Gaussian1dModel Class Reference

#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>

Inheritance diagram for Gaussian1dModel:

Public Member Functions
ext::shared_ptr< StochasticProcess1D >	stateProcess () const
Real	numeraire (Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real	zerobond (Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real	numeraire (const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real	zerobond (const Date &maturity, const Date &referenceDate=Date(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real	zerobondOption (const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Date(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const
Real	forwardRate (const Date &fixing, const Date &referenceDate=Date(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const
Real	swapRate (const Date &fixing, const Period &tenor, const Date &referenceDate=Date(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const
Real	swapAnnuity (const Date &fixing, const Period &tenor, const Date &referenceDate=Date(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const
Array	yGrid (Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const
Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)
const Handle< YieldTermStructure > &	termStructure () const
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Static Public Member Functions
static Real	gaussianPolynomialIntegral (Real a, Real b, Real c, Real d, Real e, Real x0, Real x1)
static Real	gaussianShiftedPolynomialIntegral (Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1)

Protected Member Functions
	Gaussian1dModel (const Handle< YieldTermStructure > &yieldTermStructure)
virtual Real	numeraireImpl (Time t, Real y, const Handle< YieldTermStructure > &yts) const =0
virtual Real	zerobondImpl (Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const =0
void	performCalculations () const override
void	generateArguments ()
ext::shared_ptr< VanillaSwap >	underlyingSwap (const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const
virtual void	calculate () const

Protected Attributes
ext::shared_ptr< StochasticProcess1D >	stateProcess_
Date	evaluationDate_
bool	enforcesTodaysHistoricFixings_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

One factor interest rate model interface class The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array of state variable values. The variable $y$ is understood to be the standardized (zero mean, unit variance) version of the model's original state variable $x$.

NTL support may be enabled by defining GAUSS1D_ENABLE_NTL in this file. For details on NTL see http://www.shoup.net/ntl/

Warning

the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$

Member Function Documentation

gaussianPolynomialIntegral()

Real gaussianPolynomialIntegral ( Real a, Real b, Real c, Real d, Real e, Real x0, Real x1 )

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = ax^4+bx^3+cx^2+dx+e \]

.

gaussianShiftedPolynomialIntegral()

Real gaussianShiftedPolynomialIntegral ( Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1 )

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = a(x-h)^4+b(x-h)^3+c(x-h)^2+d(x-h)+e \]

.

yGrid()

Array yGrid	(	Real	yStdDevs,
		int	gridPoints,
		Real	T = 1.0,
		Real	t = 0,
		Real	y = 0 ) const

Generates a grid of values for the standardized state variable $y$ at time $T$ conditional on $y(t)=y$, covering yStdDevs standard deviations consisting of 2*gridPoints+1 points

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Reimplemented in Gsr, and MarkovFunctional.