Gsr Class Reference

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

#include <gsr.hpp>

Inheritance diagram for Gsr:

Collaboration diagram for Gsr:

Classes
struct	ReversionObserver
struct	VolatilityObserver

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 ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
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) More...
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. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
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)
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
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
virtual void	generateArguments ()

Private Member Functions
void	updateTimes () const
void	updateVolatility ()
void	updateReversion ()
void	initialize (Real)

Private Attributes
Parameter &	reversion_
Parameter &	sigma_
std::vector< Handle< Quote > >	volatilities_
std::vector< Handle< Quote > >	reversions_
std::vector< Date >	volstepdates_
std::vector< Time >	volsteptimes_
Array	volsteptimesArray_
ext::shared_ptr< VolatilityObserver >	volatilityObserver_
ext::shared_ptr< ReversionObserver >	reversionObserver_

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_
Protected Attributes inherited from LazyObject
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.

Definition at line 34 of file gsr.hpp.

Constructor & Destructor Documentation

Gsr() [1/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		const std::vector< Real > &	volatilities,
		Real	reversion,
		Real	T = 60.0
	)

Definition at line 26 of file gsr.cpp.

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Gsr() [2/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		const std::vector< Real > &	volatilities,
		const std::vector< Real > &	reversions,
		Real	T = 60.0
	)

Definition at line 45 of file gsr.cpp.

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Gsr() [3/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		std::vector< Handle< Quote > >	volatilities,
		const Handle< Quote > &	reversion,
		Real	T = 60.0
	)

Definition at line 65 of file gsr.cpp.

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Gsr() [4/4]

Gsr	(	const Handle< YieldTermStructure > &	termStructure,
		std::vector< Date >	volstepdates,
		std::vector< Handle< Quote > >	volatilities,
		std::vector< Handle< Quote > >	reversions,
		Real	T = 60.0
	)

Definition at line 79 of file gsr.cpp.

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Member Function Documentation

numeraireTime() [1/2]

Real numeraireTime

(

)

const

Definition at line 189 of file gsr.hpp.

numeraireTime() [2/2]

void numeraireTime

(

Real

T

)

Definition at line 194 of file gsr.hpp.

reversion()

const Array & reversion

(

)

const

Definition at line 65 of file gsr.hpp.

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volatility()

const Array & volatility

(

)

const

Definition at line 66 of file gsr.hpp.

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FixedReversions()

std::vector< bool > FixedReversions

(

)

Definition at line 71 of file gsr.hpp.

FixedVolatilities()

std::vector< bool > FixedVolatilities

(

)

Definition at line 79 of file gsr.hpp.

MoveVolatility()

std::vector< bool > MoveVolatility

(

Size

i

)

Definition at line 86 of file gsr.hpp.

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MoveReversion()

std::vector< bool > MoveReversion

(

Size

i

)

Definition at line 95 of file gsr.hpp.

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calibrateVolatilitiesIterative()

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>()
	)

Definition at line 110 of file gsr.hpp.

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calibrateReversionsIterative()

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>()
	)

Definition at line 126 of file gsr.hpp.

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numeraireImpl()

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

overrideprotectedvirtual

Implements Gaussian1dModel.

Definition at line 204 of file gsr.cpp.

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zerobondImpl()

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

overrideprotectedvirtual

Implements Gaussian1dModel.

Definition at line 180 of file gsr.cpp.

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generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 144 of file gsr.hpp.

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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.

Reimplemented from CalibratedModel.

Definition at line 92 of file gsr.cpp.

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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.

Definition at line 151 of file gsr.hpp.

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updateTimes()

void updateTimes ( ) const

private

Definition at line 98 of file gsr.cpp.

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updateVolatility()

void updateVolatility ( )

private

Definition at line 117 of file gsr.cpp.

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updateReversion()

void updateReversion ( )

private

Definition at line 124 of file gsr.cpp.

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initialize()

void initialize ( Real  T )

private

Definition at line 131 of file gsr.cpp.

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Member Data Documentation

reversion_

Parameter& reversion_

private

Definition at line 163 of file gsr.hpp.

sigma_

Parameter & sigma_

private

Definition at line 163 of file gsr.hpp.

volatilities_

std::vector<Handle<Quote> > volatilities_

private

Definition at line 165 of file gsr.hpp.

reversions_

std::vector<Handle<Quote> > reversions_

private

Definition at line 166 of file gsr.hpp.

volstepdates_

std::vector<Date> volstepdates_

private

Definition at line 167 of file gsr.hpp.

volsteptimes_

std::vector<Time> volsteptimes_

mutableprivate

Definition at line 170 of file gsr.hpp.

volsteptimesArray_

Array volsteptimesArray_

mutableprivate

Definition at line 171 of file gsr.hpp.

volatilityObserver_

ext::shared_ptr<VolatilityObserver> volatilityObserver_

private

Definition at line 185 of file gsr.hpp.

reversionObserver_

ext::shared_ptr<ReversionObserver> reversionObserver_

private

Definition at line 186 of file gsr.hpp.