HwPiecewiseParametrization< TS > Class Template Reference

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

#include <qle/models/hwpiecewiseparametrization.hpp>

Inheritance diagram for HwPiecewiseParametrization< TS >:

Public Member Functions
	HwPiecewiseParametrization (const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const QuantLib::Array &times, const std::vector< Matrix > &sigma, const std::vector< QuantLib::Array > &kappa, const std::string &name=std::string())
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
const Array &	parameterTimes (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 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

Protected Member Functions
	HwPiecewiseParametrization (const QuantLib::Size n, const QuantLib::Size m, const QuantLib::Currency &currency, const QuantLib::Handle< TS > &termStructure, const QuantLib::Array &times, const std::string &name=std::string())
QuantLib::Size	timeIndex (const QuantLib::Time t) const
QuantLib::Size	sigmaIndex (const QuantLib::Size i, const QuantLib::Size j, const QuantLib::Size timeIndex) const
virtual QuantLib::Size	kappaIndex (const QuantLib::Size i, const QuantLib::Size timeIndex) const
virtual double	sigmaComp (const QuantLib::Size i, const QuantLib::Size j, const QuantLib::Size timeIndex) const
virtual double	kappaComp (const QuantLib::Size i, const QuantLib::Size timeIndex) const
QuantLib::Matrix	sigma_x_ind (const QuantLib::Size timeIndex) const
QuantLib::Array	kappa_ind (const QuantLib::Size timeIndex) const
double	y_part (double a, double b, double t, const QuantLib::Array &kappa, const QuantLib::Matrix &sigma, QuantLib::Size i, QuantLib::Size j) const
double	g_part (double t, double a, double b, double kappa) const
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
QuantLib::Array	times_
QuantLib::ext::shared_ptr< PseudoParameter >	sigma_
QuantLib::ext::shared_ptr< PseudoParameter >	kappa_
Protected Attributes inherited from HwParametrization< TS >
QuantLib::Size	n_
QuantLib::Size	m_
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Static Protected Attributes
static constexpr QuantLib::Real	zeroKappaCutoff_ = 1.0E-6

Detailed Description

template<class TS>
class QuantExt::HwPiecewiseParametrization< TS >

HW nF Parametrization with m driving Brownian motions and piecewise 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.

parameterTimes()

template<class TS>

const Array & parameterTimes ( const Size ) const

overridevirtual

the times associated to parameter i

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 >.