TwoFactorModel Class Reference

Abstract base-class for two-factor models. More...

#include <ql/models/shortrate/twofactormodel.hpp>

Inheritance diagram for TwoFactorModel:

Classes
class	ShortRateDynamics
	Class describing the dynamics of the two state variables. More...
class	ShortRateTree
	Recombining two-dimensional tree discretizing the state variable. More...

Public Member Functions
	TwoFactorModel (Size nParams)
virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	Returns the short-rate dynamics.
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Returns a two-dimensional trinomial tree.
Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)
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.
virtual void	setParams (const Array &params)
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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()
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

Abstract base-class for two-factor models.

Member Function Documentation

dynamics()

virtual ext::shared_ptr< ShortRateDynamics > dynamics ( ) const

pure virtual

Returns the short-rate dynamics.

Implemented in G2.

tree()

ext::shared_ptr< Lattice > tree ( const TimeGrid & grid ) const

overridevirtual

Returns a two-dimensional trinomial tree.

Implements ShortRateModel.