Cross Asset Model. More...

#include <qle/models/crossassetmodel.hpp>

Inheritance diagram for CrossAssetModel:

Classes
struct	cache_hasher

struct	cache_key

Public Types
enum class	AssetType : Size { IR = 0 , FX = 1 , INF = 2 , CR = 3 , EQ = 4 , COM = 5 , CrState = 6 }

enum class	ModelType { LGM1F , HW , BS , DK , CIRPP , JY , GAB , GENERIC }

enum class	Discretization { Euler , Exact }

Public Member Functions
	CrossAssetModel (const std::vector< QuantLib::ext::shared_ptr< Parametrization >> &parametrizations, const Matrix &correlation=Matrix(), const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::None, const IrModel::Measure measure=IrModel::Measure::LGM, const Discretization discretization=Discretization::Exact)

	CrossAssetModel (const std::vector< QuantLib::ext::shared_ptr< IrModel >> &currencyModels, const std::vector< QuantLib::ext::shared_ptr< FxBsParametrization >> &fxParametrizations, const Matrix &correlation=Matrix(), const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::None, const IrModel::Measure measure=IrModel::Measure::LGM, const Discretization discretization=Discretization::Exact)

QuantLib::ext::shared_ptr< CrossAssetStateProcess >	stateProcess () const

Size	dimension () const

Size	brownians () const

Size	auxBrownians () const

Size	totalNumberOfParameters () const

Size	components (const AssetType t) const

Size	brownians (const AssetType t, const Size i) const

Size	auxBrownians (const AssetType t, const Size i) const

Size	stateVariables (const AssetType t, const Size i) const

ModelType	modelType (const AssetType t, const Size i) const

IrModel::Measure	measure () const

Size	ccyIndex (const Currency &ccy) const

Size	eqIndex (const std::string &eqName) const

Size	infIndex (const std::string &index) const

Size	crName (const std::string &name) const

Size	comIndex (const std::string &comName) const

void	update () override

void	generateArguments () override

const std::vector< QuantLib::ext::shared_ptr< Parametrization > > &	parametrizations () const

const QuantLib::ext::shared_ptr< Parametrization >	ir (const Size ccy) const

const QuantLib::ext::shared_ptr< Parametrization >	fx (const Size ccy) const

const QuantLib::ext::shared_ptr< Parametrization >	inf (const Size i) const

const QuantLib::ext::shared_ptr< Parametrization >	cr (const Size i) const

const QuantLib::ext::shared_ptr< Parametrization >	eq (const Size i) const

const QuantLib::ext::shared_ptr< Parametrization >	com (const Size i) const

const QuantLib::ext::shared_ptr< Parametrization >	crstate (const Size i) const

const QuantLib::ext::shared_ptr< IrModel >	irModel (const Size ccy) const

QuantLib::Real	numeraire (const Size ccy, const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const

QuantLib::Real	discountBond (const Size ccy, const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const

const QuantLib::ext::shared_ptr< HwModel >	hw (const Size ccy) const

const QuantLib::ext::shared_ptr< IrHwParametrization >	irhw (const Size ccy) const

const QuantLib::ext::shared_ptr< LinearGaussMarkovModel >	lgm (const Size ccy) const

const QuantLib::ext::shared_ptr< IrLgm1fParametrization >	irlgm1f (const Size ccy) const

Real	numeraire (const Size ccy, const Time t, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	bankAccountNumeraire (const Size ccy, const Time t, const Real x, const Real y, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	discountBond (const Size ccy, const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	reducedDiscountBond (const Size ccy, const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

Real	discountBondOption (const Size ccy, Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const

const QuantLib::ext::shared_ptr< FxModel >	fxModel (const Size ccy) const

const QuantLib::ext::shared_ptr< FxBsParametrization >	fxbs (const Size ccy) const

const QuantLib::ext::shared_ptr< InfDkParametrization >	infdk (const Size i) const

const QuantLib::ext::shared_ptr< InfJyParameterization >	infjy (const Size i) const
	Inflation JY component.

