HW nF Parametrization with m driving Brownian motions. More...

#include <qle/models/hwparametrization.hpp>

Inheritance diagram for HwParametrization< TS >:

Public Member Functions
	HwParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency &currency, 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 &currency, 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

Detailed Description

template<class TS>
class QuantExt::HwParametrization< TS >

HW nF Parametrization with m driving Brownian motions.

Member Function Documentation

◆ sigma_x()

virtual QuantLib::Matrix sigma_x ( const QuantLib::Time t ) const

pure virtual

sigma_x, 1.12, this is a m x n matrix

Implemented in HwConstantParametrization< TS >.

◆ y()

QuantLib::Matrix y ( const QuantLib::Time t ) const

virtual

y(t), 1.19, this is an n x n matrix

Reimplemented in HwConstantParametrization< TS >.

◆ g()

QuantLib::Array g	(	const QuantLib::Time	t,
		const QuantLib::Time	T
	)		const

virtual

g(t,T), 1.21, this is an n-array

Reimplemented in HwConstantParametrization< TS >.

◆ termStructure()

const QuantLib::Handle<TS> termStructure ( ) const

the underlying term structure

◆ numberOfParameters()

QuantLib::Size numberOfParameters ( ) const

overridevirtual

we have m x n (from g) + n (from kappa) parameters

Reimplemented from Parametrization.

◆ update()

void update

overridevirtual

this method should be called when input parameters linked via references or pointers change in order to ensure consistent results