Gsr Class Reference

One factor gsr model, formulation is in forward measure. More...

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

Inheritance diagram for Gsr:

Public Member Functions
	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, Real reversion, Real T=60.0)
	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, Real T=60.0)
	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, const Handle< Quote > &reversion, Real T=60.0)
	Gsr (const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, std::vector< Handle< Quote > > reversions, Real T=60.0)
Real	numeraireTime () const
void	numeraireTime (Real T)
const Array &	reversion () const
const Array &	volatility () const
std::vector< bool >	FixedReversions ()
std::vector< bool >	FixedVolatilities ()
std::vector< bool >	MoveVolatility (Size i)
std::vector< bool >	MoveReversion (Size i)
void	calibrateVolatilitiesIterative (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
void	calibrateReversionsIterative (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
Public Member Functions inherited from Gaussian1dModel
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 ()
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions)
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Array	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const

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

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Static Public Member Functions inherited from Gaussian1dModel
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 Attributes inherited from Gaussian1dModel
ext::shared_ptr< StochasticProcess1D >	stateProcess_
Date	evaluationDate_
bool	enforcesTodaysHistoricFixings_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

One factor gsr model, formulation is in forward measure.

Member Function Documentation

numeraireImpl()

Real numeraireImpl ( Time t, Real y, const Handle< YieldTermStructure > & yts ) const

overrideprotectedvirtual

Implements Gaussian1dModel.

zerobondImpl()

Real zerobondImpl ( Time T, Time t, Real y, const Handle< YieldTermStructure > & yts ) const

overrideprotectedvirtual

Implements Gaussian1dModel.

generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

update()

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

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

Reimplemented from Gaussian1dModel.