lmlinexpcorrmodel.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
 
namespace QuantLib {
 
    LmLinearExponentialCorrelationModel::LmLinearExponentialCorrelationModel(
                                  Size size, Real rho, Real beta, Size factors)
   : LmCorrelationModel(size, 2),
     corrMatrix_(size, size),
     factors_((factors != Null<Size>()) ? factors : size) {
        arguments_[0] = ConstantParameter(rho, BoundaryConstraint(-1.0, 1.0));
        arguments_[1] = ConstantParameter(beta, PositiveConstraint());
        LmLinearExponentialCorrelationModel::generateArguments();
    }
 
    Matrix LmLinearExponentialCorrelationModel::correlation(Time, const Array&) const {
        Matrix tmp(corrMatrix_);
        return tmp;
    }
 
    Real LmLinearExponentialCorrelationModel::correlation(
                                   Size i, Size j, Time, const Array&) const {
        return corrMatrix_[i][j];
    }
 
    bool LmLinearExponentialCorrelationModel::isTimeIndependent() const {
        return true;
    }
 
    Size LmLinearExponentialCorrelationModel::factors() const {
        return factors_;
    }
 
 
    Matrix LmLinearExponentialCorrelationModel::pseudoSqrt(Time, const Array&) const {
        Matrix tmp(pseudoSqrt_);
        return tmp;
    }
 
    void LmLinearExponentialCorrelationModel::generateArguments() {
        const Real rho = arguments_[0](0.0);
        const Real beta= arguments_[1](0.0);
 
        for (Size i=0; i<size_; ++i) {
            for (Size j=i; j<size_; ++j) {
                corrMatrix_[i][j] = corrMatrix_[j][i]
                    = rho + (1-rho)*std::exp(-beta*std::fabs(Real(i)-Real(j)));
            }
        }
 
        pseudoSqrt_ = rankReducedSqrt(corrMatrix_, factors_,
                                      1.0, SalvagingAlgorithm::None);
 
        corrMatrix_ = pseudoSqrt_ * transpose(pseudoSqrt_);
    }
}