const QuantLib::ext::shared_ptr< CrLgm1fParametrization >	crlgm1f (const Size i) const

const QuantLib::ext::shared_ptr< CrCirpp >	crcirppModel (const Size i) const

const QuantLib::ext::shared_ptr< CrCirppParametrization >	crcirpp (const Size i) const

const QuantLib::ext::shared_ptr< EqBsParametrization >	eqbs (const Size ccy) const

const QuantLib::ext::shared_ptr< CommodityModel >	comModel (const Size com) const

const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization >	combs (const Size ccy) const

const QuantLib::ext::shared_ptr< CrStateParametrization >	crstateParam (const Size index) const

const Matrix &	correlation () const

void	checkCorrelationMatrix () const

Size	idx (const AssetType t, const Size i) const

Size	cIdx (const AssetType t, const Size i, const Size offset=0) const

Size	wIdx (const AssetType t, const Size i, const Size offset=0) const

Size	pIdx (const AssetType t, const Size i, const Size offset=0) const

Real	correlation (const AssetType s, const Size i, const AssetType t, const Size j, const Size iOffset=0, const Size jOffset=0) const

void	setCorrelation (const AssetType s, const Size i, const AssetType t, const Size j, const Real value, const Size iOffset=0, const Size jOffset=0)

Discretization	discretization () const

SalvagingAlgorithm::Type	salvagingAlgorithm () const

void	setIntegrationPolicy (const QuantLib::ext::shared_ptr< Integrator > integrator, const bool usePiecewiseIntegration=true) const

const QuantLib::ext::shared_ptr< Integrator >	integrator () const

std::pair< Real, Real >	infdkV (const Size i, const Time t, const Time T)

std::pair< Real, Real >	infdkI (const Size i, const Time t, const Time T, const Real z, const Real y)

Real	infdkYY (const Size i, const Time t, const Time S, const Time T, const Real z, const Real y, const Real irz)

std::pair< Real, Real >	crlgm1fS (const Size i, const Size ccy, const Time t, const Time T, const Real z, const Real y) const

std::pair< Real, Real >	crcirppS (const Size i, const Time t, const Time T, const Real y, const Real s) const

virtual Handle< DefaultProbabilityTermStructure >	crTs (const Size i) const

virtual std::pair< Real, Real >	crS (const Size i, const Size ccy, const Time t, const Time T, const Real z, const Real y) const

void	calibrateIrLgm1fVolatilitiesIterative (const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateIrLgm1fReversionsIterative (const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateIrLgm1fGlobal (const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateBsVolatilitiesIterative (const AssetType &assetType, const Size aIdx, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateBsVolatilitiesGlobal (const AssetType &assetType, const Size aIdx, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateInfDkVolatilitiesIterative (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateInfDkReversionsIterative (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateInfDkVolatilitiesGlobal (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateInfDkReversionsGlobal (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateInfJyGlobal (QuantLib::Size index, const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper >> &helpers, QuantLib::OptimizationMethod &method, const QuantLib::EndCriteria &endCriteria, const std::map< QuantLib::Size, bool > &toCalibrate, const QuantLib::Constraint &constraint=QuantLib::Constraint(), const std::vector< QuantLib::Real > &weights=std::vector< QuantLib::Real >())

void	calibrateInfJyIterative (QuantLib::Size inflationModelIndex, QuantLib::Size parameterIndex, const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper >> &helpers, QuantLib::OptimizationMethod &method, const QuantLib::EndCriteria &endCriteria, const QuantLib::Constraint &constraint=QuantLib::Constraint(), const std::vector< QuantLib::Real > &weights=std::vector< QuantLib::Real >())

void	calibrateCrLgm1fVolatilitiesIterative (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void	calibrateCrLgm1fReversionsIterative (const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

std::vector< bool >	MoveParameter (const AssetType t, const Size param, const Size index, const Size i)

Public Member Functions inherited from LinkableCalibratedModel
void	update () override

virtual void	calibrate (const std::vector< QuantLib::ext::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< QuantLib::ext::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< QuantLib::ext::shared_ptr< CalibrationHelper > > &)

Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility

const QuantLib::ext::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)

virtual void	setParam (Size idx, const Real value)

Static Public Attributes
static constexpr Size	numberOfAssetTypes = 7

Protected Member Functions
	CrossAssetModel (const std::vector< QuantLib::ext::shared_ptr< Parametrization >> &parametrizations, const Matrix &correlation, SalvagingAlgorithm::Type salvaging, IrModel::Measure measure, const Discretization discretization, const bool)

