Generalized Hull-White model class. More...

#include <generalizedhullwhite.hpp>

Inheritance diagram for GeneralizedHullWhite:

Collaboration diagram for GeneralizedHullWhite:

Classes
class	Dynamics
	Short-rate dynamics in the generalized Hull-White model. More...

class	FittingParameter
	Analytical term-structure fitting parameter $\varphi(t)$ . More...

Public Member Functions
	GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const ext::function< Real(Real)> &f={}, const ext::function< Real(Real)> &fInverse={})

template<class SpeedInterpolationTraits , class VolInterpolationTraits >
	GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const ext::function< Real(Real)> &f={}, const ext::function< Real(Real)> &fInverse={})

ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...

ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override

	GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01)

ext::shared_ptr< ShortRateDynamics >	HWdynamics () const

Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
	Only valid under Hull-White model. More...

std::vector< bool >	fixedReversion () const
	vector to pass to 'calibrate' to fit only volatility More...

Public Member Functions inherited from OneFactorAffineModel
	OneFactorAffineModel (Size nArguments)

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

Real	discountBond (Time now, Time maturity, Rate rate) const

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

Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)

	~OneFactorModel () override=default

virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	returns the short-rate dynamics More...

ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining 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 &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

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

const Handle< YieldTermStructure > &	termStructure () const

Protected Member Functions
Real	a () const

Real	sigma () const

void	generateArguments () override

Real	A (Time t, Time T) const override

Real	B (Time t, Time T) const override

Real	V (Time t, Time T) const

virtual Real	A (Time t, Time T) const =0

virtual Real	B (Time t, Time T) const =0

virtual void	generateArguments ()

Private Member Functions
ext::function< Real(Time)>	speed () const

ext::function< Real(Time)>	vol () const

template<class SpeedInterpolationTraits , class VolInterpolationTraits >
void	initialize (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const ext::function< Real(Real)> &f, const ext::function< Real(Real)> &fInverse)

Static Private Member Functions
static Real	identity (Real x)

Private Attributes
std::vector< Date >	speedstructure_

std::vector< Date >	volstructure_

std::vector< Time >	speedperiods_

std::vector< Time >	volperiods_

Interpolation	speed_

Interpolation	vol_

Parameter &	a_

Parameter &	sigma_

Parameter	phi_

ext::function< Real(Real)>	f_

ext::function< Real(Real)>	fInverse_

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

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

Generalized Hull-White model class.

This class implements the standard Black-Karasinski model defined by

$d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t,$

where $alpha$ and $sigma$ are piecewise linear functions.

Definition at line 72 of file generalizedhullwhite.hpp.

Constructor & Destructor Documentation

◆ GeneralizedHullWhite() [1/3]

GeneralizedHullWhite	(	const Handle< YieldTermStructure > &	yieldtermStructure,
		const std::vector< Date > &	speedstructure,
		const std::vector< Date > &	volstructure,
		const std::vector< Real > &	speed,
		const std::vector< Real > &	vol,
		const ext::function< Real(Real)> &	f = `{}`,
		const ext::function< Real(Real)> &	fInverse = `{}`
	)

Definition at line 82 of file generalizedhullwhite.cpp.

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◆ GeneralizedHullWhite() [2/3]

GeneralizedHullWhite	(	const Handle< YieldTermStructure > &	yieldtermStructure,
		const std::vector< Date > &	speedstructure,
		const std::vector< Date > &	volstructure,
		const std::vector< Real > &	speed,
		const std::vector< Real > &	vol,
		const SpeedInterpolationTraits &	speedtraits,
		const VolInterpolationTraits &	voltraits,
		const ext::function< Real(Real)> &	f = `{}`,
		const ext::function< Real(Real)> &	fInverse = `{}`
	)

Definition at line 86 of file generalizedhullwhite.hpp.

◆ GeneralizedHullWhite() [3/3]

GeneralizedHullWhite	(	const Handle< YieldTermStructure > &	yieldtermStructure,
		Real	a = `0.1`,
		Real	sigma = `0.01`
	)

Definition at line 102 of file generalizedhullwhite.cpp.

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Member Function Documentation

◆ dynamics()

ext::shared_ptr< ShortRateDynamics > dynamics ( ) const

overridevirtual

returns the short-rate dynamics

Implements OneFactorModel.

Definition at line 105 of file generalizedhullwhite.hpp.

◆ tree()

ext::shared_ptr< Lattice > tree ( const TimeGrid & grid ) const

overridevirtual

Implements ShortRateModel.

Definition at line 211 of file generalizedhullwhite.cpp.

