Lgm1fParametrization< TS > Class Template Reference

LGM 1F Parametrization. More...

#include <qle/models/irlgm1fparametrization.hpp>

Inheritance diagram for Lgm1fParametrization< TS >:

Public Member Functions
	Lgm1fParametrization (const Currency &currency, const Handle< TS > &termStructure, const std::string &name=std::string())
virtual Real	zeta (const Time t) const =0
virtual Real	H (const Time t) const =0
virtual Real	alpha (const Time t) const
virtual Real	kappa (const Time t) const
virtual Real	Hprime (const Time t) const
virtual Real	Hprime2 (const Time t) const
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
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
Real	shift_
Real	scaling_
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::Lgm1fParametrization< TS >

LGM 1F Parametrization.

Member Function Documentation

zeta()

template<class TS>

virtual Real zeta ( const Time t ) const

pure virtual

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

Implemented in Lgm1fConstantParametrization< TS >, Lgm1fConstantParametrization< DefaultProbabilityTermStructure >, Lgm1fConstantParametrization< YieldTermStructure >, Lgm1fConstantParametrization< ZeroInflationTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< YieldTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< ZeroInflationTermStructure >, Lgm1fPiecewiseConstantParametrization< TS >, Lgm1fPiecewiseConstantParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantParametrization< YieldTermStructure >, Lgm1fPiecewiseConstantParametrization< ZeroInflationTermStructure >, Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseLinearParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseLinearParametrization< YieldTermStructure >, and Lgm1fPiecewiseLinearParametrization< ZeroInflationTermStructure >.

H()

template<class TS>

virtual Real H ( const Time t ) const

pure virtual

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

Implemented in Lgm1fConstantParametrization< TS >, Lgm1fConstantParametrization< DefaultProbabilityTermStructure >, Lgm1fConstantParametrization< YieldTermStructure >, Lgm1fConstantParametrization< ZeroInflationTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< YieldTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< ZeroInflationTermStructure >, Lgm1fPiecewiseConstantParametrization< TS >, Lgm1fPiecewiseConstantParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantParametrization< YieldTermStructure >, Lgm1fPiecewiseConstantParametrization< ZeroInflationTermStructure >, Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseLinearParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseLinearParametrization< YieldTermStructure >, and Lgm1fPiecewiseLinearParametrization< ZeroInflationTermStructure >.

zetan()

template<class TS>

Real zetan	(	const Size	n,
		const Time	t,
		const QuantLib::ext::shared_ptr< Integrator > &	integrator )

\[ \int_0^t alpha^2(u) H^n(u) du \]

shift()

template<class TS>

Real & shift

(

)

allows to apply a shift to H (model invariance 1)

scaling()

template<class TS>

Real & scaling

(

)

allows to apply a scaling to H and zeta (model invariance 2), note that if a non unit scaling is provided, then the parameterValues method returns the unscaled alpha, while all other methods return scaled (and shifted) values

numberOfParameters()

template<class TS>

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

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.

Reimplemented in Lgm1fPiecewiseConstantHullWhiteAdaptor< TS >, Lgm1fPiecewiseConstantHullWhiteAdaptor< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< YieldTermStructure >, Lgm1fPiecewiseConstantHullWhiteAdaptor< ZeroInflationTermStructure >, Lgm1fPiecewiseConstantParametrization< TS >, Lgm1fPiecewiseConstantParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseConstantParametrization< YieldTermStructure >, Lgm1fPiecewiseConstantParametrization< ZeroInflationTermStructure >, Lgm1fPiecewiseLinearParametrization< TS >, Lgm1fPiecewiseLinearParametrization< DefaultProbabilityTermStructure >, Lgm1fPiecewiseLinearParametrization< YieldTermStructure >, and Lgm1fPiecewiseLinearParametrization< ZeroInflationTermStructure >.