#include <ql/models/shortrate/onefactormodels/markovfunctional.hpp>

Inheritance diagram for MarkovFunctional:

Collaboration diagram for MarkovFunctional:

Classes
struct	CalibrationPoint

class	CustomSmileFactory

class	CustomSmileSection

struct	ModelOutputs

struct	ModelSettings

class	ZeroHelper

Public Member Functions
	MarkovFunctional (const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< SwaptionVolatilityStructure > &swaptionVol, const std::vector< Date > &swaptionExpiries, const std::vector< Period > &swaptionTenors, const ext::shared_ptr< SwapIndex > &swapIndexBase, MarkovFunctional::ModelSettings modelSettings=ModelSettings())

	MarkovFunctional (const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, ext::shared_ptr< IborIndex > iborIndex, MarkovFunctional::ModelSettings modelSettings=ModelSettings())

const ModelSettings &	modelSettings () const

const ModelOutputs &	modelOutputs () const

const Date &	numeraireDate () const

const Time &	numeraireTime () const

const Array &	volatility () const

void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &helpers, 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 >()) override
	Calibrate to a set of market instruments (usually caps/swaptions) More...

void	calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, 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 >())

void	update () override

std::vector< std::pair< Size, Size > >	arbitrageIndices () const

void	forceArbitrageIndices (const std::vector< std::pair< Size, Size > > &indices)

Public Member Functions inherited from Gaussian1dModel
ext::shared_ptr< StochasticProcess1D >	stateProcess () const

Real	numeraire (Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const

Real	zerobond (Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const

Real	numeraire (const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const

Real	zerobond (const Date &maturity, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const

Real	zerobondOption (const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const

Real	forwardRate (const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const

Real	swapRate (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const

Real	swapAnnuity (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const

Array	yGrid (Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const

Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)

const Handle< YieldTermStructure > &	termStructure () const

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 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 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 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

Protected Member Functions
Real	numeraireImpl (Time t, Real y, const Handle< YieldTermStructure > &yts) const override

Real	zerobondImpl (Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const override

void	generateArguments () override

void	performCalculations () const override

std::vector< bool >	FixedFirstVolatility () const

Protected Member Functions inherited from Gaussian1dModel
	Gaussian1dModel (const Handle< YieldTermStructure > &yieldTermStructure)

virtual Real	numeraireImpl (Time t, Real y, const Handle< YieldTermStructure > &yts) const =0

virtual Real	zerobondImpl (Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const =0

void	performCalculations () const override

void	generateArguments ()

ext::shared_ptr< VanillaSwap >	underlyingSwap (const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const

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

virtual void	generateArguments ()

Private Member Functions
void	initialize ()

void	updateTimes () const

void	updateTimes1 () const

void	updateTimes2 () const

void	updateSmiles () const

void	updateNumeraireTabulation () const

void	makeSwaptionCalibrationPoint (const Date &expiry, const Period &tenor)

void	makeCapletCalibrationPoint (const Date &expiry)

Real	marketSwapRate (const Date &expiry, const CalibrationPoint &p, Real digitalPrice, Real guess=0.03, Real shift=0.0) const

Real	marketDigitalPrice (const Date &expiry, const CalibrationPoint &p, const Option::Type &type, Real strike) const

Array	deflatedZerobondArray (Time T, Time t, const Array &y) const

Array	numeraireArray (Time t, const Array &y) const

Array	zerobondArray (Time T, Time t, const Array &y) const

Real	deflatedZerobond (Time T, Time t=0.0, Real y=0.0) const

Real	forwardRateInternal (const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) const

Real	swapRateInternal (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) const

Real	swapAnnuityInternal (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) const

Real	capletPriceInternal (const Option::Type &type, const Date &expiry, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) const

Real	swaptionPriceInternal (const Option::Type &type, const Date &expiry, const Period &tenor, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const