Size	arguments (const AssetType t, const Size i) const

Size	aIdx (const AssetType t, const Size i, const Size offset=0) const

virtual std::pair< AssetType, ModelType >	getComponentType (const Size i) const

virtual Size	getNumberOfParameters (const Size i) const

virtual Size	getNumberOfBrownians (const Size i) const

virtual Size	getNumberOfAuxBrownians (const Size i) const

virtual Size	getNumberOfStateVariables (const Size i) const

void	updateIndices (const AssetType &t, const Size i, const Size cIdx, const Size wIdx, const Size pIdx, const Size aIdx)

virtual void	initialize ()

virtual void	initializeParametrizations ()

virtual void	initializeCorrelation ()

virtual void	initializeArguments ()

virtual void	finalizeArguments ()

virtual void	checkModelConsistency () const

virtual void	initDefaultIntegrator ()

Real	infV (const Size idx, const Size ccy, const Time t, const Time T) const

Real	crV (const Size idx, const Size ccy, const Time t, const Time T) const

void	appendToFixedParameterVector (const AssetType t, const AssetType v, const Size param, const Size index, const Size i, std::vector< bool > &res)

Protected Attributes
boost::unordered_map< cache_key, std::pair< Real, Real >, cache_hasher >	cache_crlgm1fS_

boost::unordered_map< cache_key, std::pair< Real, Real >, cache_hasher >	cache_infdkI_

std::vector< Size >	components_

std::vector< std::vector< Size > >	idx_

std::vector< std::vector< Size > >	cIdx_

std::vector< std::vector< Size > >	wIdx_

std::vector< std::vector< Size > >	pIdx_

std::vector< std::vector< Size > >	aIdx_

std::vector< std::vector< Size > >	brownians_

std::vector< std::vector< Size > >	auxBrownians_

std::vector< std::vector< Size > >	stateVariables_

std::vector< std::vector< Size > >	numArguments_

Size	totalDimension_

Size	totalNumberOfBrownians_

Size	totalNumberOfAuxBrownians_

Size	totalNumberOfParameters_

std::vector< std::vector< ModelType > >	modelType_

std::vector< QuantLib::ext::shared_ptr< Parametrization > >	p_

std::vector< QuantLib::ext::shared_ptr< IrModel > >	irModels_

std::vector< QuantLib::ext::shared_ptr< FxModel > >	fxModels_

std::vector< QuantLib::ext::shared_ptr< CrCirpp > >	crcirppModel_

std::vector< QuantLib::ext::shared_ptr< CommodityModel > >	comModels_

Matrix	rho_

SalvagingAlgorithm::Type	salvaging_

IrModel::Measure	measure_

Discretization	discretization_

QuantLib::ext::shared_ptr< Integrator >	integrator_

QuantLib::ext::shared_ptr< CrossAssetStateProcess >	stateProcess_

Protected Attributes inherited from LinkableCalibratedModel
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_

QuantLib::ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	endCriteria_

Array	problemValues_

Detailed Description

Cross Asset Model.

Constructor & Destructor Documentation

◆ CrossAssetModel() [1/2]

CrossAssetModel	(	const std::vector< QuantLib::ext::shared_ptr< Parametrization >> &	parametrizations,
		const Matrix &	correlation = `Matrix()`,
		const SalvagingAlgorithm::Type	salvaging = `SalvagingAlgorithm::None`,
		const IrModel::Measure	measure = `IrModel::Measure::LGM`,
		const Discretization	discretization = `Discretization::Exact`
	)

Parametrizations must be given in the following order

IR (first parametrization defines the domestic currency)
FX (for all pairs domestic-ccy defined by the IR models)
INF (optionally, ccy must be a subset of the IR ccys)
CR (optionally, ccy must be a subset of the IR ccys)
EQ (for all names equity currency defined in Parametrization)
COM (for all names commodity currency defined in Parametrization) If the correlation matrix is not given, it is initialized as the unit matrix (and can be customized after construction of the model).

All IR components must be of type HW or LGM1F, i.e. you can't mix the two types.

