Parametrization Class Reference

Parametrization. More...

#include <qle/models/parametrization.hpp>

Inheritance diagram for Parametrization:

Public Member Functions
	Parametrization (const Currency &currency, const std::string &name="")
virtual const Currency &	currency () const
virtual const Array &	parameterTimes (const Size) const
virtual Size	numberOfParameters () const
virtual Array	parameterValues (const Size) const
virtual const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () 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
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
const Real	h_
const Real	h2_

Detailed Description

Parametrization.

Base class for classes representing model parameters. There is a disctinction between "actual" and "raw" parameters. The "actual" parameter value is the true value of the parameter, e.g. 0.20 to represent a black scholes volatility of 20%. The "raw" parameter is derived from the actual parameter by applying a transformation

actual value = direct( raw value ) raw value = inverse( actual value )

The idea behind that is that the optimization during a model calibration can be performed as an unconstrained optimization which usually works more stable and is faster than a constrained optimization. For example, to ensure a positive black volatility one can use the transformation

direct ( x ) = x * x

To ensure a valid correlation one can use the transformation

direct ( x ) = (atan( x ) + pi / 2) / pi

and so forth. To implement you own transformation you can overwrite the direct() and inverse() methods. The default implementation of these methods represents the trivial transformation (identity, i.e. direct( x ) = x ).

Member Function Documentation

currency()

const Currency & currency ( ) const

virtual

the currency associated to this parametrization

parameterTimes()

const Array & parameterTimes ( const Size ) const

virtual

the times associated to parameter i

Reimplemented in CommoditySchwartzPiecewiseConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsPiecewiseConstantParametrization, HwPiecewiseParametrization< TS >, HwPiecewiseParametrization< YieldTermStructure >, 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 >.

numberOfParameters()

virtual Size numberOfParameters ( ) const

virtual

the number of parameters in this parametrization

Reimplemented in CirppParametrization< TS >, CirppParametrization< DefaultProbabilityTermStructure >, CirppParametrization< YieldTermStructure >, CommoditySchwartzParametrization, EqBsParametrization, FxBsParametrization, HwParametrization< TS >, HwParametrization< YieldTermStructure >, InfJyParameterization, Lgm1fParametrization< TS >, Lgm1fParametrization< DefaultProbabilityTermStructure >, Lgm1fParametrization< YieldTermStructure >, and Lgm1fParametrization< ZeroInflationTermStructure >.

parameterValues()

Array parameterValues ( const Size i ) const

virtual

the actual parameter values

parameter()

const QuantLib::ext::shared_ptr< Parameter > parameter ( const Size ) const

virtual

the parameter storing the raw parameter values

Reimplemented in CirppConstantParametrization< TS >, CirppConstantParametrization< DefaultProbabilityTermStructure >, CirppConstantParametrization< YieldTermStructure >, CirppConstantWithFellerParametrization< TS >, CirppConstantWithFellerParametrization< DefaultProbabilityTermStructure >, CirppConstantWithFellerParametrization< YieldTermStructure >, CommoditySchwartzConstantParametrization, CommoditySchwartzPiecewiseConstantParametrization, EqBsConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsPiecewiseConstantParametrization, HwConstantParametrization< TS >, HwConstantParametrization< YieldTermStructure >, HwPiecewiseParametrization< TS >, HwPiecewiseParametrization< YieldTermStructure >, 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 >.

update()

void update ( ) const

virtual

this method should be called when input parameters linked via references or pointers change in order to ensure consistent results

Reimplemented in CommoditySchwartzPiecewiseConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsPiecewiseConstantParametrization, HwParametrization< TS >, HwParametrization< YieldTermStructure >, InfJyParameterization, Lgm1fParametrization< TS >, Lgm1fParametrization< DefaultProbabilityTermStructure >, Lgm1fParametrization< YieldTermStructure >, Lgm1fParametrization< 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 >.

name()

const std::string & name

(

)

const

return a name (inflation index, equity name, credit name, etc.)

direct()

Real direct ( const Size , const Real x ) const

virtual

transformations between raw and actual parameters

Reimplemented in CirppConstantParametrization< TS >, CirppConstantParametrization< DefaultProbabilityTermStructure >, CirppConstantParametrization< YieldTermStructure >, CirppConstantWithFellerParametrization< TS >, CirppConstantWithFellerParametrization< DefaultProbabilityTermStructure >, CirppConstantWithFellerParametrization< YieldTermStructure >, CommoditySchwartzConstantParametrization, CommoditySchwartzPiecewiseConstantParametrization, EqBsConstantParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsPiecewiseConstantParametrization, 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 >.

tr()

Time tr ( const Time t ) const

protected

adjusted central difference scheme

Member Data Documentation

h_

const Real h_

protected

step size for numerical differentiation