CommoditySchwartzModel Class Reference

#include <qle/models/commodityschwartzmodel.hpp>

Inheritance diagram for CommoditySchwartzModel:

Public Types
enum class	Discretization { Euler , Exact }

Public Member Functions
	CommoditySchwartzModel (const boost::shared_ptr< CommoditySchwartzParametrization > &parametrization, const Discretization discretization=Discretization::Euler)
const boost::shared_ptr< Parametrization >	parametrizationBase () const override
Handle< PriceTermStructure >	termStructure () const override
const Currency &	currency () const override
Size	n () const override
Size	m () const override
boost::shared_ptr< StochasticProcess >	stateProcess () const override
QuantLib::Real	forwardPrice (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >()) const override
const boost::shared_ptr< CommoditySchwartzParametrization >	parametrization () const
	Schwartz model specific methods.
void	update () override
	observer and linked calibrated model interface
void	generateArguments () override
Public Member Functions inherited from LinkableCalibratedModel
void	update () override
virtual void	calibrate (const std::vector< boost::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...
virtual void	calibrate (const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &, 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 >())
	for backward compatibility
Real	value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
Real	value (const Array &params, const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility
const boost::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Array	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)

Additional Inherited Members
Protected Attributes inherited from LinkableCalibratedModel
std::vector< boost::shared_ptr< Parameter > >	arguments_
boost::shared_ptr< Constraint >	constraint_
EndCriteria::Type	endCriteria_
Array	problemValues_

Detailed Description

Schwartz (1997) one-factor model of the commodity price termstructure with two constant parameters, sigma and kappa

Price curve dynamics (Martingale) dF(t,T) / F(t,T) = sigma * exp(-kappa * (T-t)) * dW

Model-implied price curve: F(t,T) = F(0,T) * exp{ X(t) * exp(-kappa*(T-t))) - 1/2 * (V(0,T)-V(t,T)) }, with
V(t,T) = sigma^2 * (1 - exp(-2*kappa*(T-t))) / (2*kappa), and dX(t) = -kappa * X(t) * dt + sigma * dW(t), X(0) = 0

In terms of drift-free state variable Y(t) = exp(kappa*t) * X(t): F(t,T) = F(0,T) * exp{ Y(t) * exp(-kappa*T)) - 1/2 * (V(0,T)-V(t,T)) }, dY(t) = sigma * exp(kappa * t) dW(t), Y(0) = 0

Member Function Documentation

parametrizationBase()

const boost::shared_ptr<Parametrization> parametrizationBase ( ) const

overridevirtual

parametrization (as base class)

Implements CommodityModel.

termStructure()

Handle<PriceTermStructure> termStructure ( ) const

overridevirtual

price term structure to which the model is (initially) calibrated

Implements CommodityModel.

currency()

const Currency& currency ( ) const

overridevirtual

currency of the commodity

Implements CommodityModel.

n()

Size n ( ) const

overridevirtual

dimension of model state

Implements CommodityModel.

m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements CommodityModel.

stateProcess()

boost::shared_ptr<StochasticProcess> stateProcess ( ) const

overridevirtual

stochastic process, this has dimension n() and m() Brownian drivers

Implements CommodityModel.

forwardPrice()

QuantLib::Real forwardPrice ( const QuantLib::Time  t, const QuantLib::Time  T, const QuantLib::Array &  x, const QuantLib::Handle< QuantExt::PriceTermStructure > &  priceCurve = QuantLib::Handle< QuantExt::PriceTermStructure >()  ) const

overridevirtual

stochastic forward price curve F(t,T) at future time t depending on state (of dimension n())

Implements CommodityModel.