#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp>

Inheritance diagram for SVDDFwdRatePc:

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Public Member Functions
	SVDDFwdRatePc (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const ext::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0)

Public Member Functions inherited from MarketModelEvolver
virtual	~MarketModelEvolver ()=default

virtual const std::vector< Size > &	numeraires () const =0

virtual Real	startNewPath ()=0

virtual Real	advanceStep ()=0

virtual Size	currentStep () const =0

virtual const CurveState &	currentState () const =0

virtual void	setInitialState (const CurveState &)=0

MarketModel interface
ext::shared_ptr< MarketModel >	marketModel_

ext::shared_ptr< BrownianGenerator >	generator_

ext::shared_ptr< MarketModelVolProcess >	volProcess_

Size	firstVolatilityFactor_

Size	volFactorsPerStep_

std::vector< Size >	numeraires_

Size	initialStep_

std::vector< std::vector< Real > >	fixedDrifts_

std::valarray< bool >	isVolVariate_

Size	numberOfRates_

Size	numberOfFactors_

LMMCurveState	curveState_

Size	currentStep_

std::vector< Rate >	forwards_

std::vector< Rate >	displacements_

std::vector< Rate >	logForwards_

std::vector< Rate >	initialLogForwards_

std::vector< Real >	drifts1_

std::vector< Real >	drifts2_

std::vector< Real >	initialDrifts_

std::vector< Real >	allBrownians_

std::vector< Real >	brownians_

std::vector< Real >	volBrownians_

std::vector< Real >	correlatedBrownians_

std::vector< Size >	alive_

std::vector< LMMDriftCalculator >	calculators_

const std::vector< Size > &	numeraires () const override

Real	startNewPath () override

Real	advanceStep () override

Size	currentStep () const override

const CurveState &	currentState () const override

void	setInitialState (const CurveState &) override

void	setForwards (const std::vector< Real > &forwards)

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brac in "Engineering BGM." Vol process is an external input.

Definition at line 40 of file svddfwdratepc.hpp.

Constructor & Destructor Documentation

◆ SVDDFwdRatePc()

SVDDFwdRatePc	(	const ext::shared_ptr< MarketModel > &	marketModel,
		const BrownianGeneratorFactory &	factory,
		const ext::shared_ptr< MarketModelVolProcess > &	volProcess,
		Size	firstVolatilityFactor,
		Size	volatilityFactorStep,
		const std::vector< Size > &	numeraires,
		Size	initialStep = `0`
	)

Definition at line 29 of file svddfwdratepc.cpp.

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Member Function Documentation

◆ numeraires()

const std::vector< Size > & numeraires ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 95 of file svddfwdratepc.cpp.

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◆ startNewPath()

Real startNewPath ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 114 of file svddfwdratepc.cpp.

◆ advanceStep()

Real advanceStep ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 123 of file svddfwdratepc.cpp.

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◆ currentStep()

Size currentStep ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 191 of file svddfwdratepc.cpp.

◆ currentState()

const CurveState & currentState ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 195 of file svddfwdratepc.cpp.

◆ setInitialState()

void setInitialState ( const CurveState & cs )

overridevirtual

Implements MarketModelEvolver.

Definition at line 109 of file svddfwdratepc.cpp.

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◆ setForwards()

void setForwards ( const std::vector< Real > & forwards )

private

Definition at line 99 of file svddfwdratepc.cpp.

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Member Data Documentation

◆ marketModel_

ext::shared_ptr<MarketModel> marketModel_

private

Definition at line 63 of file svddfwdratepc.hpp.

◆ generator_

ext::shared_ptr<BrownianGenerator> generator_

private

Definition at line 64 of file svddfwdratepc.hpp.

◆ volProcess_

ext::shared_ptr<MarketModelVolProcess> volProcess_

private

Definition at line 65 of file svddfwdratepc.hpp.

