GsrProcessCore Class Reference

#include <ql/processes/gsrprocesscore.hpp>

Collaboration diagram for GsrProcessCore:

Public Member Functions
	GsrProcessCore (const Array &times, const Array &vols, const Array &reversions, Real T=60.0)
Real	expectation_x0dep_part (Time w, Real xw, Time dt) const
Real	expectation_rn_part (Time w, Time dt) const
Real	expectation_tf_part (Time w, Time dt) const
Real	variance (Time w, Time dt) const
Real	y (Time t) const
Real	G (Time t, Time w) const
Real	sigma (Time t) const
Real	reversion (Time t) const
void	flushCache () const

Protected Attributes
const Array &	times_
const Array &	vols_
const Array &	reversions_

Private Member Functions
int	lowerIndex (Time t) const
int	upperIndex (Time t) const
Real	time2 (Size index) const
Real	cappedTime (Size index, Real cap=Null< Real >()) const
Real	flooredTime (Size index, Real floor=Null< Real >()) const
Real	vol (Size index) const
Real	rev (Size index) const
bool	revZero (Size index) const

Private Attributes
std::map< std::pair< Real, Real >, Real >	cache1_
std::map< std::pair< Real, Real >, Real >	cache2a_
std::map< std::pair< Real, Real >, Real >	cache2b_
std::map< std::pair< Real, Real >, Real >	cache3_
std::map< std::pair< Real, Real >, Real >	cache5_
std::map< Real, Real >	cache4_
Time	T_
std::vector< bool >	revZero_

Detailed Description

Definition at line 39 of file gsrprocesscore.hpp.

Constructor & Destructor Documentation

GsrProcessCore()

GsrProcessCore	(	const Array &	times,
		const Array &	vols,
		const Array &	reversions,
		Real	T = 60.0
	)

Definition at line 30 of file gsrprocesscore.cpp.

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Member Function Documentation

expectation_x0dep_part()

Real expectation_x0dep_part	(	Time	w,
		Real	xw,
		Time	dt
	)		const

Definition at line 68 of file gsrprocesscore.cpp.

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expectation_rn_part()

Real expectation_rn_part	(	Time	w,
		Time	dt
	)		const

Definition at line 85 of file gsrprocesscore.cpp.

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expectation_tf_part()

Real expectation_tf_part	(	Time	w,
		Time	dt
	)		const

Definition at line 158 of file gsrprocesscore.cpp.

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variance()

Real variance	(	Time	w,
		Time	dt
	)		const

Definition at line 236 of file gsrprocesscore.cpp.

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y()

Real y

(

Time

t

)

const

Definition at line 266 of file gsrprocesscore.cpp.

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G()

Real G	(	Time	t,
		Time	w
	)		const

Definition at line 290 of file gsrprocesscore.cpp.

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sigma()

Real sigma

(

Time

t

)

const

Definition at line 94 of file gsrprocesscore.hpp.

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reversion()

Real reversion

(

Time

t

)

const

Definition at line 98 of file gsrprocesscore.hpp.

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flushCache()

void flushCache

(

)

const

Definition at line 52 of file gsrprocesscore.cpp.

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lowerIndex()

int lowerIndex ( Time  t ) const

private

Definition at line 314 of file gsrprocesscore.cpp.

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upperIndex()

int upperIndex ( Time  t ) const

private

Definition at line 319 of file gsrprocesscore.cpp.

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time2()

Real time2 ( Size  index ) const

private

Definition at line 337 of file gsrprocesscore.cpp.

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cappedTime()

Real cappedTime ( Size  index, Real  cap = Null<Real>()  ) const

private

Definition at line 328 of file gsrprocesscore.cpp.

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flooredTime()

Real flooredTime ( Size  index, Real  floor = Null<Real>()  ) const

private

Definition at line 332 of file gsrprocesscore.cpp.

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vol()

Real vol ( Size  index ) const

private

Definition at line 347 of file gsrprocesscore.cpp.

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rev()

Real rev ( Size  index ) const

private

Definition at line 353 of file gsrprocesscore.cpp.

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revZero()

bool revZero ( Size  index ) const

private

Definition at line 359 of file gsrprocesscore.cpp.

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Member Data Documentation

times_

const Array& times_

protected

Definition at line 73 of file gsrprocesscore.hpp.

vols_

const Array & vols_

protected

Definition at line 73 of file gsrprocesscore.hpp.

reversions_

const Array & reversions_

protected

Definition at line 73 of file gsrprocesscore.hpp.

cache1_

std::map<std::pair<Real, Real>, Real> cache1_

mutableprivate

Definition at line 85 of file gsrprocesscore.hpp.

cache2a_

std::map<std::pair<Real, Real>, Real> cache2a_

private

Definition at line 85 of file gsrprocesscore.hpp.

cache2b_

std::map<std::pair<Real, Real>, Real> cache2b_

private

Definition at line 85 of file gsrprocesscore.hpp.

cache3_

std::map<std::pair<Real, Real>, Real> cache3_

private

Definition at line 86 of file gsrprocesscore.hpp.

cache5_

std::map<std::pair<Real, Real>, Real> cache5_

private

Definition at line 86 of file gsrprocesscore.hpp.

cache4_

std::map<Real, Real> cache4_

mutableprivate

Definition at line 87 of file gsrprocesscore.hpp.

T_

Time T_

private

Definition at line 88 of file gsrprocesscore.hpp.

revZero_

std::vector<bool> revZero_

mutableprivate

Definition at line 89 of file gsrprocesscore.hpp.