Private Attributes
ModelSettings	modelSettings_

ModelOutputs	modelOutputs_

const bool	capletCalibrated_

ext::shared_ptr< Matrix >	discreteNumeraire_

std::vector< ext::shared_ptr< Interpolation > >	numeraire_

Parameter	reversion_

Parameter &	sigma_

std::vector< Date >	volstepdates_

std::vector< Time >	volsteptimes_

Array	volsteptimesArray_

std::vector< Real >	volatilities_

Date	numeraireDate_

Time	numeraireTime_

Handle< SwaptionVolatilityStructure >	swaptionVol_

Handle< OptionletVolatilityStructure >	capletVol_

std::vector< Date >	swaptionExpiries_

std::vector< Date >	capletExpiries_

std::vector< Period >	swaptionTenors_

ext::shared_ptr< SwapIndex >	swapIndexBase_

ext::shared_ptr< IborIndex >	iborIndex_

std::map< Date, CalibrationPoint >	calibrationPoints_

std::vector< Real >	times_

Array	y_

Array	normalIntegralX_

Array	normalIntegralW_

std::vector< std::pair< Size, Size > >	arbitrageIndices_

std::vector< std::pair< Size, Size > >	forcedArbitrageIndices_

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

Static Public Member Functions inherited from Gaussian1dModel
static Real	gaussianPolynomialIntegral (Real a, Real b, Real c, Real d, Real e, Real x0, Real x1)

static Real	gaussianShiftedPolynomialIntegral (Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1)

Protected Attributes inherited from Gaussian1dModel
ext::shared_ptr< StochasticProcess1D >	stateProcess_

Date	evaluationDate_

bool	enforcesTodaysHistoricFixings_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

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

One factor Markov Functional model class. Some documentation is available here http://ssrn.com/abstract_id=2183721 http://quantlib.org/slides/qlws13/caspers.pdf

The model requires a suitable input smile which means it should be arbitrage free, smooth (at least implying a C^1 call price function) and with a call price function not decreasing too slow in strike direction.

A method for arbitrage free extra- and interpolation due to Kahale is provided and may be used to improve an input smile. Alternatively a SABR smile with arbitrage free wings can be fitted to the input smile to provide an appropriate input smile.

If you use the Kahale or SABR method for smile pretreatment then this implies zero density for underlying rates below minus the displacement parameter. This means that in this case the market yield term structure must imply underlying atm forward rates greater than minus displacement.

If you do not use a smile pretreatment you should ensure that the input smileSection is arbitrage free and that the input smileSection covers the strikes from lowerRateBound to upperRateBound.

During calibration a monocurve setup is assumed with the given yield term structure determining the rates throughout, no matter what curves are linked to the indices in the volatility term structures. The yield term structure should therefore be the main risk curve, i.e. the forwarding curve for the respective swaption or cap underlyings.

The model uses a simplified formula for the npv of a swaps floating leg namely $P(t,T_0)-P(t,T_1)$ with $T_0$ being the start date of the leg and $T_1$ being the last payment date, which is an approximation to the true npv.

The model calibrates to slightly modified market options in the sense that the start date is set equal to the fixing date, i.e. there is no delay. The model diagnostic outputs refer to this modified instrument. In general the actual market instrument including the delay is still matched very well though the calibration is done on a slightly different instrument.

AdjustYts and AdjustDigitals are experimental options. Specifying AdjustYts may have a negative impact on the volatility smile match, so it should be used with special care. For long term calibration it seems an interesting option though.

A bad fit to the initial yield term structure may be due to a non suitable input smile or accumulating numerical errors in very long term calibrations. The former point is adressed by smile pretreatment options. The latter point may be tackled by higher values for the numerical parameters possibly together with NTL high precision computing.

When using a shifted lognormal smile input the lower rate bound is adjusted by the shift so that a lower bound of 0.0 always corresponds to the lower bound of the shifted distribution.

If a custom smile is used, this will take full responsibility of inverting digital prices to market rates, so digitalGap, marketRateAccuracy, lowerRateBound, upperRateBound are irrelavant and the smile moneyness checkpoints are only used for the debug model output in this setup.

Definition at line 99 of file markovfunctional.hpp.

Constructor & Destructor Documentation

◆ MarkovFunctional() [1/2]

MarkovFunctional	(	const Handle< YieldTermStructure > &	termStructure,
		Real	reversion,
		std::vector< Date >	volstepdates,
		std::vector< Real >	volatilities,
		const Handle< SwaptionVolatilityStructure > &	swaptionVol,
		const std::vector< Date > &	swaptionExpiries,
		const std::vector< Period > &	swaptionTenors,
		const ext::shared_ptr< SwapIndex > &	swapIndexBase,
		MarkovFunctional::ModelSettings	modelSettings = `ModelSettings()`
	)

Definition at line 34 of file markovfunctional.cpp.

