Libor forward model More...

#include <liborforwardmodel.hpp>

Inheritance diagram for LiborForwardModel:

Collaboration diagram for LiborForwardModel:

Public Member Functions
	LiborForwardModel (const ext::shared_ptr< LiborForwardModelProcess > &process, const ext::shared_ptr< LmVolatilityModel > &volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel)

Rate	S_0 (Size alpha, Size beta) const

virtual ext::shared_ptr< SwaptionVolatilityMatrix >	getSwaptionVolatilityMatrix () const

DiscountFactor	discount (Time t) const override
	Implied discount curve. More...

Real	discountBond (Time now, Time maturity, Array factors) const override

Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override

void	setParams (const Array &params) override

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 &params, 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 &params)

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 ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from AffineModel
virtual DiscountFactor	discount (Time t) const =0
	Implied discount curve. More...

virtual Real	discountBond (Time now, Time maturity, Array factors) const =0

virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0

virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const

Protected Member Functions
Array	w_0 (Size alpha, Size beta) const

Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()

Protected Attributes
std::vector< Real >	f_

std::vector< Time >	accrualPeriod_

const ext::shared_ptr< LfmCovarianceProxy >	covarProxy_

const ext::shared_ptr< LiborForwardModelProcess >	process_

ext::shared_ptr< SwaptionVolatilityMatrix >	swaptionVola

Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_

ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None

Array	problemValues_

Integer	functionEvaluation_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Libor forward model

References:

Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf

Tests:: the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing

Definition at line 51 of file liborforwardmodel.hpp.

Constructor & Destructor Documentation

◆ LiborForwardModel()

LiborForwardModel	(	const ext::shared_ptr< LiborForwardModelProcess > &	process,
		const ext::shared_ptr< LmVolatilityModel > &	volaModel,
		const ext::shared_ptr< LmCorrelationModel > &	corrModel
	)

Definition at line 27 of file liborforwardmodel.cpp.

Member Function Documentation

◆ S_0()

Rate S_0	(	Size	alpha,
		Size	beta
	)		const

Definition at line 130 of file liborforwardmodel.cpp.

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◆ getSwaptionVolatilityMatrix()

ext::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix ( ) const

virtual

Definition at line 148 of file liborforwardmodel.cpp.

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◆ discount()

DiscountFactor discount ( Time t ) const

overridevirtual

Implied discount curve.

Implements AffineModel.

Definition at line 203 of file liborforwardmodel.cpp.

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◆ discountBond()

Real discountBond	(	Time	now,
		Time	maturity,
		Array	factors
	)		const

overridevirtual

Implements AffineModel.

Definition at line 207 of file liborforwardmodel.cpp.

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◆ discountBondOption()

Real discountBondOption	(	Option::Type	type,
		Real	strike,
		Time	maturity,
		Time	bondMaturity
	)		const

overridevirtual

Implements AffineModel.

Definition at line 64 of file liborforwardmodel.cpp.

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◆ setParams()

void setParams ( const Array & params )

overridevirtual

Reimplemented from CalibratedModel.

Definition at line 51 of file liborforwardmodel.cpp.

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◆ w_0()

Array w_0	(	Size	alpha,
		Size	beta
	)		const

protected

Definition at line 105 of file liborforwardmodel.cpp.

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Member Data Documentation

◆ f_

std::vector<Real> f_

protected

Definition at line 76 of file liborforwardmodel.hpp.

◆ accrualPeriod_

std::vector<Time> accrualPeriod_

protected

Definition at line 77 of file liborforwardmodel.hpp.

◆ covarProxy_

const ext::shared_ptr<LfmCovarianceProxy> covarProxy_

protected

Definition at line 79 of file liborforwardmodel.hpp.

◆ process_

const ext::shared_ptr<LiborForwardModelProcess> process_

protected

Definition at line 80 of file liborforwardmodel.hpp.

◆ swaptionVola

ext::shared_ptr<SwaptionVolatilityMatrix> swaptionVola

mutableprotected

Definition at line 82 of file liborforwardmodel.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ LiborForwardModel()

Member Function Documentation

◆ S_0()

◆ getSwaptionVolatilityMatrix()

◆ discount()

◆ discountBond()

◆ discountBondOption()

◆ setParams()

◆ w_0()

Member Data Documentation

◆ f_

◆ accrualPeriod_

◆ covarProxy_

◆ process_

◆ swaptionVola