HW nF Parametrization with m driving Brownian motions. More...
#include <qle/models/hwparametrization.hpp>
Public Member Functions | |
HwParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency ¤cy, const QuantLib::Handle< TS > &termStructure, const std::string &name=std::string()) | |
virtual QuantLib::Matrix | sigma_x (const QuantLib::Time t) const =0 |
virtual QuantLib::Array | kappa (const QuantLib::Time t) const =0 |
virtual QuantLib::Matrix | y (const QuantLib::Time t) const |
virtual QuantLib::Array | g (const QuantLib::Time t, const QuantLib::Time T) const |
const QuantLib::Handle< TS > | termStructure () const |
QuantLib::Size | numberOfParameters () const override |
QuantLib::Size | n () const |
QuantLib::Size | m () const |
void | update () const override |
Public Member Functions inherited from Parametrization | |
Parametrization (const Currency ¤cy, const std::string &name="") | |
virtual const Currency & | currency () const |
virtual const Array & | parameterTimes (const Size) const |
virtual Array | parameterValues (const Size) const |
virtual const boost::shared_ptr< Parameter > | parameter (const Size) const |
const std::string & | name () const |
virtual Real | direct (const Size, const Real x) const |
virtual Real | inverse (const Size, const Real y) const |
Protected Attributes | |
QuantLib::Size | n_ |
QuantLib::Size | m_ |
Protected Attributes inherited from Parametrization | |
const Real | h_ |
const Real | h2_ |
Additional Inherited Members | |
Protected Member Functions inherited from Parametrization | |
Time | tr (const Time t) const |
Time | tl (const Time t) const |
Time | tr2 (const Time t) const |
Time | tm2 (const Time t) const |
Time | tl2 (const Time t) const |
HW nF Parametrization with m driving Brownian motions.
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pure virtual |
sigma_x, 1.12, this is a m x n matrix
Implemented in HwConstantParametrization< TS >.
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virtual |
y(t), 1.19, this is an n x n matrix
Reimplemented in HwConstantParametrization< TS >.
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virtual |
g(t,T), 1.21, this is an n-array
Reimplemented in HwConstantParametrization< TS >.
const QuantLib::Handle<TS> termStructure | ( | ) | const |
the underlying term structure
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overridevirtual |
we have m x n (from g) + n (from kappa) parameters
Reimplemented from Parametrization.
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overridevirtual |
this method should be called when input parameters linked via references or pointers change in order to ensure consistent results
Reimplemented from Parametrization.