LiborForwardModel Class Reference

Libor forward model More...

#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>

Inheritance diagram for LiborForwardModel:

Public Member Functions
	LiborForwardModel (const ext::shared_ptr< LiborForwardModelProcess > &process, const ext::shared_ptr< LmVolatilityModel > &volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel)
Rate	S_0 (Size alpha, Size beta) const
virtual ext::shared_ptr< SwaptionVolatilityMatrix >	getSwaptionVolatilityMatrix () const
DiscountFactor	discount (Time t) const override
	Implied discount curve.
Real	discountBond (Time now, Time maturity, Array factors) const override
Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
void	setParams (const Array &params) override
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
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.
Integer	functionEvaluation () const
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 Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from AffineModel
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const

Protected Member Functions
Array	w_0 (Size alpha, Size beta) const
Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()

Protected Attributes
std::vector< Real >	f_
std::vector< Time >	accrualPeriod_
const ext::shared_ptr< LfmCovarianceProxy >	covarProxy_
const ext::shared_ptr< LiborForwardModelProcess >	process_
ext::shared_ptr< SwaptionVolatilityMatrix >	swaptionVola
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

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

Detailed Description

Libor forward model

References:

Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf

Tests

the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing

Member Function Documentation

discount()

DiscountFactor discount ( Time t ) const

overridevirtual

Implied discount curve.

Implements AffineModel.

discountBond()

Real discountBond ( Time now, Time maturity, Array factors ) const

overridevirtual

Implements AffineModel.

discountBondOption()

Real discountBondOption ( Option::Type type, Real strike, Time maturity, Time bondMaturity ) const

overridevirtual

Implements AffineModel.

setParams()

void setParams ( const Array & params )

overridevirtual

Reimplemented from CalibratedModel.