Lgm 1f Piecewise Linear Parametrization. More...
#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>
Public Member Functions | |
Lgm1fPiecewiseLinearParametrization (const Currency ¤cy, const Handle< TS > &termStructure, const Array &alphaTimes, const Array &alpha, const Array &hTimes, const Array &h, const std::string &name=std::string(), const boost::shared_ptr< QuantLib::Constraint > &alphaConstraint=boost::make_shared< QuantLib::NoConstraint >(), const boost::shared_ptr< QuantLib::Constraint > &hConstraint=boost::make_shared< QuantLib::NoConstraint >()) | |
Lgm1fPiecewiseLinearParametrization (const Currency ¤cy, const Handle< TS > &termStructure, const std::vector< Date > &alphaDates, const Array &alpha, const std::vector< Date > &hDates, const Array &h, const std::string &name=std::string(), const boost::shared_ptr< QuantLib::Constraint > &alphaConstraint=boost::make_shared< QuantLib::NoConstraint >(), const boost::shared_ptr< QuantLib::Constraint > &hConstraint=boost::make_shared< QuantLib::NoConstraint >()) | |
Real | zeta (const Time t) const override |
Real | H (const Time t) const override |
Real | alpha (const Time t) const override |
Real | kappa (const Time t) const override |
Real | Hprime (const Time t) const override |
Real | Hprime2 (const Time t) const override |
const Array & | parameterTimes (const Size) const override |
const boost::shared_ptr< Parameter > | parameter (const Size) const override |
void | update () const override |
Public Member Functions inherited from Lgm1fParametrization< TS > | |
Lgm1fParametrization (const Currency ¤cy, const Handle< TS > &termStructure, const std::string &name=std::string()) | |
virtual Real | hullWhiteSigma (const Time t) const |
const Handle< TS > | termStructure () const |
Real | zetan (const Size n, const Time t, const boost::shared_ptr< Integrator > &integrator) |
Real & | shift () |
Real & | scaling () |
Size | numberOfParameters () const override |
Public Member Functions inherited from Parametrization | |
Parametrization (const Currency ¤cy, const std::string &name="") | |
virtual const Currency & | currency () const |
virtual Array | parameterValues (const Size) const |
const std::string & | name () const |
Protected Member Functions | |
Real | direct (const Size i, const Real x) const override |
Real | inverse (const Size j, const Real y) const override |
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 |
Additional Inherited Members | |
Protected Attributes inherited from Lgm1fParametrization< TS > | |
Real | shift_ |
Real | scaling_ |
Protected Attributes inherited from Parametrization | |
const Real | h_ |
const Real | h2_ |
Lgm 1f Piecewise Linear Parametrization.
parametrization with piecewise linear H and zeta, w.r.t. zeta this is the same as piecewise constant alpha, w.r.t. H this is implemented with a new (helper) parameter h > 0, such that \(H(t) = \int_0^t h(s) ds\)
|
overridevirtual |
zeta must satisfy zeta(0) = 0, zeta'(t) >= 0
Implements Lgm1fParametrization< TS >.
|
overridevirtual |
H must be such that H' does not change its sign
Implements Lgm1fParametrization< TS >.
|
overridevirtual |
the times associated to parameter i
Reimplemented from Parametrization.
|
overridevirtual |
the parameter storing the raw parameter values
Reimplemented from Parametrization.
|
overridevirtual |
this method should be called when input parameters linked via references or pointers change in order to ensure consistent results
Reimplemented from Lgm1fParametrization< TS >.
|
overrideprotectedvirtual |
transformations between raw and actual parameters
Reimplemented from Parametrization.