CrCirpp Class Reference

Cox-Ingersoll-Ross ++ credit model class. More...

#include <qle/models/crcirpp.hpp>

Inheritance diagram for CrCirpp:

Public Member Functions
	CrCirpp (const boost::shared_ptr< CrCirppParametrization > &parametrization)
Real	zeroBond (Real t, Real T, Real y) const
Real	survivalProbability (Real t, Real T, Real y) const
Real	densityForwardMeasure (Real x, Real t)
Real	cumulativeForwardMeasure (Real x, Real t)
Real	density (Real x, Real t)
Real	cumulative (Real x, Real t)
Real	zeroBondOption (Real eval_t, Real expiry_T, Real maturity_tau, Real strike_k, Real y_t, Real w)
Handle< DefaultProbabilityTermStructure >	defaultCurve (std::vector< Date > dateGrid=std::vector< Date >()) const
const boost::shared_ptr< CrCirppParametrization >	parametrization () const
const boost::shared_ptr< StochasticProcess >	stateProcess () const
Real	A (Real t, Real T) const
Real	B (Real t, Real T) const
void	update () override
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

Cox-Ingersoll-Ross ++ credit model class.

This class implements the Cox-Ingersoll-Ross model defined by

\[ \lambda(t) = y(t) + \psi (t) \\ dy(t) = a(\theta - y(t)) dt + \sigma \, \sqrt{y(t)} \, dW \]

Member Function Documentation

update()

void update ( )

override

observer and linked calibrated model interface