◆ firstVolatilityFactor_

Size firstVolatilityFactor_

private

Definition at line 67 of file svddfwdratepc.hpp.

◆ volFactorsPerStep_

Size volFactorsPerStep_

private

Definition at line 68 of file svddfwdratepc.hpp.

◆ numeraires_

std::vector<Size> numeraires_

private

Definition at line 70 of file svddfwdratepc.hpp.

◆ initialStep_

Size initialStep_

private

Definition at line 71 of file svddfwdratepc.hpp.

◆ fixedDrifts_

std::vector<std::vector<Real> > fixedDrifts_

private

Definition at line 75 of file svddfwdratepc.hpp.

◆ isVolVariate_

std::valarray<bool> isVolVariate_

private

Definition at line 76 of file svddfwdratepc.hpp.

◆ numberOfRates_

Size numberOfRates_

private

Definition at line 78 of file svddfwdratepc.hpp.

◆ numberOfFactors_

Size numberOfFactors_

private

Definition at line 78 of file svddfwdratepc.hpp.

◆ curveState_

LMMCurveState curveState_

private

Definition at line 79 of file svddfwdratepc.hpp.

◆ currentStep_

Size currentStep_

private

Definition at line 80 of file svddfwdratepc.hpp.

◆ forwards_

std::vector<Rate> forwards_

private

Definition at line 81 of file svddfwdratepc.hpp.

◆ displacements_

std::vector<Rate> displacements_

private

Definition at line 81 of file svddfwdratepc.hpp.

◆ logForwards_

std::vector<Rate> logForwards_

private

Definition at line 81 of file svddfwdratepc.hpp.

◆ initialLogForwards_

std::vector<Rate> initialLogForwards_

private

Definition at line 81 of file svddfwdratepc.hpp.

◆ drifts1_

std::vector<Real> drifts1_

private

Definition at line 82 of file svddfwdratepc.hpp.

◆ drifts2_

std::vector<Real> drifts2_

private

Definition at line 82 of file svddfwdratepc.hpp.

◆ initialDrifts_

std::vector<Real> initialDrifts_

private

Definition at line 82 of file svddfwdratepc.hpp.

◆ allBrownians_

std::vector<Real> allBrownians_

private

Definition at line 83 of file svddfwdratepc.hpp.

◆ brownians_

std::vector<Real> brownians_

private

Definition at line 83 of file svddfwdratepc.hpp.

◆ volBrownians_

std::vector<Real> volBrownians_

private

Definition at line 83 of file svddfwdratepc.hpp.

◆ correlatedBrownians_

std::vector<Real> correlatedBrownians_

private

Definition at line 83 of file svddfwdratepc.hpp.

◆ alive_

std::vector<Size> alive_

private

Definition at line 84 of file svddfwdratepc.hpp.

◆ calculators_

std::vector<LMMDriftCalculator> calculators_

private

Definition at line 86 of file svddfwdratepc.hpp.

Public Member Functions

MarketModel interface

Detailed Description

Constructor & Destructor Documentation

◆ SVDDFwdRatePc()

Member Function Documentation

◆ numeraires()

◆ startNewPath()

◆ advanceStep()

◆ currentStep()

◆ currentState()

◆ setInitialState()

◆ setForwards()

Member Data Documentation

◆ marketModel_

◆ generator_

◆ volProcess_

◆ firstVolatilityFactor_

◆ volFactorsPerStep_

◆ numeraires_

◆ initialStep_

◆ fixedDrifts_

◆ isVolVariate_

◆ numberOfRates_

◆ numberOfFactors_

◆ curveState_

◆ currentStep_

◆ forwards_

◆ displacements_

◆ logForwards_

◆ initialLogForwards_

◆ drifts1_

◆ drifts2_

◆ initialDrifts_

◆ allBrownians_

◆ brownians_

◆ volBrownians_

◆ correlatedBrownians_

◆ alive_

◆ calculators_