#include <gaussian1dmodel.hpp>

Inheritance diagram for Gaussian1dModel:

Collaboration diagram for Gaussian1dModel:

Classes
struct	CachedSwapKey

struct	CachedSwapKeyHasher

Public Member Functions
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 ()

Static Public Member Functions
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 Member Functions
	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

Protected Attributes
ext::shared_ptr< StochasticProcess1D >	stateProcess_

Date	evaluationDate_

bool	enforcesTodaysHistoricFixings_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Private Attributes
std::unordered_map< CachedSwapKey, ext::shared_ptr< VanillaSwap >, CachedSwapKeyHasher >	swapCache_

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

Detailed Description

One factor interest rate model interface class The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array of state variable values. The variable $y$ is understood to be the standardized (zero mean, unit variance) version of the model's original state variable $x$.

NTL support may be enabled by defining GAUSS1D_ENABLE_NTL in this file. For details on NTL see http://www.shoup.net/ntl/

Warning:: the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$

Definition at line 72 of file gaussian1dmodel.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dModel()

Gaussian1dModel ( const Handle< YieldTermStructure > & yieldTermStructure )

protected

Definition at line 181 of file gaussian1dmodel.hpp.

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Member Function Documentation

◆ stateProcess()

ext::shared_ptr< StochasticProcess1D > stateProcess ( ) const

Definition at line 224 of file gaussian1dmodel.hpp.

◆ numeraire() [1/2]

Real numeraire	(	Time	t,
		Real	y = `0.0`,
		const Handle< YieldTermStructure > &	yts = `Handle<YieldTermStructure>()`
	)		const

Definition at line 231 of file gaussian1dmodel.hpp.

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◆ zerobond() [1/2]

Real zerobond	(	Time	T,
		Time	t = `0.0`,
		Real	y = `0.0`,
		const Handle< YieldTermStructure > &	yts = `Handle<YieldTermStructure>()`
	)		const

Definition at line 238 of file gaussian1dmodel.hpp.

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◆ numeraire() [2/2]

Real numeraire	(	const Date &	referenceDate,
		Real	y = `0.0`,
		const Handle< YieldTermStructure > &	yts = `Handle<YieldTermStructure>()`
	)		const

Definition at line 244 of file gaussian1dmodel.hpp.

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◆ zerobond() [2/2]

Real zerobond	(	const Date &	maturity,
		const Date &	referenceDate = `Null<Date>()`,
		Real	y = `0.0`,
		const Handle< YieldTermStructure > &	yts = `Handle<YieldTermStructure>()`
	)		const

Definition at line 251 of file gaussian1dmodel.hpp.

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◆ zerobondOption()

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

Definition at line 143 of file gaussian1dmodel.cpp.

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◆ forwardRate()

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

Definition at line 27 of file gaussian1dmodel.cpp.

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◆ swapRate()

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

Definition at line 53 of file gaussian1dmodel.cpp.

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◆ swapAnnuity()

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

Definition at line 113 of file gaussian1dmodel.cpp.

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◆ gaussianPolynomialIntegral()

Real gaussianPolynomialIntegral	(	Real	a,
		Real	b,
		Real	c,
		Real	d,
		Real	e,
		Real	x0,
		Real	x1
	)

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = ax^4+bx^3+cx^2+dx+e \]

.

Definition at line 207 of file gaussian1dmodel.cpp.

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◆ gaussianShiftedPolynomialIntegral()

Real gaussianShiftedPolynomialIntegral	(	Real	a,
		Real	b,
		Real	c,
		Real	d,
		Real	e,
		Real	h,
		Real	x0,
		Real	x1
	)

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = a(x-h)^4+b(x-h)^3+c(x-h)^2+d(x-h)+e \]

.

Definition at line 240 of file gaussian1dmodel.cpp.

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◆ yGrid()

Array yGrid	(	Real	yStdDevs,
		int	gridPoints,
		Real	T = `1.0`,
		Real	t = `0`,
		Real	y = `0`
	)		const

Generates a grid of values for the standardized state variable $y$ at time $T$ conditional on $y(t)=y$, covering yStdDevs standard deviations consisting of 2*gridPoints+1 points

Definition at line 249 of file gaussian1dmodel.cpp.

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◆ numeraireImpl()

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

protectedpure virtual

Implemented in Gsr, and MarkovFunctional.

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◆ zerobondImpl()

virtual Real zerobondImpl	(	Time	T,
		Time	t,
		Real	y,
		const Handle< YieldTermStructure > &	yts
	)		const

protectedpure virtual

Implemented in Gsr, and MarkovFunctional.

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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.

Implements LazyObject.

Reimplemented in Gsr, and MarkovFunctional.

Definition at line 191 of file gaussian1dmodel.hpp.

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◆ generateArguments()

void generateArguments ( )

protected

Definition at line 197 of file gaussian1dmodel.hpp.

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◆ underlyingSwap()

ext::shared_ptr< VanillaSwap > underlyingSwap	(	const ext::shared_ptr< SwapIndex > &	index,
		const Date &	expiry,
		const Period &	tenor
	)		const

protected

Definition at line 205 of file gaussian1dmodel.hpp.

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Member Data Documentation

◆ swapCache_

std::unordered_map<CachedSwapKey, ext::shared_ptr<VanillaSwap>, CachedSwapKeyHasher> swapCache_

mutableprivate

Definition at line 177 of file gaussian1dmodel.hpp.

◆ stateProcess_

ext::shared_ptr<StochasticProcess1D> stateProcess_

protected

Definition at line 219 of file gaussian1dmodel.hpp.

◆ evaluationDate_

Date evaluationDate_

mutableprotected

Definition at line 220 of file gaussian1dmodel.hpp.

◆ enforcesTodaysHistoricFixings_

bool enforcesTodaysHistoricFixings_

mutableprotected

Definition at line 221 of file gaussian1dmodel.hpp.

Classes

Public Member Functions

Static Public Member Functions

Protected Member Functions

Protected Attributes

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Gaussian1dModel()

Member Function Documentation

◆ stateProcess()

◆ numeraire() [1/2]

◆ zerobond() [1/2]

◆ numeraire() [2/2]

◆ zerobond() [2/2]

◆ zerobondOption()

◆ forwardRate()

◆ swapRate()

◆ swapAnnuity()

◆ gaussianPolynomialIntegral()

◆ gaussianShiftedPolynomialIntegral()

◆ yGrid()

◆ numeraireImpl()

◆ zerobondImpl()

◆ performCalculations()

◆ generateArguments()

◆ underlyingSwap()

Member Data Documentation

◆ swapCache_

◆ stateProcess_

◆ evaluationDate_

◆ enforcesTodaysHistoricFixings_