HwConstantParametrization< TS > Class Template Reference

HW nF Parametrization with m driving Brownian motions and constant reversion, vol. More...

#include <qle/models/hwconstantparametrization.hpp>

Inheritance diagram for HwConstantParametrization< TS >:

Public Member Functions
	HwConstantParametrization (const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const QuantLib::Matrix &sigma, const QuantLib::Array &kappa, const std::string &name=std::string())
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
QuantLib::Matrix	sigma_x (const QuantLib::Time t) const override
QuantLib::Array	kappa (const QuantLib::Time t) const override
QuantLib::Matrix	y (const QuantLib::Time t) const override
QuantLib::Array	g (const QuantLib::Time t, const QuantLib::Time T) const override
Public Member Functions inherited from HwParametrization< TS >
	HwParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const std::string &name=std::string())
const QuantLib::Handle< TS >	termStructure () const
QuantLib::Size	numberOfParameters () const override
QuantLib::Size	n () const
QuantLib::Size	m () const
void	update () 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
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

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
Protected Attributes inherited from HwParametrization< TS >
QuantLib::Size	n_
QuantLib::Size	m_
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::HwConstantParametrization< TS >

HW nF Parametrization with m driving Brownian motions and constant reversion, vol.

Member Function Documentation

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.

sigma_x()

template<class TS>

QuantLib::Matrix sigma_x ( const QuantLib::Time t ) const

overridevirtual

sigma_x, 1.12, this is a m x n matrix

Implements HwParametrization< TS >.

kappa()

template<class TS>

QuantLib::Array kappa ( const QuantLib::Time t ) const

overridevirtual

Implements HwParametrization< TS >.

y()

template<class TS>

QuantLib::Matrix y ( const QuantLib::Time t ) const

overridevirtual

y(t), 1.19, this is an n x n matrix

Reimplemented from HwParametrization< TS >.

g()

template<class TS>

QuantLib::Array g ( const QuantLib::Time t, const QuantLib::Time T ) const

overridevirtual

g(t,T), 1.21, this is an n-array

Reimplemented from HwParametrization< TS >.