EqBsPiecewiseConstantParametrization Class Reference

EQ Black Scholes constant parametrization. More...

#include <qle/models/eqbspiecewiseconstantparametrization.hpp>

Inheritance diagram for EqBsPiecewiseConstantParametrization:

Public Member Functions
	EqBsPiecewiseConstantParametrization (const Currency &currency, const std::string &eqName, const Handle< Quote > &eqSpotToday, const Handle< Quote > &fxSpotToday, const Array &times, const Array &sigma, const Handle< YieldTermStructure > &eqIrCurveToday, const Handle< YieldTermStructure > &eqDivYieldCurveToday)
	EqBsPiecewiseConstantParametrization (const Currency &currency, const std::string &eqName, const Handle< Quote > &eqSpotToday, const Handle< Quote > &fxSpotToday, const std::vector< Date > &dates, const Array &sigma, const Handle< YieldTermStructure > &domesticTermStructure, const Handle< YieldTermStructure > &eqIrCurveToday, const Handle< YieldTermStructure > &eqDivYieldCurveToday)
Real	variance (const Time t) const override
Real	sigma (const Time t) const override
const Array &	parameterTimes (const Size) const override
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
void	update () const override
Public Member Functions inherited from EqBsParametrization
	EqBsParametrization (const Currency &eqCcy, const std::string &eqName, const Handle< Quote > &equitySpotToday, const Handle< Quote > &fxSpotToday, const Handle< YieldTermStructure > &equityIrCurveToday, const Handle< YieldTermStructure > &equityDivYieldCurveToday)
virtual Real	stdDeviation (const Time t) const
const Handle< Quote >	eqSpotToday () const
const Handle< Quote >	fxSpotToday () const
const Handle< YieldTermStructure >	equityIrCurveToday () const
const Handle< YieldTermStructure >	equityDivYieldCurveToday () 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 Array	parameterValues (const Size) const
const std::string &	name () const

Protected Member Functions
Real	direct (const Size i, const Real x) const override
Real	inverse (const Size i, 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

EQ Black Scholes constant parametrization.

EQ Black Scholes parametrization with piecewise constant volatility

Constructor & Destructor Documentation

EqBsPiecewiseConstantParametrization() [1/2]

EqBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const std::string &	eqName,
		const Handle< Quote > &	eqSpotToday,
		const Handle< Quote > &	fxSpotToday,
		const Array &	times,
		const Array &	sigma,
		const Handle< YieldTermStructure > &	eqIrCurveToday,
		const Handle< YieldTermStructure > &	eqDivYieldCurveToday )

The currency refers to the equity currency, the spots are as of today (i.e. the discounted spot)

EqBsPiecewiseConstantParametrization() [2/2]

EqBsPiecewiseConstantParametrization	(	const Currency &	currency,
		const std::string &	eqName,
		const Handle< Quote > &	eqSpotToday,
		const Handle< Quote > &	fxSpotToday,
		const std::vector< Date > &	dates,
		const Array &	sigma,
		const Handle< YieldTermStructure > &	domesticTermStructure,
		const Handle< YieldTermStructure > &	eqIrCurveToday,
		const Handle< YieldTermStructure > &	eqDivYieldCurveToday )

The term structure is needed in addition because it it's day counter and reference date is needed to convert dates to times. It should be the term structure of the domestic IR component in the cross asset model, since this is defining the model's date-time conversion in more general terms.

Member Function Documentation

variance()

Real variance ( const Time t ) const

overridevirtual

must satisfy variance(0) = 0.0, variance'(t) >= 0

Implements EqBsParametrization.

sigma()

Real sigma ( const Time t ) const

overridevirtual

is supposed to be positive

Reimplemented from EqBsParametrization.

parameterTimes()

const Array & parameterTimes ( const Size ) const

overridevirtual

the times associated to parameter i

Reimplemented from Parametrization.

parameter()

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

overridevirtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

update()

void update ( ) const

overridevirtual

this method should be called when input parameters linked via references or pointers change in order to ensure consistent results

Reimplemented from Parametrization.

direct()

Real direct ( const Size , const Real x ) const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

inverse()

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

overrideprotectedvirtual

Reimplemented from Parametrization.