT, Real  correlation  ) const

protected

Definition at line 230 of file rangeaccrual.cpp.

derDriftDerLambdaS()

Real derDriftDerLambdaS ( Real  U, Real  lambdaS, Real  lambdaT, Real  correlation  ) const

protected

Definition at line 266 of file rangeaccrual.cpp.

derDriftDerLambdaT()

Real derDriftDerLambdaT ( Real  U, Real  lambdaS, Real  lambdaT, Real  correlation  ) const

protected

Definition at line 297 of file rangeaccrual.cpp.

lambda()

Real lambda ( Real  U, Real  lambdaS, Real  lambdaT  ) const

protected

Definition at line 251 of file rangeaccrual.cpp.

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derLambdaDerLambdaS()

Real derLambdaDerLambdaS ( Real  U ) const

protected

Definition at line 287 of file rangeaccrual.cpp.

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derLambdaDerLambdaT()

Real derLambdaDerLambdaT ( Real  U ) const

protected

Definition at line 318 of file rangeaccrual.cpp.

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driftsOverPeriod()

std::vector< Real > driftsOverPeriod ( Real  U, Real  lambdaS, Real  lambdaT, Real  correlation  ) const

protected

Definition at line 192 of file rangeaccrual.cpp.

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lambdasOverPeriod()

std::vector< Real > lambdasOverPeriod ( Real  U, Real  lambdaS, Real  lambdaT  ) const

protected

Definition at line 214 of file rangeaccrual.cpp.

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digitalRangePrice()

Real digitalRangePrice ( Real  lowerTrigger, Real  upperTrigger, Real  initialValue, Real  expiry, Real  deflator  ) const

protected

Definition at line 328 of file rangeaccrual.cpp.

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digitalPrice()

Real digitalPrice ( Real  strike, Real  initialValue, Real  expiry, Real  deflator  ) const

protected

Definition at line 342 of file rangeaccrual.cpp.

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digitalPriceWithoutSmile()

Real digitalPriceWithoutSmile ( Real  strike, Real  initialValue, Real  expiry, Real  deflator  ) const

protected

Definition at line 356 of file rangeaccrual.cpp.

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digitalPriceWithSmile()

Real digitalPriceWithSmile ( Real  strike, Real  initialValue, Real  expiry, Real  deflator  ) const

protected

Definition at line 389 of file rangeaccrual.cpp.

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callSpreadPrice()

Real callSpreadPrice ( Real  previousInitialValue, Real  nextInitialValue, Real  previousStrike, Real  nextStrike, Real  deflator, Real  previousVariance, Real  nextVariance  ) const

protected

Definition at line 501 of file rangeaccrual.cpp.

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smileCorrection()

Real smileCorrection ( Real  strike, Real  initialValue, Real  expiry, Real  deflator  ) const

protected

Definition at line 445 of file rangeaccrual.cpp.

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Member Data Documentation

correlation_

Real correlation_

private

Definition at line 186 of file rangeaccrual.hpp.

withSmile_

bool withSmile_

private

Definition at line 187 of file rangeaccrual.hpp.

byCallSpread_

bool byCallSpread_

private

Definition at line 188 of file rangeaccrual.hpp.

smilesOnExpiry_

ext::shared_ptr<SmileSection> smilesOnExpiry_

private

Definition at line 190 of file rangeaccrual.hpp.

smilesOnPayment_

ext::shared_ptr<SmileSection> smilesOnPayment_

private

Definition at line 191 of file rangeaccrual.hpp.

eps_

Real eps_ = 1.0e-8

private

Definition at line 192 of file rangeaccrual.hpp.