CirppConstantWithFellerParametrization< TS > Class Template Reference

CIR++ Constant Parametrization. More...

#include <qle/models/cirppconstantfellerparametrization.hpp>

Inheritance diagram for CirppConstantWithFellerParametrization< TS >:

Public Member Functions
	CirppConstantWithFellerParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real kappa, const Real theta, const Real sigma, const Real y0, const bool shifted, bool relaxed=false, const Real fellerFactor=2.0, const std::string &name=std::string())
Real	kappa (const Time t) const override
Real	theta (const Time t) const override
Real	sigma (const Time t) const override
Real	y0 (const Time t) const override
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
const bool	relaxed () const
Public Member Functions inherited from CirppParametrization< TS >
	CirppParametrization (const Currency &currency, const Handle< TS > &termStructure, bool shifted, const std::string &name=std::string())
const Handle< TS >	termStructure () const
const bool	shifted () const
Size	numberOfParameters () 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 void	update () 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 Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::CirppConstantWithFellerParametrization< TS >

CIR++ Constant Parametrization.

Member Function Documentation

kappa()

template<class TS>

Real kappa ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

theta()

template<class TS>

Real theta ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

sigma()

template<class TS>

Real sigma ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

y0()

template<class TS>

Real y0 ( const Time t ) const

overridevirtual

Implements CirppParametrization< TS >.

parameter()

template<class TS>

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

overridevirtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

direct()

template<class TS>

Real direct ( const Size , const Real x ) const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

inverse()

template<class TS>

Real inverse ( const Size j, const Real y ) const

overrideprotectedvirtual

Reimplemented from Parametrization.