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◆ HWdynamics()

ext::shared_ptr< OneFactorModel::ShortRateDynamics > HWdynamics ( ) const

Definition at line 300 of file generalizedhullwhite.hpp.

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◆ discountBondOption()

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

overridevirtual

Only valid under Hull-White model.

Implements AffineModel.

Definition at line 181 of file generalizedhullwhite.cpp.

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◆ fixedReversion()

std::vector< bool > fixedReversion ( ) const

vector to pass to 'calibrate' to fit only volatility

Definition at line 253 of file generalizedhullwhite.cpp.

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◆ a()

Real a ( ) const

protected

Definition at line 132 of file generalizedhullwhite.hpp.

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◆ sigma()

Real sigma ( ) const

protected

Definition at line 133 of file generalizedhullwhite.hpp.

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◆ generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 122 of file generalizedhullwhite.cpp.

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◆ A()

Real A	(	Time	t,
		Time	T
	)		const

overrideprotectedvirtual

Implements OneFactorAffineModel.

Definition at line 199 of file generalizedhullwhite.cpp.

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◆ B()

Real B	(	Time	t,
		Time	T
	)		const

overrideprotectedvirtual

Implements OneFactorAffineModel.

Definition at line 128 of file generalizedhullwhite.cpp.

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◆ V()

Real V	(	Time	t,
		Time	T
	)		const

protected

Definition at line 152 of file generalizedhullwhite.cpp.

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◆ speed()

ext::function< Real(Time)> speed ( ) const

private

Definition at line 244 of file generalizedhullwhite.cpp.

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◆ vol()

ext::function< Real(Time)> vol ( ) const

private

Definition at line 248 of file generalizedhullwhite.cpp.

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◆ identity()

static Real identity ( Real x )

staticprivate

Definition at line 162 of file generalizedhullwhite.hpp.

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◆ initialize()

void initialize	(	const Handle< YieldTermStructure > &	yieldtermStructure,
		const std::vector< Date > &	speedstructure,
		const std::vector< Date > &	volstructure,
		const std::vector< Real > &	speed,
		const std::vector< Real > &	vol,
		const SpeedInterpolationTraits &	speedtraits,
		const VolInterpolationTraits &	voltraits,
		const ext::function< Real(Real)> &	f,
		const ext::function< Real(Real)> &	fInverse
	)

private

Definition at line 167 of file generalizedhullwhite.hpp.

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Member Data Documentation

◆ speedstructure_

std::vector<Date> speedstructure_

private

Definition at line 145 of file generalizedhullwhite.hpp.

◆ volstructure_

std::vector<Date> volstructure_

private

Definition at line 146 of file generalizedhullwhite.hpp.

◆ speedperiods_

std::vector<Time> speedperiods_

private

Definition at line 147 of file generalizedhullwhite.hpp.

◆ volperiods_

std::vector<Time> volperiods_

private

Definition at line 148 of file generalizedhullwhite.hpp.

◆ speed_

Interpolation speed_

private

Definition at line 149 of file generalizedhullwhite.hpp.

◆ vol_

Interpolation vol_

private

Definition at line 150 of file generalizedhullwhite.hpp.

◆ a_

Parameter& a_

private

Definition at line 155 of file generalizedhullwhite.hpp.

◆ sigma_

Parameter& sigma_

private

Definition at line 156 of file generalizedhullwhite.hpp.

◆ phi_

Parameter phi_

private

Definition at line 157 of file generalizedhullwhite.hpp.

◆ f_

ext::function<Real(Real)> f_

private

Definition at line 159 of file generalizedhullwhite.hpp.

◆ fInverse_

ext::function<Real(Real)> fInverse_

private

Definition at line 160 of file generalizedhullwhite.hpp.

Classes

Public Member Functions

Protected Member Functions

Private Member Functions

Static Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ GeneralizedHullWhite() [1/3]

◆ GeneralizedHullWhite() [2/3]

◆ GeneralizedHullWhite() [3/3]

Member Function Documentation

◆ dynamics()

◆ tree()

◆ HWdynamics()

◆ discountBondOption()

◆ fixedReversion()

◆ a()

◆ sigma()

◆ generateArguments()

◆ A()

◆ B()

◆ V()

◆ speed()

◆ vol()

◆ identity()

◆ initialize()

Member Data Documentation

◆ speedstructure_

◆ volstructure_

◆ speedperiods_

◆ volperiods_

◆ speed_

◆ vol_

◆ a_

◆ sigma_

◆ phi_

◆ f_

◆ fInverse_