◆ CrossAssetModel() [2/2]

CrossAssetModel	(	const std::vector< QuantLib::ext::shared_ptr< IrModel >> &	currencyModels,
		const std::vector< QuantLib::ext::shared_ptr< FxBsParametrization >> &	fxParametrizations,
		const Matrix &	correlation = `Matrix()`,
		const SalvagingAlgorithm::Type	salvaging = `SalvagingAlgorithm::None`,
		const IrModel::Measure	measure = `IrModel::Measure::LGM`,
		const Discretization	discretization = `Discretization::Exact`
	)

IR-FX model based constructor

Member Function Documentation

◆ stateProcess()

QuantLib::ext::shared_ptr<CrossAssetStateProcess> stateProcess ( ) const

returns the state process with a given discretization

◆ dimension()

Size dimension ( ) const

total dimension of model (sum of number of state variables)

◆ brownians() [1/2]

Size brownians ( ) const

total number of Brownian motions (excluding aux brownians)

◆ auxBrownians() [1/2]

Size auxBrownians ( ) const

total number of aux Brownian motions

◆ totalNumberOfParameters()

Size totalNumberOfParameters ( ) const

total number of parameters that can be calibrated

◆ components()

Size components ( const AssetType t ) const

number of components for an asset class

◆ brownians() [2/2]

Size brownians	(	const AssetType	t,
		const Size	i
	)		const

number of brownian motions for a component excluding aux Brownians

◆ auxBrownians() [2/2]

Size auxBrownians	(	const AssetType	t,
		const Size	i
	)		const

number of aux brownian motions for a component

◆ stateVariables()

Size stateVariables	(	const AssetType	t,
		const Size	i
	)		const

number of state variables for a component

◆ modelType()

ModelType modelType	(	const AssetType	t,
		const Size	i
	)		const

model type of a component

◆ measure()

IrModel::Measure measure ( ) const

Choice of probability measure

◆ ccyIndex()

Size ccyIndex ( const Currency & ccy ) const

return index for currency (0 = domestic, 1 = first foreign currency and so on)

◆ eqIndex()

Size eqIndex ( const std::string & eqName ) const

return index for equity (0 = first equity)

◆ infIndex()

Size infIndex ( const std::string & index ) const

return index for inflation (0 = first inflation index)

◆ crName()

Size crName ( const std::string & name ) const

return index for credit (0 = first credit name)

◆ comIndex()

Size comIndex ( const std::string & comName ) const

return index for commodity (0 = first equity)

◆ update()

void update ( )

override

observer and linked calibrated model interface

◆ parametrizations()

const std::vector<QuantLib::ext::shared_ptr<Parametrization> >& parametrizations ( ) const

the vector of parametrizations

◆ ir()

const QuantLib::ext::shared_ptr< Parametrization > ir ( const Size ccy ) const

components per asset class, see below for specific model type inspectors

◆ numeraire() [1/2]

QuantLib::Real numeraire	(	const Size	ccy,
		const QuantLib::Time	t,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		const QuantLib::Array &	aux = `Array()`
	)		const

numeraire

◆ discountBond() [1/2]

QuantLib::Real discountBond	(	const Size	ccy,
		const QuantLib::Time	t,
		const QuantLib::Time	T,
		const QuantLib::Array &	x,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle< YieldTermStructure >()`
	)		const

discount bond

◆ hw()

const QuantLib::ext::shared_ptr< HwModel > hw ( const Size ccy ) const

HW components, ccy=0 refers to the domestic currency

◆ lgm()

const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > lgm ( const Size ccy ) const

LGM1F components, ccy=0 refers to the domestic currency

◆ numeraire() [2/2]

Real numeraire	(	const Size	ccy,
		const Time	t,
		const Real	x,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

DEPRECATED LGM measure numeraire

◆ bankAccountNumeraire()

Real bankAccountNumeraire	(	const Size	ccy,
		const Time	t,
		const Real	x,
		const Real	y,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

DEPRECATED LGM - Bank account measure numeraire B(t) as a function of drifted LGM state variable x and drift-free auxiliary state variable y

◆ discountBond() [2/2]

Real discountBond	(	const Size	ccy,
		const Time	t,
		const Time	T,
		const Real	x,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

DEPRECATED LGM specific discountBond

◆ reducedDiscountBond()

Real reducedDiscountBond	(	const Size	ccy,
		const Time	t,
		const Time	T,
		const Real	x,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

