CommodityModel Class Reference

Inheritance diagram for CommodityModel:

Public Member Functions
virtual const QuantLib::ext::shared_ptr< Parametrization >	parametrizationBase () const =0
virtual Handle< PriceTermStructure >	termStructure () const =0
virtual const Currency &	currency () const =0
virtual Size	n () const =0
virtual Size	m () const =0
virtual QuantLib::ext::shared_ptr< StochasticProcess >	stateProcess () const =0
virtual QuantLib::Real	forwardPrice (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >()) const =0
Public Member Functions inherited from LinkableCalibratedModel
void	update () override
virtual void	calibrate (const std::vector< QuantLib::ext::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).
virtual void	calibrate (const std::vector< QuantLib::ext::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< QuantLib::ext::shared_ptr< CalibrationHelper > > &)
Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility
const QuantLib::ext::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)
virtual void	setParam (Size idx, const Real value)

Additional Inherited Members
Protected Member Functions inherited from LinkableCalibratedModel
virtual void	generateArguments ()
Protected Attributes inherited from LinkableCalibratedModel
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_
QuantLib::ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	endCriteria_
Array	problemValues_

Member Function Documentation

parametrizationBase()

virtual const QuantLib::ext::shared_ptr< Parametrization > parametrizationBase ( ) const

pure virtual

parametrization (as base class)

Implemented in CommoditySchwartzModel.

termStructure()

virtual Handle< PriceTermStructure > termStructure ( ) const

pure virtual

price term structure to which the model is (initially) calibrated

Implemented in CommoditySchwartzModel.

currency()

virtual const Currency & currency ( ) const

pure virtual

currency of the commodity

Implemented in CommoditySchwartzModel.

n()

virtual Size n ( ) const

pure virtual

dimension of model state

Implemented in CommoditySchwartzModel.

m()

virtual Size m ( ) const

pure virtual

number of Brownians to evolve the state

Implemented in CommoditySchwartzModel.

stateProcess()

virtual QuantLib::ext::shared_ptr< StochasticProcess > stateProcess ( ) const

pure virtual

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

Implemented in CommoditySchwartzModel.

forwardPrice()

virtual QuantLib::Real forwardPrice ( const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array & x, const QuantLib::Handle< QuantExt::PriceTermStructure > & priceCurve = QuantLib::Handle< QuantExt::PriceTermStructure >() ) const

pure virtual

stochastic forward price curve F(t,T) at future time t depending on state (of dimension n())

Implemented in CommoditySchwartzModel.