One factor gsr model, formulation is in forward measure. More...
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
Inheritance diagram for Gsr:Public Member Functions | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Real reversion, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const Handle< Quote > reversion, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const std::vector< Handle< Quote > > &reversions, const Real T=60.0) | |
| Real | numeraireTime () const |
| void | numeraireTime (const Real T) |
| const Array & | reversion () const |
| const Array & | volatility () const |
| Disposable< std::vector< bool > > | FixedReversions () |
| Disposable< std::vector< bool > > | FixedVolatilities () |
| Disposable< std::vector< bool > > | MoveVolatility (Size i) |
| Disposable< std::vector< bool > > | MoveReversion (Size i) |
| void | calibrateVolatilitiesIterative (const std::vector< boost::shared_ptr< CalibrationHelper > > &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< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) |
Public Member Functions inherited from Gaussian1dModel | |
| const boost::shared_ptr< StochasticProcess1D > | stateProcess () const |
| Real | numeraire (const Time t, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const |
| Real | zerobond (const Time T, const Time t=0.0, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const |
| Real | numeraire (const Date &referenceDate, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const |
| Real | zerobond (const Date &maturity, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const |
| Real | zerobondOption (const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), const Real yStdDevs=7.0, const Size yGridPoints=64, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) const |
| Real | forwardRate (const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const |
| Real | swapRate (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const |
| Real | swapAnnuity (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const |
| const Disposable< Array > | yGrid (const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const |
Public Member Functions inherited from TermStructureConsistentModel | |
| TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
| const Handle< YieldTermStructure > & | termStructure () const |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| 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... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
| const boost::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
Protected Member Functions | |
| Real | numeraireImpl (const Time t, const Real y, const Handle< YieldTermStructure > &yts) const |
| Real | zerobondImpl (const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const |
| void | generateArguments () |
| void | update () |
| void | performCalculations () const |
Protected Member Functions inherited from Gaussian1dModel | |
| Gaussian1dModel (const Handle< YieldTermStructure > &yieldTermStructure) | |
| void | generateArguments () |
| boost::shared_ptr< VanillaSwap > | underlyingSwap (const boost::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const |
Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Static Public Member Functions inherited from Gaussian1dModel | |
| static Real | gaussianPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) |
| static Real | gaussianShiftedPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) |
Protected Attributes inherited from Gaussian1dModel | |
| boost::shared_ptr< StochasticProcess1D > | stateProcess_ |
| Date | evaluationDate_ |
| bool | enforcesTodaysHistoricFixings_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
One factor gsr model, formulation is in forward measure.
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protectedvirtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from CalibratedModel.
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protectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from Gaussian1dModel.