#include <qle/models/irlgm1fparametrization.hpp>

Inheritance diagram for Lgm1fParametrization< TS >:

Public Member Functions
	Lgm1fParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::string &name=std::string())

virtual Real	zeta (const Time t) const =0

virtual Real	H (const Time t) const =0

virtual Real	alpha (const Time t) const

virtual Real	kappa (const Time t) const

virtual Real	Hprime (const Time t) const

virtual Real	Hprime2 (const Time t) const

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

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
Real	shift_

Real	scaling_

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::Lgm1fParametrization< TS >

LGM 1F Parametrization.

Member Function Documentation

◆ zeta()

virtual Real zeta ( const Time t ) const

pure virtual

zeta must satisfy zeta(0) = 0, zeta'(t) >= 0

Implemented in Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseConstantParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, and Lgm1fConstantParametrization< TS >.

◆ H()

virtual Real H ( const Time t ) const

pure virtual

H must be such that H' does not change its sign

Implemented in Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseConstantParametrization< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, and Lgm1fConstantParametrization< TS >.

◆ zetan()

Real zetan	(	const Size	n,
		const Time	t,
		const boost::shared_ptr< Integrator > &	integrator
	)

\[ \int_0^t alpha^2(u) H^n(u) du \]

◆ shift()

Real & shift

allows to apply a shift to H (model invariance 1)

◆ scaling()

Real & scaling

allows to apply a scaling to H and zeta (model invariance 2), note that if a non unit scaling is provided, then the parameterValues method returns the unscaled alpha, while all other methods return scaled (and shifted) values

◆ numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

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

Reimplemented from Parametrization.

Reimplemented in Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseConstantParametrization< TS >, and Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >.

Public Member Functions

Protected Attributes

Additional Inherited Members