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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LiborForwardModel Class Reference

Libor forward model More...

#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>

+ Inheritance diagram for LiborForwardModel:
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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 ()
 
 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.

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