LinearGaussMarkovModel Class Reference

Linear Gauss Morkov Model. More...

#include <qle/models/lgm.hpp>

Inheritance diagram for LinearGaussMarkovModel:

Public Types
enum class	Discretization { Euler , Exact }
Public Types inherited from IrModel
enum class	Measure { LGM , BA }

Public Member Functions
	LinearGaussMarkovModel (const boost::shared_ptr< IrLgm1fParametrization > &parametrization, const Measure measure=Measure::LGM, const Discretization=Discretization::Euler, const bool evaluateBankAccount=true, const boost::shared_ptr< Integrator > &integrator=boost::make_shared< SimpsonIntegral >(1.0E-8, 100))
Measure	measure () const override
	IrModel interface.
const boost::shared_ptr< Parametrization >	parametrizationBase () const override
Handle< YieldTermStructure >	termStructure () const override
Size	n () const override
Size	m () const override
Size	n_aux () const override
Size	m_aux () const override
boost::shared_ptr< StochasticProcess >	stateProcess () const override
QuantLib::Real	discountBond (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override
QuantLib::Real	numeraire (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const override
QuantLib::Real	shortRate (const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override
const boost::shared_ptr< IrLgm1fParametrization >	parametrization () const
	LGM specific methods.
Real	numeraire (const Time t, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const
Real	bankAccountNumeraire (const Time t, const Real x, const Real y, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const
Real	discountBond (const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const
Real	reducedDiscountBond (const Time t, const Time T, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const
Real	discountBondOption (Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const
void	calibrateVolatilitiesIterative (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
void	calibrateReversionsIterative (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
void	calibrateVolatilities (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
void	calibrateReversions (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
void	update () override
void	generateArguments () override
std::vector< bool >	MoveVolatility (const Size i)
std::vector< bool >	MoveReversion (const Size i)
void	setCalibrationInfo (const LgmCalibrationInfo &calibrationInfo)
const LgmCalibrationInfo &	getCalibrationInfo () const
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

Linear Gauss Morkov Model.

LGM 1f interest rate model Basically the same remarks as for CrossAssetModel hold

Member Function Documentation

parametrizationBase()

const boost::shared_ptr<Parametrization> parametrizationBase ( ) const

overridevirtual

parametrization (as base class)

Implements IrModel.

termStructure()

Handle<YieldTermStructure> termStructure ( ) const

overridevirtual

yield term structure to which the IrModel is (initially) calibrated

Implements IrModel.

n()

Size n ( ) const

overridevirtual

dimension of model state, excluding auxilliary states

Implements IrModel.

m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements IrModel.

n_aux()

Size n_aux ( ) const

overridevirtual

(effective) dimension of auxilliary state, typically to evaluate the numeraire in the BA-measure

Implements IrModel.

m_aux()

Size m_aux ( ) const

overridevirtual

(effective) number of Brownians required to evolve the auxilliary state, typcially for exact discretization schemes

Implements IrModel.

stateProcess()

boost::shared_ptr< StochasticProcess > stateProcess ( ) const

overridevirtual

stochastic process, this has dimension n() + n_aux() and m() + m_aux() Brownian drivers

Implements IrModel.

discountBond()

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

overridevirtual

discount bond depending on state (of dimension n())

Implements IrModel.

numeraire()

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

overridevirtual

numeraire depending on state and aux state (of dimensions n(), n_aux()

Implements IrModel.

shortRate()

QuantLib::Real shortRate ( const QuantLib::Time  t, const QuantLib::Array &  x, const QuantLib::Handle< QuantLib::YieldTermStructure > &  discountCurve = Handle< YieldTermStructure >()  ) const

overridevirtual

short rate at t

Implements IrModel.

bankAccountNumeraire()

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

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

calibrateVolatilitiesIterative()

void calibrateVolatilitiesIterative	(	const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = Constraint(),
		const std::vector< Real > &	weights = std::vector<Real>()
	)

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

calibrateReversionsIterative()

void calibrateReversionsIterative	(	const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = Constraint(),
		const std::vector< Real > &	weights = std::vector<Real>()
	)

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

calibrateVolatilities()

void calibrateVolatilities	(	const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = Constraint(),
		const std::vector< Real > &	weights = std::vector<Real>()
	)

calibrate volatilities globally

calibrateReversions()

void calibrateReversions	(	const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &	helpers,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Constraint &	constraint = Constraint(),
		const std::vector< Real > &	weights = std::vector<Real>()
	)

calibrate volatilities globally

update()

void update ( )

override

observer and linked calibrated model interface

MoveVolatility()

std::vector<bool> MoveVolatility

(

const Size

i

)

calibration constraints, these can be used directly, or through the customized calibrate methods above

setCalibrationInfo()

void setCalibrationInfo

(

const LgmCalibrationInfo &

calibrationInfo

)

set info on how the model was calibrated

getCalibrationInfo()

const LgmCalibrationInfo& getCalibrationInfo

(

)

const

get info on how the model was calibrated