Lgm1fPiecewiseLinearParametrization< TS > Class Template Reference

Lgm 1f Piecewise Linear Parametrization. More...

#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>

Inheritance diagram for Lgm1fPiecewiseLinearParametrization< TS >:

Public Member Functions
	Lgm1fPiecewiseLinearParametrization (const Currency &currency, const Handle< TS > &termStructure, const Array &alphaTimes, const Array &alpha, const Array &hTimes, const Array &h, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &alphaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &hConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())
	Lgm1fPiecewiseLinearParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::vector< Date > &alphaDates, const Array &alpha, const std::vector< Date > &hDates, const Array &h, const std::string &name=std::string(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &alphaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &hConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())
Real	zeta (const Time t) const override
Real	H (const Time t) const override
Real	alpha (const Time t) const override
Real	kappa (const Time t) const override
Real	Hprime (const Time t) const override
Real	Hprime2 (const Time t) const override
const Array &	parameterTimes (const Size) const override
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
void	update () const override
Public Member Functions inherited from Lgm1fParametrization< TS >
	Lgm1fParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::string &name=std::string())
virtual Real	hullWhiteSigma (const Time t) const
const Handle< TS >	termStructure () const
Real	zetan (const Size n, const Time t, const QuantLib::ext::shared_ptr< Integrator > &integrator)
Real &	shift ()
Real &	scaling ()
Size	numberOfParameters () const override
Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, const std::string &name="")
virtual const Currency &	currency () const
virtual Array	parameterValues (const Size) const
const std::string &	name () const

Protected Member Functions
Real	direct (const Size i, const Real x) const override
Real	inverse (const Size j, const Real y) const override
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

Additional Inherited Members
Protected Attributes inherited from Lgm1fParametrization< TS >
Real	shift_
Real	scaling_
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::Lgm1fPiecewiseLinearParametrization< TS >

Lgm 1f Piecewise Linear Parametrization.

parametrization with piecewise linear H and zeta, w.r.t. zeta this is the same as piecewise constant alpha, w.r.t. H this is implemented with a new (helper) parameter h > 0, such that \(H(t) = \int_0^t h(s) ds\)

Warning:

this class is considered experimental, it is not tested well and might have conceptual issues (e.g. kappa is zero almost everywhere); you might rather want to rely on the piecewise constant parametrization

Member Function Documentation

zeta()

Real zeta ( const Time  t ) const

overridevirtual

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

Implements Lgm1fParametrization< TS >.

H()

Real H ( const Time  t ) const

overridevirtual

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

Implements Lgm1fParametrization< TS >.

parameterTimes()

const Array & parameterTimes ( const Size  Size ) const

overridevirtual

the times associated to parameter i

Reimplemented from Parametrization.

parameter()

const QuantLib::ext::shared_ptr< Parameter > parameter ( const Size  Size ) const

overridevirtual

the parameter storing the raw parameter values

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 Lgm1fParametrization< TS >.

direct()

Real direct ( const Size  Size, const Real  x  ) const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.