ratepseudorootjacobian.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 
 Copyright (C) 2008 Mark Joshi
 
 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.
*/
 
 
#ifndef quantlib_rate_pseudo_root_hpp
#define quantlib_rate_pseudo_root_hpp
 
// to be removed using forward declaration
 
 
#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
 
namespace QuantLib
{
 
    class RatePseudoRootJacobianNumerical
    {
    public:
        RatePseudoRootJacobianNumerical(const Matrix& pseudoRoot,
                                        Size aliveIndex, 
                                        Size numeraire,
                                        const std::vector<Time>& taus,
                                        const std::vector<Matrix>& pseudoBumps,
                                        const std::vector<Spread>& displacements);
 
        void getBumps(const std::vector<Rate>& oldRates,
            const std::vector<Real>& oneStepDFs, // redundant info but saves time to pass in since will have been needed elsewhere
            const std::vector<Rate>& newRates,   // redundant info but saves time to pass in since will have been needed elsewhere
            const std::vector<Real>& gaussians,
            Matrix& B); // B as in page 95 of the GG paper, rows should be number rates long, one row for bump
 
    private:
 
        Matrix pseudoRoot_;
        Size aliveIndex_; 
        std::vector<Time> taus_;
        std::vector<Matrix> pseudoBumped_;
        std::vector<Spread> displacements_; 
        Size numberBumps_;
        std::vector<LMMDriftCalculator> driftsComputers_;
        Size factors_;
 
        std::vector<Real> drifts_;
        std::vector<Real> bumpedRates_;
   
    };
 
 
    
 
    class RatePseudoRootJacobian
    {
    public:
      RatePseudoRootJacobian(const Matrix& pseudoRoot,
                             Size aliveIndex,
                             Size numeraire,
                             const std::vector<Time>& taus,
                             const std::vector<Matrix>& pseudoBumps,
                             std::vector<Spread> displacements);
 
      void getBumps(const std::vector<Rate>& oldRates,
                    const std::vector<Real>& oneStepDFs, // redundant info but saves time to pass in
                                                         // since will have been needed elsewhere
                    const std::vector<Rate>& newRates,   // redundant info but saves time to pass in
                                                         // since will have been needed elsewhere
                    const std::vector<Real>& gaussians,
                    Matrix& B); // B as in page 95 of the GG paper, rows should be number rates
                                // long, one row for each bump
 
    private:
 
        Matrix pseudoRoot_;
        Size aliveIndex_; 
        std::vector<Time> taus_;
        std::vector<Matrix> pseudoBumps_;
        std::vector<Spread> displacements_; 
        Size numberBumps_;
        Size factors_;
 
 
        std::vector<Matrix> allDerivatives_; 
    //    std::vector<Real> bumpedRates_;
        Matrix e_;
        std::vector<Real> ratios_;
   
    };
 
    
    class RatePseudoRootJacobianAllElements
    {
    public:
      RatePseudoRootJacobianAllElements(const Matrix& pseudoRoot,
                                        Size aliveIndex,
                                        Size numeraire,
                                        const std::vector<Time>& taus,
                                        std::vector<Spread> displacements);
 
      void getBumps(const std::vector<Rate>& oldRates,
                    const std::vector<Real>& oneStepDFs, // redundant info but saves time to pass in
                                                         // since will have been needed elsewhere
                    const std::vector<Rate>& newRates,   // redundant info but saves time to pass in
                                                         // since will have been needed elsewhere
                    const std::vector<Real>& gaussians,
                    std::vector<Matrix>&
                        B); // one Matrix for each rate, the elements of the matrix are the
                            // derivatives of that rate with respect to each pseudo-root element
 
    private:
 
        Matrix pseudoRoot_;
        Size aliveIndex_; 
        std::vector<Time> taus_;
        std::vector<Matrix> pseudoBumps_;
        std::vector<Spread> displacements_; 
        Size factors_;
 
 
        Matrix e_;
        std::vector<Real> ratios_;
   
    };
 
}
 
#endif