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◆ MarkovFunctional() [2/2]

MarkovFunctional	(	const Handle< YieldTermStructure > &	termStructure,
		Real	reversion,
		std::vector< Date >	volstepdates,
		std::vector< Real >	volatilities,
		const Handle< OptionletVolatilityStructure > &	capletVol,
		const std::vector< Date > &	capletExpiries,
		ext::shared_ptr< IborIndex >	iborIndex,
		MarkovFunctional::ModelSettings	modelSettings = `ModelSettings()`
	)

Definition at line 65 of file markovfunctional.cpp.

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Member Function Documentation

◆ modelSettings()

const ModelSettings & modelSettings ( ) const

Definition at line 325 of file markovfunctional.hpp.

◆ modelOutputs()

const MarkovFunctional::ModelOutputs & modelOutputs ( ) const

Definition at line 608 of file markovfunctional.cpp.

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◆ numeraireDate()

const Date & numeraireDate ( ) const

Definition at line 328 of file markovfunctional.hpp.

◆ numeraireTime()

const Time & numeraireTime ( ) const

Definition at line 329 of file markovfunctional.hpp.

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◆ volatility()

const Array & volatility ( ) const

Definition at line 331 of file markovfunctional.hpp.

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◆ calibrate() [1/2]

void calibrate	(	const std::vector< ext::shared_ptr< CalibrationHelper > > &	instruments,
		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>()`
	)

overridevirtual

Calibrate to a set of market instruments (usually caps/swaptions)

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Reimplemented from CalibratedModel.

Definition at line 333 of file markovfunctional.hpp.

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◆ calibrate() [2/2]

void calibrate	(	const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &	helpers,
		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>()`
	)

Definition at line 345 of file markovfunctional.hpp.

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◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from CalibratedModel.

Definition at line 359 of file markovfunctional.hpp.

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◆ arbitrageIndices()

std::vector< std::pair< Size, Size > > arbitrageIndices ( ) const

Definition at line 362 of file markovfunctional.hpp.

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◆ forceArbitrageIndices()

void forceArbitrageIndices ( const std::vector< std::pair< Size, Size > > & indices )

Definition at line 369 of file markovfunctional.hpp.

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◆ numeraireImpl()

Real numeraireImpl	(	Time	t,
		Real	y,
		const Handle< YieldTermStructure > &	yts
	)		const

overrideprotectedvirtual

Implements Gaussian1dModel.

Definition at line 774 of file markovfunctional.cpp.

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◆ zerobondImpl()

Real zerobondImpl	(	Time	T,
		Time	t,
		Real	y,
		const Handle< YieldTermStructure > &	yts
	)		const

overrideprotectedvirtual

Implements Gaussian1dModel.

Definition at line 792 of file markovfunctional.cpp.

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◆ generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 380 of file markovfunctional.hpp.

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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.

Reimplemented from Gaussian1dModel.

Definition at line 389 of file markovfunctional.hpp.

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◆ FixedFirstVolatility()

std::vector< bool > FixedFirstVolatility ( ) const

protected

Definition at line 396 of file markovfunctional.hpp.

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◆ initialize()

void initialize ( )

private

Definition at line 132 of file markovfunctional.cpp.

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◆ updateTimes()

void updateTimes ( ) const

private

Definition at line 88 of file markovfunctional.cpp.

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◆ updateTimes1()

void updateTimes1 ( ) const

private

Definition at line 94 of file markovfunctional.cpp.

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◆ updateTimes2()

void updateTimes2 ( ) const

private

Definition at line 112 of file markovfunctional.cpp.

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◆ updateSmiles()

void updateSmiles ( ) const

private

Definition at line 284 of file markovfunctional.cpp.

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◆ updateNumeraireTabulation()

void updateNumeraireTabulation ( ) const

private

Definition at line 439 of file markovfunctional.cpp.

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◆ makeSwaptionCalibrationPoint()

void makeSwaptionCalibrationPoint	(	const Date &	expiry,
		const Period &	tenor
	)

private

Definition at line 234 of file markovfunctional.cpp.

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◆ makeCapletCalibrationPoint()

void makeCapletCalibrationPoint ( const Date & expiry )

private

Definition at line 261 of file markovfunctional.cpp.