DEPRECATED LGM specific discountBond

◆ discountBondOption()

Real discountBondOption	(	const Size	ccy,
		Option::Type	type,
		const Real	K,
		const Time	t,
		const Time	S,
		const Time	T,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)		const

DEPRECATED LGM specific discountBond

◆ fxbs()

const QuantLib::ext::shared_ptr< FxBsParametrization > fxbs ( const Size ccy ) const

FXBS components, ccy=0 referes to the first foreign currency, so it corresponds to ccy+1 if you want to get the corresponding irmgl1f component

◆ infdk()

const QuantLib::ext::shared_ptr< InfDkParametrization > infdk ( const Size i ) const

INF DK components

◆ crlgm1f()

const QuantLib::ext::shared_ptr< CrLgm1fParametrization > crlgm1f ( const Size i ) const

CR LGM 1F components

◆ crcirppModel()

const QuantLib::ext::shared_ptr< CrCirpp > crcirppModel ( const Size i ) const

CR CIR++ components

◆ eqbs()

const QuantLib::ext::shared_ptr< EqBsParametrization > eqbs ( const Size ccy ) const

EQBS components

◆ combs()

const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > combs ( const Size ccy ) const

COMBS components

◆ crstateParam()

const QuantLib::ext::shared_ptr< CrStateParametrization > crstateParam ( const Size index ) const

CreditState components

◆ correlation() [1/2]

const Matrix & correlation ( ) const

correlation linking the different marginal models, note that the use of asset class pairs specific inspectors is recommended instead of the global matrix directly

◆ checkCorrelationMatrix()

void checkCorrelationMatrix ( ) const

check if correlation matrix is valid

◆ idx()

Size idx	(	const AssetType	t,
		const Size	i
	)		const

index of component in the parametrization vector

◆ cIdx()

Size cIdx	(	const AssetType	t,
		const Size	i,
		const Size	offset = `0`
	)		const

index of component in the correlation matrix, by offset

◆ wIdx()

Size wIdx	(	const AssetType	t,
		const Size	i,
		const Size	offset = `0`
	)		const

index of component in the Brownian vector (including aux brownians), by offset this is checked to be equal to cIdx for Euler discretization and pIdx for exact discretization as an internal assertion

◆ pIdx()

Size pIdx	(	const AssetType	t,
		const Size	i,
		const Size	offset = `0`
	)		const

index of component in the stochastic process array, by offset

◆ correlation() [2/2]

Real correlation	(	const AssetType	s,
		const Size	i,
		const AssetType	t,
		const Size	j,
		const Size	iOffset = `0`,
		const Size	jOffset = `0`
	)		const

correlation between two components

◆ setCorrelation()

void setCorrelation	(	const AssetType	s,
		const Size	i,
		const AssetType	t,
		const Size	j,
		const Real	value,
		const Size	iOffset = `0`,
		const Size	jOffset = `0`
	)

set correlation

◆ discretization()

Discretization discretization ( ) const

get discretization

◆ salvagingAlgorithm()

SalvagingAlgorithm::Type salvagingAlgorithm ( ) const

get salvaging algorithm

◆ setIntegrationPolicy()

void setIntegrationPolicy	(	const QuantLib::ext::shared_ptr< Integrator >	integrator,
		const bool	usePiecewiseIntegration = `true`
	)		const

analytical moments require numerical integration, which can be customized here

◆ infdkV()

std::pair<Real, Real> infdkV	(	const Size	i,
		const Time	t,
		const Time	T
	)

return (V(t), V^tilde(t,T)) in the notation of the book

◆ infdkI()

std::pair<Real, Real> infdkI	(	const Size	i,
		const Time	t,
		const Time	T,
		const Real	z,
		const Real	y
	)

return (I(t), I^tilde(t,T)) in the notation of the book, note that I(0) is normalized to 1 here, i.e. you have to multiply the result with the index value (as of the base date of the inflation ts)

◆ infdkYY()

Real infdkYY	(	const Size	i,
		const Time	t,
		const Time	S,
		const Time	T,
		const Real	z,
		const Real	y,
		const Real	irz
	)

return YoYIIS(t) in the notation of the book, the year on year swaplet price from S to T, at time t

