One factor gsr model, formulation is in forward measure. More...

#include <gsr.hpp>

Inheritance diagram for Gsr:

Collaboration diagram for Gsr:

Classes
struct	ReversionObserver

struct	VolatilityObserver

Public Member Functions
	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, Real reversion, Real T=60.0)

	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, Real T=60.0)

	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, const Handle< Quote > &reversion, Real T=60.0)

	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, std::vector< Handle< Quote > > reversions, Real T=60.0)

Real	numeraireTime () const

void	numeraireTime (Real T)

const Array &	reversion () const

const Array &	volatility () const

std::vector< bool >	FixedReversions ()

std::vector< bool >	FixedVolatilities ()

std::vector< bool >	MoveVolatility (Size i)

std::vector< bool >	MoveReversion (Size i)

void	calibrateVolatilitiesIterative (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 >())

void	calibrateReversionsIterative (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 >())

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	update () override

void	performCalculations () const override

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	updateTimes () const

void	updateVolatility ()

void	updateReversion ()

void	initialize (Real)

Private Attributes
Parameter &	reversion_

Parameter &	sigma_

std::vector< Handle< Quote > >	volatilities_

std::vector< Handle< Quote > >	reversions_

std::vector< Date >	volstepdates_

std::vector< Time >	volsteptimes_

Array	volsteptimesArray_

ext::shared_ptr< VolatilityObserver >	volatilityObserver_

ext::shared_ptr< ReversionObserver >	reversionObserver_

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 gsr model, formulation is in forward measure.

Definition at line 34 of file gsr.hpp.

Constructor & Destructor Documentation

◆ Gsr() [1/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		const std::vector< Real > &	volatilities,
		Real	reversion,
		Real	T = `60.0`
	)

Definition at line 26 of file gsr.cpp.

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◆ Gsr() [2/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		const std::vector< Real > &	volatilities,
		const std::vector< Real > &	reversions,
		Real	T = `60.0`
	)

Definition at line 45 of file gsr.cpp.

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◆ Gsr() [3/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		std::vector< Handle< Quote > >	volatilities,
		const Handle< Quote > &	reversion,
		Real	T = `60.0`
	)

Definition at line 65 of file gsr.cpp.

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◆ Gsr() [4/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		std::vector< Handle< Quote > >	volatilities,
		std::vector< Handle< Quote > >	reversions,
		Real	T = `60.0`
	)

Definition at line 79 of file gsr.cpp.

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Member Function Documentation

◆ numeraireTime() [1/2]

Real numeraireTime ( ) const

Definition at line 189 of file gsr.hpp.

◆ numeraireTime() [2/2]

void numeraireTime ( Real T )

Definition at line 194 of file gsr.hpp.

◆ reversion()

const Array & reversion ( ) const

Definition at line 65 of file gsr.hpp.

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◆ volatility()

const Array & volatility ( ) const

Definition at line 66 of file gsr.hpp.

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◆ FixedReversions()

std::vector< bool > FixedReversions ( )

Definition at line 71 of file gsr.hpp.

◆ FixedVolatilities()

std::vector< bool > FixedVolatilities ( )

Definition at line 79 of file gsr.hpp.

◆ MoveVolatility()

std::vector< bool > MoveVolatility ( Size i )

Definition at line 86 of file gsr.hpp.

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◆ MoveReversion()

std::vector< bool > MoveReversion ( Size i )

Definition at line 95 of file gsr.hpp.

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◆ calibrateVolatilitiesIterative()

void calibrateVolatilitiesIterative	(	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>()`
	)

Definition at line 110 of file gsr.hpp.

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◆ calibrateReversionsIterative()

void calibrateReversionsIterative	(	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>()`
	)

Definition at line 126 of file gsr.hpp.

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◆ numeraireImpl()

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

overrideprotectedvirtual

Implements Gaussian1dModel.

Definition at line 204 of file gsr.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 180 of file gsr.cpp.

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◆ generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 144 of file gsr.hpp.

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◆ update()

void update ( )

overrideprotectedvirtual

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 92 of file gsr.cpp.

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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 151 of file gsr.hpp.

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◆ updateTimes()

void updateTimes ( ) const

private

Definition at line 98 of file gsr.cpp.

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◆ updateVolatility()

void updateVolatility ( )

private

Definition at line 117 of file gsr.cpp.

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◆ updateReversion()

void updateReversion ( )

private

Definition at line 124 of file gsr.cpp.

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◆ initialize()

void initialize ( Real T )

private

Definition at line 131 of file gsr.cpp.

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Member Data Documentation

◆ reversion_

Parameter& reversion_

private

Definition at line 163 of file gsr.hpp.

◆ sigma_

Parameter & sigma_

private

Definition at line 163 of file gsr.hpp.

◆ volatilities_

std::vector<Handle<Quote> > volatilities_

private

Definition at line 165 of file gsr.hpp.

◆ reversions_

std::vector<Handle<Quote> > reversions_

private

Definition at line 166 of file gsr.hpp.

◆ volstepdates_

std::vector<Date> volstepdates_

private

Definition at line 167 of file gsr.hpp.

◆ volsteptimes_

std::vector<Time> volsteptimes_

mutableprivate

Definition at line 170 of file gsr.hpp.

◆ volsteptimesArray_

Array volsteptimesArray_

mutableprivate

Definition at line 171 of file gsr.hpp.

◆ volatilityObserver_

ext::shared_ptr<VolatilityObserver> volatilityObserver_

private

Definition at line 185 of file gsr.hpp.

◆ reversionObserver_

ext::shared_ptr<ReversionObserver> reversionObserver_

private

Definition at line 186 of file gsr.hpp.

Classes

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Gsr() [1/4]

◆ Gsr() [2/4]

◆ Gsr() [3/4]

◆ Gsr() [4/4]

Member Function Documentation

◆ numeraireTime() [1/2]

◆ numeraireTime() [2/2]

◆ reversion()

◆ volatility()

◆ FixedReversions()

◆ FixedVolatilities()

◆ MoveVolatility()

◆ MoveReversion()

◆ calibrateVolatilitiesIterative()

◆ calibrateReversionsIterative()

◆ numeraireImpl()

◆ zerobondImpl()

◆ generateArguments()

◆ update()

◆ performCalculations()

◆ updateTimes()

◆ updateVolatility()

◆ updateReversion()

◆ initialize()

Member Data Documentation

◆ reversion_

◆ sigma_

◆ volatilities_

◆ reversions_

◆ volstepdates_

◆ volsteptimes_

◆ volsteptimesArray_

◆ volatilityObserver_

◆ reversionObserver_