CommoditySchwartzParametrization Class Reference

COM Schwartz parametrization. More...

#include <qle/models/commodityschwartzparametrization.hpp>

Inheritance diagram for CommoditySchwartzParametrization:

Public Member Functions
	CommoditySchwartzParametrization (const Currency &currency, const std::string &name, const Handle< QuantExt::PriceTermStructure > &priceCurve, const Handle< Quote > &fxSpotToday, bool driftFreeState=false)
Size	numberOfParameters () const override
virtual Real	variance (const Time t) const =0
	State variable variance on [0, t].
virtual Real	sigma (const Time t) const =0
	State variable Y's diffusion at time t: sigma * exp(kappa * t).
virtual Real	sigmaParameter () const =0
	Inspector for the current value of model parameter sigma (direct).
virtual Real	kappaParameter () const =0
	Inspector for the current value of model parameter kappa (direct).
virtual Real	a (const QuantLib::Time t) const =0
	Inspector for the current value of model parameter a (direct).
virtual Real	m (const QuantLib::Time t) const =0
	Inspector for the current value of model parameter m:= exp(a) (direct).
virtual Real	VtT (Real t, Real T)=0
	Variance V(t,T) used in the computation of F(t,T).
Handle< QuantExt::PriceTermStructure >	priceCurve () const
const Handle< Quote >	fxSpotToday () const
bool	driftFreeState () const
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 const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () const
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

Protected Attributes
const Handle< QuantExt::PriceTermStructure >	priceCurve_
const Handle< Quote >	fxSpotToday_
std::string	comName_
bool	driftFreeState_
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Additional Inherited Members
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

Detailed Description

COM Schwartz parametrization.

Base class for COM parametrization for the Schwartz (1997) mean-reverting one-factor model

Constructor & Destructor Documentation

CommoditySchwartzParametrization()

CommoditySchwartzParametrization	(	const Currency &	currency,
		const std::string &	name,
		const Handle< QuantExt::PriceTermStructure > &	priceCurve,
		const Handle< Quote > &	fxSpotToday,
		bool	driftFreeState = false )

The currency refers to the commodity currency, the fx spot is as of today (i.e. the discounted spot)

Member Function Documentation

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.

variance()

virtual Real variance ( const Time t ) const

pure virtual

State variable variance on [0, t].

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

sigma()

virtual Real sigma ( const Time t ) const

pure virtual

State variable Y's diffusion at time t: sigma * exp(kappa * t).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

sigmaParameter()

virtual Real sigmaParameter ( ) const

pure virtual

Inspector for the current value of model parameter sigma (direct).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

kappaParameter()

virtual Real kappaParameter ( ) const

pure virtual

Inspector for the current value of model parameter kappa (direct).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

a()

virtual Real a ( const QuantLib::Time t ) const

pure virtual

Inspector for the current value of model parameter a (direct).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

m()

virtual Real m ( const QuantLib::Time t ) const

pure virtual

Inspector for the current value of model parameter m:= exp(a) (direct).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.

VtT()

virtual Real VtT ( Real t, Real T )

pure virtual

Variance V(t,T) used in the computation of F(t,T).

Implemented in CommoditySchwartzConstantParametrization, and CommoditySchwartzPiecewiseConstantParametrization.