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◆ marketSwapRate()

Real marketSwapRate	(	const Date &	expiry,
		const CalibrationPoint &	p,
		Real	digitalPrice,
		Real	guess = `0.03`,
		Real	shift = `0.0`
	)		const

private

Definition at line 812 of file markovfunctional.cpp.

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◆ marketDigitalPrice()

Real marketDigitalPrice	(	const Date &	expiry,
		const CalibrationPoint &	p,
		const Option::Type &	type,
		Real	strike
	)		const

private

Definition at line 828 of file markovfunctional.cpp.

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◆ deflatedZerobondArray()

Array deflatedZerobondArray	(	Time	T,
		Time	t,
		const Array &	y
	)		const

private

Definition at line 746 of file markovfunctional.cpp.

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◆ numeraireArray()

Array numeraireArray	(	Time	t,
		const Array &	y
	)		const

private

Definition at line 702 of file markovfunctional.cpp.

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◆ zerobondArray()

Array zerobondArray	(	Time	T,
		Time	t,
		const Array &	y
	)		const

private

Definition at line 741 of file markovfunctional.cpp.

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◆ deflatedZerobond()

Real deflatedZerobond	(	Time	T,
		Time	t = `0.0`,
		Real	y = `0.0`
	)		const

private

Definition at line 805 of file markovfunctional.cpp.

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◆ forwardRateInternal()

Real forwardRateInternal	(	const Date &	fixing,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		bool	zeroFixingDays = `false`,
		ext::shared_ptr< IborIndex >	iborIdx = `ext::shared_ptr<IborIndex>()`
	)		const

private

Definition at line 942 of file markovfunctional.cpp.

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◆ swapRateInternal()

Real swapRateInternal	(	const Date &	fixing,
		const Period &	tenor,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		bool	zeroFixingDays = `false`,
		ext::shared_ptr< SwapIndex >	swapIdx = `ext::shared_ptr<SwapIndex>()`
	)		const

private

Definition at line 965 of file markovfunctional.cpp.

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◆ swapAnnuityInternal()

Real swapAnnuityInternal	(	const Date &	fixing,
		const Period &	tenor,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		bool	zeroFixingDays = `false`,
		ext::shared_ptr< SwapIndex >	swapIdx = `ext::shared_ptr<SwapIndex>()`
	)		const

private

Definition at line 991 of file markovfunctional.cpp.

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◆ capletPriceInternal()

Real capletPriceInternal	(	const Option::Type &	type,
		const Date &	expiry,
		Rate	strike,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		bool	zeroFixingDays = `false`,
		ext::shared_ptr< IborIndex >	iborIdx = `ext::shared_ptr<IborIndex>()`
	)		const

private

Definition at line 1090 of file markovfunctional.cpp.

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◆ swaptionPriceInternal()

Real swaptionPriceInternal	(	const Option::Type &	type,
		const Date &	expiry,
		const Period &	tenor,
		Rate	strike,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		bool	zeroFixingDays = `false`,
		const ext::shared_ptr< SwapIndex > &	swapIdx = `ext::shared_ptr<SwapIndex>()`
	)		const

private

Definition at line 1019 of file markovfunctional.cpp.

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Member Data Documentation

◆ modelSettings_

ModelSettings modelSettings_

private

Definition at line 497 of file markovfunctional.hpp.

◆ modelOutputs_

ModelOutputs modelOutputs_

mutableprivate

Definition at line 498 of file markovfunctional.hpp.

◆ capletCalibrated_

const bool capletCalibrated_

private

Definition at line 500 of file markovfunctional.hpp.

◆ discreteNumeraire_

ext::shared_ptr<Matrix> discreteNumeraire_

private

Definition at line 502 of file markovfunctional.hpp.

◆ numeraire_

std::vector<ext::shared_ptr<Interpolation> > numeraire_

private

Definition at line 505 of file markovfunctional.hpp.

◆ reversion_

Parameter reversion_

private

Definition at line 507 of file markovfunctional.hpp.

◆ sigma_

Parameter& sigma_

private

Definition at line 508 of file markovfunctional.hpp.

◆ volstepdates_

std::vector<Date> volstepdates_

private

Definition at line 510 of file markovfunctional.hpp.

◆ volsteptimes_

std::vector<Time> volsteptimes_

mutableprivate

Definition at line 511 of file markovfunctional.hpp.