◆ crlgm1fS()

std::pair<Real, Real> crlgm1fS	(	const Size	i,
		const Size	ccy,
		const Time	t,
		const Time	T,
		const Real	z,
		const Real	y
	)		const

returns (S(t), S^tilde(t,T)) in the notation of the book

◆ crcirppS()

std::pair<Real, Real> crcirppS	(	const Size	i,
		const Time	t,
		const Time	T,
		const Real	y,
		const Real	s
	)		const

returns (S(t), S^tilde(t,T)) in the notation of the book

◆ crTs()

Handle< DefaultProbabilityTermStructure > crTs ( const Size i ) const

virtual

tentative: more generic interface that is agnostic of the model type - so far only for CR

◆ calibrateIrLgm1fVolatilitiesIterative()

void calibrateIrLgm1fVolatilitiesIterative	(	const Size	ccy,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibration procedures

calibrate irlgm1f volatilities to a sequence of ir options with expiry times equal to step times in the parametrization

◆ calibrateIrLgm1fReversionsIterative()

void calibrateIrLgm1fReversionsIterative	(	const Size	ccy,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate irlgm1f reversion to a sequence of ir options with maturities equal to step times in the parametrization

◆ calibrateIrLgm1fGlobal()

void calibrateIrLgm1fGlobal	(	const Size	ccy,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate irlgm1f parameters for one ccy globally to a set of ir options

◆ calibrateBsVolatilitiesIterative()

void calibrateBsVolatilitiesIterative	(	const AssetType &	assetType,
		const Size	aIdx,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate eq or fx volatilities to a sequence of options with expiry times equal to step times in the parametrization

◆ calibrateBsVolatilitiesGlobal()

void calibrateBsVolatilitiesGlobal	(	const AssetType &	assetType,
		const Size	aIdx,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate eq/fx/com volatilities globally to a set of eq/fx/com options

◆ calibrateInfDkVolatilitiesIterative()

void calibrateInfDkVolatilitiesIterative	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate infdk volatilities to a sequence of cpi options with expiry times equal to step times in the parametrization

◆ calibrateInfDkReversionsIterative()

void calibrateInfDkReversionsIterative	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate infdk reversions to a sequence of cpi options with maturity times equal to step times in the parametrization

◆ calibrateInfDkVolatilitiesGlobal()

void calibrateInfDkVolatilitiesGlobal	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate infdk volatilities globally to a sequence of cpi cap/floors

◆ calibrateInfDkReversionsGlobal()

void calibrateInfDkReversionsGlobal	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate infdk reversions globally to a sequence of cpi cap/floors

◆ calibrateInfJyGlobal()

void calibrateInfJyGlobal	(	QuantLib::Size	index,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper >> &	helpers,
		QuantLib::OptimizationMethod &	method,
		const QuantLib::EndCriteria &	endCriteria,
		const std::map< QuantLib::Size, bool > &	toCalibrate,
		const QuantLib::Constraint &	constraint = `QuantLib::Constraint()`,
		const std::vector< QuantLib::Real > &	weights = `std::vector< QuantLib::Real >()`
	)

Calibrate JY inflation parameters globally.

The parameter toCalibrate indicates which parameters of the JY inflation model that we want to calibrate. The map key should be in {0, 1, 2} where 0 indicates the real rate volatility, 1 indicates the real rate reversion and 2 indicates the inflation index volatility. The value is true if we wish to calibrate the parameter and false if we do not want to calibrate it.

◆ calibrateInfJyIterative()

void calibrateInfJyIterative	(	QuantLib::Size	inflationModelIndex,
		QuantLib::Size	parameterIndex,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper >> &	helpers,
		QuantLib::OptimizationMethod &	method,
		const QuantLib::EndCriteria &	endCriteria,
		const QuantLib::Constraint &	constraint = `QuantLib::Constraint()`,
		const std::vector< QuantLib::Real > &	weights = `std::vector< QuantLib::Real >()`
	)

Calibrate a single JY inflation parameter iteratively.

Calibrate one of real rate volatility, real rate reversion or inflation index volatility. The parameterIndex indicates the parameter that should be calibrated where 0 indicates the real rate volatility, 1 indicates the real rate reversion and 2 indicates the inflation index volatility.

