HwParametrization< TS > Class Template Reference

HW nF Parametrization with m driving Brownian motions. More...

#include <qle/models/hwparametrization.hpp>

Inheritance diagram for HwParametrization< TS >:

Public Member Functions
	HwParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const std::string &name=std::string())
virtual QuantLib::Matrix	sigma_x (const QuantLib::Time t) const =0
virtual QuantLib::Array	kappa (const QuantLib::Time t) const =0
virtual QuantLib::Matrix	y (const QuantLib::Time t) const
virtual QuantLib::Array	g (const QuantLib::Time t, const QuantLib::Time T) const
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
virtual const QuantLib::ext::shared_ptr< Parameter >	parameter (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

Protected Attributes
QuantLib::Size	n_
QuantLib::Size	m_
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

template<class TS>
class QuantExt::HwParametrization< TS >

HW nF Parametrization with m driving Brownian motions.

Member Function Documentation

sigma_x()

template<class TS>

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

pure virtual

sigma_x, 1.12, this is a m x n matrix

Implemented in HwConstantParametrization< TS >, HwConstantParametrization< YieldTermStructure >, HwPiecewiseParametrization< TS >, and HwPiecewiseParametrization< YieldTermStructure >.

y()

template<class TS>

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

virtual

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

Reimplemented in HwConstantParametrization< TS >, HwConstantParametrization< YieldTermStructure >, HwPiecewiseParametrization< TS >, and HwPiecewiseParametrization< YieldTermStructure >.

g()

template<class TS>

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

virtual

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

Reimplemented in HwConstantParametrization< TS >, HwConstantParametrization< YieldTermStructure >, HwPiecewiseParametrization< TS >, and HwPiecewiseParametrization< YieldTermStructure >.

termStructure()

template<class TS>

const QuantLib::Handle< TS > termStructure

(

)

const

the underlying term structure

numberOfParameters()

template<class TS>

QuantLib::Size numberOfParameters ( ) const

overridevirtual

we have 2 parameters sigma, kappa

Reimplemented from Parametrization.

update()

template<class TS>

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.