QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <markovfunctional.hpp>
Public Types | |
enum | Adjustments { AdjustNone = 0 , AdjustDigitals = 1 << 0 , AdjustYts = 1 << 1 , ExtrapolatePayoffFlat = 1 << 2 , NoPayoffExtrapolation = 1 << 3 , KahaleSmile = 1 << 4 , SmileExponentialExtrapolation = 1 << 5 , KahaleInterpolation = 1 << 6 , SmileDeleteArbitragePoints = 1 << 7 , SabrSmile = 1 << 8 , CustomSmile = 1 << 9 } |
Public Member Functions | |
ModelSettings () | |
ModelSettings (Size yGridPoints, Real yStdDevs, Size gaussHermitePoints, Real digitalGap, Real marketRateAccuracy, Real lowerRateBound, Real upperRateBound, int adjustments, std::vector< Real > smileMoneyCheckpoints=std::vector< Real >(), ext::shared_ptr< CustomSmileFactory > customSmileFactory=ext::shared_ptr< CustomSmileFactory >()) | |
void | validate () |
ModelSettings & | withYGridPoints (Size n) |
ModelSettings & | withYStdDevs (Real s) |
ModelSettings & | withGaussHermitePoints (Size n) |
ModelSettings & | withDigitalGap (Real d) |
ModelSettings & | withMarketRateAccuracy (Real a) |
ModelSettings & | withUpperRateBound (Real u) |
ModelSettings & | withLowerRateBound (Real l) |
ModelSettings & | withAdjustments (int a) |
ModelSettings & | addAdjustment (int a) |
ModelSettings & | removeAdjustment (int a) |
ModelSettings & | withSmileMoneynessCheckpoints (const std::vector< Real > &m) |
ModelSettings & | withCustomSmileFactory (const ext::shared_ptr< CustomSmileFactory > &f) |
Public Attributes | |
Size | yGridPoints_ = 64 |
Real | yStdDevs_ = 7.0 |
Size | gaussHermitePoints_ = 32 |
Real | digitalGap_ = 1E-5 |
Real | marketRateAccuracy_ = 1E-7 |
Real | lowerRateBound_ = 0.0 |
Real | upperRateBound_ = 2.0 |
int | adjustments_ |
std::vector< Real > | smileMoneynessCheckpoints_ |
ext::shared_ptr< CustomSmileFactory > | customSmileFactory_ |
Definition at line 115 of file markovfunctional.hpp.
enum Adjustments |
Definition at line 118 of file markovfunctional.hpp.
ModelSettings | ( | ) |
Definition at line 132 of file markovfunctional.hpp.
ModelSettings | ( | Size | yGridPoints, |
Real | yStdDevs, | ||
Size | gaussHermitePoints, | ||
Real | digitalGap, | ||
Real | marketRateAccuracy, | ||
Real | lowerRateBound, | ||
Real | upperRateBound, | ||
int | adjustments, | ||
std::vector< Real > | smileMoneyCheckpoints = std::vector<Real>() , |
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ext::shared_ptr< CustomSmileFactory > | customSmileFactory = ext::shared_ptr<CustomSmileFactory>() |
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Definition at line 134 of file markovfunctional.hpp.
void validate | ( | ) |
Definition at line 152 of file markovfunctional.hpp.
ModelSettings & withYGridPoints | ( | Size | n | ) |
Definition at line 201 of file markovfunctional.hpp.
ModelSettings & withYStdDevs | ( | Real | s | ) |
Definition at line 205 of file markovfunctional.hpp.
ModelSettings & withGaussHermitePoints | ( | Size | n | ) |
Definition at line 209 of file markovfunctional.hpp.
ModelSettings & withDigitalGap | ( | Real | d | ) |
Definition at line 213 of file markovfunctional.hpp.
ModelSettings & withMarketRateAccuracy | ( | Real | a | ) |
Definition at line 217 of file markovfunctional.hpp.
ModelSettings & withUpperRateBound | ( | Real | u | ) |
Definition at line 221 of file markovfunctional.hpp.
ModelSettings & withLowerRateBound | ( | Real | l | ) |
Definition at line 225 of file markovfunctional.hpp.
ModelSettings & withAdjustments | ( | int | a | ) |
Definition at line 229 of file markovfunctional.hpp.
ModelSettings & addAdjustment | ( | int | a | ) |
ModelSettings & removeAdjustment | ( | int | a | ) |
Definition at line 237 of file markovfunctional.hpp.
ModelSettings & withSmileMoneynessCheckpoints | ( | const std::vector< Real > & | m | ) |
Definition at line 241 of file markovfunctional.hpp.
ModelSettings & withCustomSmileFactory | ( | const ext::shared_ptr< CustomSmileFactory > & | f | ) |
Definition at line 245 of file markovfunctional.hpp.
Size yGridPoints_ = 64 |
Definition at line 250 of file markovfunctional.hpp.
Real yStdDevs_ = 7.0 |
Definition at line 251 of file markovfunctional.hpp.
Size gaussHermitePoints_ = 32 |
Definition at line 252 of file markovfunctional.hpp.
Real digitalGap_ = 1E-5 |
Definition at line 253 of file markovfunctional.hpp.
Real marketRateAccuracy_ = 1E-7 |
Definition at line 253 of file markovfunctional.hpp.
Real lowerRateBound_ = 0.0 |
Definition at line 254 of file markovfunctional.hpp.
Real upperRateBound_ = 2.0 |
Definition at line 254 of file markovfunctional.hpp.
int adjustments_ |
Definition at line 255 of file markovfunctional.hpp.
std::vector<Real> smileMoneynessCheckpoints_ |
Definition at line 256 of file markovfunctional.hpp.
ext::shared_ptr<CustomSmileFactory> customSmileFactory_ |
Definition at line 257 of file markovfunctional.hpp.