◆ calibrateCrLgm1fVolatilitiesIterative()

void calibrateCrLgm1fVolatilitiesIterative	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate crlgm1f volatilities to a sequence of cds options with expiry times equal to step times in the parametrization

◆ calibrateCrLgm1fReversionsIterative()

void calibrateCrLgm1fReversionsIterative	(	const Size	index,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = `Constraint()`,
		const std::vector< Real > &	weights = `std::vector< Real >()`
	)

calibrate crlgm1f reversions to a sequence of cds options with maturity times equal to step times in the parametrization

◆ arguments()

Size arguments	(	const AssetType	t,
		const Size	i
	)		const

protected

number of arguments for a component

◆ aIdx()

Size aIdx	(	const AssetType	t,
		const Size	i,
		const Size	offset = `0`
	)		const

protected

index of component in the arguments vector, by offset

◆ getComponentType()

virtual std::pair<AssetType, ModelType> getComponentType ( const Size i ) const

protectedvirtual

asset and model type for given parametrization

◆ getNumberOfParameters()

virtual Size getNumberOfParameters ( const Size i ) const

protectedvirtual

number of parameters for given parametrization

◆ getNumberOfBrownians()

virtual Size getNumberOfBrownians ( const Size i ) const

protectedvirtual

number of brownians (excluding aux brownians) for given parametrization

◆ getNumberOfAuxBrownians()

virtual Size getNumberOfAuxBrownians ( const Size i ) const

protectedvirtual

number of aux brownians for given parametrization

◆ getNumberOfStateVariables()

virtual Size getNumberOfStateVariables ( const Size i ) const

protectedvirtual

number of state variables for given parametrization

◆ updateIndices()

void updateIndices	(	const AssetType &	t,
		const Size	i,
		const Size	cIdx,
		const Size	wIdx,
		const Size	pIdx,
		const Size	aIdx
	)

protected

helper function to init component indices

Classes

Public Types

Public Member Functions

Static Public Attributes

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CrossAssetModel() [1/2]

◆ CrossAssetModel() [2/2]

Member Function Documentation

◆ stateProcess()

◆ dimension()

◆ brownians() [1/2]

◆ auxBrownians() [1/2]

◆ totalNumberOfParameters()

◆ components()

◆ brownians() [2/2]

◆ auxBrownians() [2/2]

◆ stateVariables()

◆ modelType()

◆ measure()

◆ ccyIndex()

◆ eqIndex()

◆ infIndex()

◆ crName()

◆ comIndex()

◆ update()

◆ parametrizations()

◆ ir()

◆ numeraire() [1/2]

◆ discountBond() [1/2]

◆ hw()

◆ lgm()

◆ numeraire() [2/2]

◆ bankAccountNumeraire()

◆ discountBond() [2/2]

◆ reducedDiscountBond()

◆ discountBondOption()

◆ fxbs()

◆ infdk()

◆ crlgm1f()

◆ crcirppModel()

◆ eqbs()

◆ combs()

◆ crstateParam()

◆ correlation() [1/2]

◆ checkCorrelationMatrix()

◆ idx()

◆ cIdx()

◆ wIdx()

◆ pIdx()

◆ correlation() [2/2]

◆ setCorrelation()

◆ discretization()

◆ salvagingAlgorithm()

◆ setIntegrationPolicy()

◆ infdkV()

◆ infdkI()

◆ infdkYY()

◆ crlgm1fS()

◆ crcirppS()

◆ crTs()

◆ calibrateIrLgm1fVolatilitiesIterative()

◆ calibrateIrLgm1fReversionsIterative()

◆ calibrateIrLgm1fGlobal()

◆ calibrateBsVolatilitiesIterative()

◆ calibrateBsVolatilitiesGlobal()

◆ calibrateInfDkVolatilitiesIterative()

◆ calibrateInfDkReversionsIterative()

◆ calibrateInfDkVolatilitiesGlobal()

◆ calibrateInfDkReversionsGlobal()

◆ calibrateInfJyGlobal()

◆ calibrateInfJyIterative()

◆ calibrateCrLgm1fVolatilitiesIterative()

◆ calibrateCrLgm1fReversionsIterative()

◆ arguments()

◆ aIdx()

◆ getComponentType()

◆ getNumberOfParameters()