Libor forward model More...
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
Inheritance diagram for LiborForwardModel:Public Member Functions | |
| LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) | |
| Rate | S_0 (Size alpha, Size beta) const |
| virtual boost::shared_ptr< SwaptionVolatilityMatrix > | getSwaptionVolatilityMatrix () const |
| DiscountFactor | discount (Time t) const |
| Implied discount curve. | |
| Real | discountBond (Time now, Time maturity, Array factors) const |
| Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
| void | setParams (const Array ¶ms) |
Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () |
| 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. | |
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 Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from AffineModel | |
| virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
Protected Member Functions | |
| Disposable< Array > | w_0 (Size alpha, Size beta) const |
Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
Protected Attributes | |
| std::vector< Real > | f_ |
| std::vector< Time > | accrualPeriod_ |
| const boost::shared_ptr< LfmCovarianceProxy > | covarProxy_ |
| const boost::shared_ptr< LiborForwardModelProcess > | process_ |
| boost::shared_ptr< SwaptionVolatilityMatrix > | swaptionVola |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Libor forward model
References:
Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf