SquareRootCLVModel Class Reference

#include <ql/experimental/models/squarerootclvmodel.hpp>

Inheritance diagram for SquareRootCLVModel:

Collaboration diagram for SquareRootCLVModel:

Classes
class	MappingFunction

Public Member Functions
	SquareRootCLVModel (const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, ext::shared_ptr< SquareRootProcess > sqrtProcess, std::vector< Date > maturityDates, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Real	cdf (const Date &d, Real x) const
Real	invCDF (const Date &d, Real q) const
Array	collocationPointsX (const Date &d) const
Array	collocationPointsY (const Date &d) const
ext::function< Real(Time, Real)>	g () const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 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 ()

Protected Member Functions
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Member Functions
std::pair< Real, Real >	nonCentralChiSquaredParams (const Date &d) const

Private Attributes
const Real	pMax_
const Real	pMin_
const ext::shared_ptr< GeneralizedBlackScholesProcess >	bsProcess_
const ext::shared_ptr< SquareRootProcess >	sqrtProcess_
const std::vector< Date >	maturityDates_
const Size	lagrangeOrder_
const ext::shared_ptr< GBSMRNDCalculator >	rndCalculator_
ext::function< Real(Time, Real)>	g_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Definition at line 41 of file squarerootclvmodel.hpp.

Constructor & Destructor Documentation

SquareRootCLVModel()

SquareRootCLVModel	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	bsProcess,
		ext::shared_ptr< SquareRootProcess >	sqrtProcess,
		std::vector< Date >	maturityDates,
		Size	lagrangeOrder,
		Real	pMax = Null<Real>(),
		Real	pMin = Null<Real>()
	)

Definition at line 36 of file squarerootclvmodel.cpp.

Member Function Documentation

cdf()

Real cdf	(	const Date &	d,
		Real	x
	)		const

Definition at line 47 of file squarerootclvmodel.cpp.

invCDF()

Real invCDF	(	const Date &	d,
		Real	q
	)		const

Definition at line 52 of file squarerootclvmodel.cpp.

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collocationPointsX()

Array collocationPointsX

(

const Date &

d

)

const

Definition at line 73 of file squarerootclvmodel.cpp.

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collocationPointsY()

Array collocationPointsY

(

const Date &

d

)

const

Definition at line 104 of file squarerootclvmodel.cpp.

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g()

ext::function< Real(Time, Real)> g

(

)

const

Definition at line 121 of file squarerootclvmodel.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 126 of file squarerootclvmodel.cpp.

nonCentralChiSquaredParams()

std::pair< Real, Real > nonCentralChiSquaredParams ( const Date &  d ) const

private

Definition at line 56 of file squarerootclvmodel.cpp.

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Member Data Documentation

pMax_

const Real pMax_

private

Definition at line 85 of file squarerootclvmodel.hpp.

pMin_

const Real pMin_

private

Definition at line 85 of file squarerootclvmodel.hpp.

bsProcess_

const ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_

private

Definition at line 86 of file squarerootclvmodel.hpp.

sqrtProcess_

const ext::shared_ptr<SquareRootProcess> sqrtProcess_

private

Definition at line 87 of file squarerootclvmodel.hpp.

maturityDates_

const std::vector<Date> maturityDates_

private

Definition at line 88 of file squarerootclvmodel.hpp.

lagrangeOrder_

const Size lagrangeOrder_

private

Definition at line 89 of file squarerootclvmodel.hpp.

rndCalculator_

const ext::shared_ptr<GBSMRNDCalculator> rndCalculator_

private

Definition at line 90 of file squarerootclvmodel.hpp.

g_

ext::function<Real(Time, Real)> g_

mutableprivate

Definition at line 92 of file squarerootclvmodel.hpp.