Lgm1fConstantParametrization< TS > Class Template Reference

LGM 1F Constant Parametrization. More...

#include <qle/models/irlgm1fconstantparametrization.hpp>

Inheritance diagram for Lgm1fConstantParametrization< TS >:

Public Member Functions
	Lgm1fConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real alpha, const Real kappa, const std::string &name=std::string())
Real	zeta (const Time t) const override
Real	H (const Time t) const override
Real	alpha (const Time t) const override
Real	kappa (const Time t) const override
Real	Hprime (const Time t) const override
Real	Hprime2 (const Time t) const override
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
Public Member Functions inherited from Lgm1fParametrization< TS >
	Lgm1fParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::string &name=std::string())
virtual Real	hullWhiteSigma (const Time t) const
const Handle< TS >	termStructure () const
Real	zetan (const Size n, const Time t, const QuantLib::ext::shared_ptr< Integrator > &integrator)
Real &	shift ()
Real &	scaling ()
Size	numberOfParameters () const override
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

Protected Member Functions
Real	direct (const Size i, const Real x) const override
Real	inverse (const Size j, 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 Lgm1fParametrization< TS >
Real	shift_
Real	scaling_
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::Lgm1fConstantParametrization< TS >

LGM 1F Constant Parametrization.

Member Function Documentation

zeta()

template<class TS>

Real zeta ( const Time t ) const

overridevirtual

zeta must satisfy zeta(0) = 0, zeta'(t) >= 0

Implements Lgm1fParametrization< TS >.

H()

template<class TS>

Real H ( const Time t ) const

overridevirtual

H must be such that H' does not change its sign

Implements Lgm1fParametrization< TS >.

alpha()

template<class TS>

Real alpha ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

kappa()

template<class TS>

Real kappa ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Hprime()

template<class TS>

Real Hprime ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

Hprime2()

template<class TS>

Real Hprime2 ( const Time t ) const

overridevirtual

Reimplemented from Lgm1fParametrization< TS >.

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.

direct()

template<class TS>

Real direct ( const Size , const Real x ) const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

inverse()

template<class TS>

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

overrideprotectedvirtual

Reimplemented from Parametrization.