◆ volsteptimesArray_

Array volsteptimesArray_

mutableprivate

Definition at line 512 of file markovfunctional.hpp.

◆ volatilities_

std::vector<Real> volatilities_

private

Definition at line 514 of file markovfunctional.hpp.

◆ numeraireDate_

Date numeraireDate_

private

Definition at line 516 of file markovfunctional.hpp.

◆ numeraireTime_

Time numeraireTime_

mutableprivate

Definition at line 517 of file markovfunctional.hpp.

◆ swaptionVol_

Handle<SwaptionVolatilityStructure> swaptionVol_

private

Definition at line 519 of file markovfunctional.hpp.

◆ capletVol_

Handle<OptionletVolatilityStructure> capletVol_

private

Definition at line 520 of file markovfunctional.hpp.

◆ swaptionExpiries_

std::vector<Date> swaptionExpiries_

private

Definition at line 522 of file markovfunctional.hpp.

◆ capletExpiries_

std::vector<Date> capletExpiries_

private

Definition at line 522 of file markovfunctional.hpp.

◆ swaptionTenors_

std::vector<Period> swaptionTenors_

private

Definition at line 523 of file markovfunctional.hpp.

◆ swapIndexBase_

ext::shared_ptr<SwapIndex> swapIndexBase_

private

Definition at line 524 of file markovfunctional.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 525 of file markovfunctional.hpp.

◆ calibrationPoints_

std::map<Date, CalibrationPoint> calibrationPoints_

mutableprivate

Definition at line 527 of file markovfunctional.hpp.

◆ times_

std::vector<Real> times_

mutableprivate

Definition at line 528 of file markovfunctional.hpp.

◆ y_

Array y_

private

Definition at line 529 of file markovfunctional.hpp.

◆ normalIntegralX_

Array normalIntegralX_

private

Definition at line 531 of file markovfunctional.hpp.

◆ normalIntegralW_

Array normalIntegralW_

private

Definition at line 532 of file markovfunctional.hpp.

◆ arbitrageIndices_

std::vector<std::pair<Size,Size> > arbitrageIndices_

mutableprivate

Definition at line 534 of file markovfunctional.hpp.

◆ forcedArbitrageIndices_

std::vector<std::pair<Size,Size> > forcedArbitrageIndices_

private

Definition at line 535 of file markovfunctional.hpp.

Classes

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ MarkovFunctional() [1/2]

◆ MarkovFunctional() [2/2]

Member Function Documentation

◆ modelSettings()

◆ modelOutputs()

◆ numeraireDate()

◆ numeraireTime()

◆ volatility()

◆ calibrate() [1/2]

◆ calibrate() [2/2]

◆ update()

◆ arbitrageIndices()

◆ forceArbitrageIndices()

◆ numeraireImpl()

◆ zerobondImpl()

◆ generateArguments()

◆ performCalculations()

◆ FixedFirstVolatility()

◆ initialize()

◆ updateTimes()

◆ updateTimes1()

◆ updateTimes2()

◆ updateSmiles()

◆ updateNumeraireTabulation()

◆ makeSwaptionCalibrationPoint()

◆ makeCapletCalibrationPoint()

◆ marketSwapRate()

◆ marketDigitalPrice()

◆ deflatedZerobondArray()

◆ numeraireArray()

◆ zerobondArray()

◆ deflatedZerobond()

◆ forwardRateInternal()

◆ swapRateInternal()

◆ swapAnnuityInternal()

◆ capletPriceInternal()

◆ swaptionPriceInternal()

Member Data Documentation

◆ modelSettings_

◆ modelOutputs_

◆ capletCalibrated_

◆ discreteNumeraire_

◆ numeraire_

◆ reversion_

◆ sigma_

◆ volstepdates_

◆ volsteptimes_

◆ volsteptimesArray_

◆ volatilities_

◆ numeraireDate_

◆ numeraireTime_

◆ swaptionVol_

◆ capletVol_

◆ swaptionExpiries_

◆ capletExpiries_

◆ swaptionTenors_

◆ swapIndexBase_

◆ iborIndex_

◆ calibrationPoints_

◆ times_

◆ y_

◆ normalIntegralX_

◆ normalIntegralW_

◆ arbitrageIndices_

◆ forcedArbitrageIndices_