Abstract base-class for two-factor models. More...
#include <twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:
Collaboration diagram for TwoFactorModel:
Classes | |
| class | ShortRateDynamics |
| Class describing the dynamics of the two state variables. More... | |
| class | ShortRateTree |
| Recombining two-dimensional tree discretizing the state variable. More... | |
Public Member Functions | |
| TwoFactorModel (Size nParams) | |
| virtual ext::shared_ptr< ShortRateDynamics > | dynamics () const =0 |
| Returns the short-rate dynamics. More... | |
| ext::shared_ptr< Lattice > | tree (const TimeGrid &grid) const override |
| Returns a two-dimensional trinomial tree. More... | |
| Public Member Functions inherited from ShortRateModel | |
| ShortRateModel (Size nArguments) | |
| virtual ext::shared_ptr< Lattice > | tree (const TimeGrid &) const =0 |
| Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () override |
| virtual void | calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
| Calibrate to a set of market instruments (usually caps/swaptions) More... | |
| Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
| const ext::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. More... | |
| const Array & | problemValues () const |
| Returns the problem values. More... | |
| Array | params () const |
| Returns array of arguments on which calibration is done. More... | |
| virtual void | setParams (const Array ¶ms) |
| Integer | functionEvaluation () const |
| 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 () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
| Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| ext::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ = EndCriteria::None |
| Array | problemValues_ |
| Integer | functionEvaluation_ |
Detailed Description
Abstract base-class for two-factor models.
Definition at line 37 of file twofactormodel.hpp.
Constructor & Destructor Documentation
◆ TwoFactorModel()
|
explicit |
Definition at line 26 of file twofactormodel.cpp.
Member Function Documentation
◆ dynamics()
|
pure virtual |
◆ tree()
Returns a two-dimensional trinomial tree.
Implements ShortRateModel.
Definition at line 30 of file twofactormodel.cpp.
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