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Classes | Public Member Functions | Protected Member Functions | Private Member Functions | Private Attributes | List of all members
G2 Class Reference
Short-rate modelling framework

Two-additive-factor gaussian model class. More...

#include <g2.hpp>

+ Inheritance diagram for G2:
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Classes

class  Dynamics
 
class  FittingParameter
 Analytical term-structure fitting parameter \( \varphi(t) \). More...
 

Public Member Functions

 G2 (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)
 
ext::shared_ptr< ShortRateDynamics > dynamics () const override
 Returns the short-rate dynamics. More...
 
Real discountBond (Time now, Time maturity, Array factors) const override
 
Real discountBond (Time, Time, Rate, Rate) const
 
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
 
Real swaption (const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const
 
DiscountFactor discount (Time t) const override
 Implied discount curve. More...
 
Real a () const
 
Real sigma () const
 
Real b () const
 
Real eta () const
 
Real rho () const
 
- Public Member Functions inherited from TwoFactorModel
 TwoFactorModel (Size nParams)
 
virtual ext::shared_ptr< ShortRateDynamics > dynamics () const =0
 Returns the short-rate dynamics. More...
 
ext::shared_ptr< Lattice > tree (const TimeGrid &grid) const override
 Returns a two-dimensional trinomial tree. More...
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
virtual ext::shared_ptr< Lattice > tree (const TimeGrid &) const =0
 
- 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
 
- 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 Observable
 Observable ()=default
 
 Observable (const Observable &)
 
Observable & operator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observable & operator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from AffineModel
virtual DiscountFactor discount (Time t) const =0
 Implied discount curve. More...
 
virtual Real discountBond (Time now, Time maturity, Array factors) const =0
 
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0
 
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
 
- Public Member Functions inherited from TermStructureConsistentModel
 TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)
 
const Handle< YieldTermStructure > & termStructure () const
 

Protected Member Functions

void generateArguments () override
 
Real A (Time t, Time T) const
 
Real B (Real x, Time t) const
 
virtual void generateArguments ()
 

Private Member Functions

Real sigmaP (Time t, Time s) const
 
Real V (Time t) const
 

Private Attributes

Parameter & a_
 
Parameter & sigma_
 
Parameter & b_
 
Parameter & eta_
 
Parameter & rho_
 
Parameter phi_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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

Two-additive-factor gaussian model class.

This class implements a two-additive-factor model defined by

\[ dr_t = \varphi(t) + x_t + y_t \]

where \( x_t \) and \( y_t \) are defined by

\[ dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0 \]

\[ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0 \]

and \( dW^1_t dW^2_t = \rho dt \).

Bug:
This class was not tested enough to guarantee its functionality.

Definition at line 54 of file g2.hpp.

Constructor & Destructor Documentation

◆ G2()

G2 ( const Handle< YieldTermStructure > &  termStructure,
Real  a = 0.1,
Real  sigma = 0.01,
Real  b = 0.1,
Real  eta = 0.01,
Real  rho = -0.75 
)

Definition at line 31 of file g2.cpp.

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Member Function Documentation

◆ dynamics()

ext::shared_ptr< TwoFactorModel::ShortRateDynamics > dynamics ( ) const
overridevirtual

Returns the short-rate dynamics.

Implements TwoFactorModel.

Definition at line 48 of file g2.cpp.

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◆ discountBond() [1/2]

Real discountBond ( Time  now,
Time  maturity,
Array  factors 
) const
overridevirtual

Implements AffineModel.

Definition at line 67 of file g2.hpp.

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◆ discountBond() [2/2]

Real discountBond ( Time  t,
Time  T,
Rate  x,
Rate  y 
) const

Definition at line 75 of file g2.cpp.

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◆ discountBondOption()

Real discountBondOption ( Option::Type  type,
Real  strike,
Time  maturity,
Time  bondMaturity 
) const
overridevirtual

Implements AffineModel.

Definition at line 79 of file g2.cpp.

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◆ swaption()

Real swaption ( const Swaption::arguments &  arguments,
Rate  fixedRate,
Real  range,
Size  intervals 
) const

Definition at line 218 of file g2.cpp.

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◆ discount()

DiscountFactor discount ( Time  t) const
overridevirtual

Implied discount curve.

Implements AffineModel.

Definition at line 85 of file g2.hpp.

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◆ a()

Real a ( ) const

Definition at line 87 of file g2.hpp.

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◆ sigma()

Real sigma ( ) const

Definition at line 88 of file g2.hpp.

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◆ b()

Real b ( ) const

Definition at line 89 of file g2.hpp.

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◆ eta()

Real eta ( ) const

Definition at line 90 of file g2.hpp.

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◆ rho()

Real rho ( ) const

Definition at line 91 of file g2.hpp.

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◆ generateArguments()

void generateArguments ( )
overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 53 of file g2.cpp.

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◆ A()

Real A ( Time  t,
Time  T 
) const
protected

Definition at line 102 of file g2.cpp.

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◆ B()

Real B ( Real  x,
Time  t 
) const
protected

Definition at line 107 of file g2.cpp.

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◆ sigmaP()

Real sigmaP ( Time  t,
Time  s 
) const
private

Definition at line 59 of file g2.cpp.

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◆ V()

Real V ( Time  t) const
private

Definition at line 89 of file g2.cpp.

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Member Data Documentation

◆ a_

Parameter& a_
private

Definition at line 105 of file g2.hpp.

◆ sigma_

Parameter& sigma_
private

Definition at line 106 of file g2.hpp.

◆ b_

Parameter& b_
private

Definition at line 107 of file g2.hpp.

◆ eta_

Parameter& eta_
private

Definition at line 108 of file g2.hpp.

◆ rho_

Parameter& rho_
private

Definition at line 109 of file g2.hpp.

◆ phi_

Parameter phi_
private

Definition at line 111 of file g2.hpp.

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