ExtendedCoxIngersollRoss Class Reference

Extended Cox-Ingersoll-Ross model class. More...

#include <extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss:

Collaboration diagram for ExtendedCoxIngersollRoss:

Classes
class	Dynamics
	Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
class	FittingParameter
	Analytical term-structure fitting parameter \( \varphi(t) \). More...

Public Member Functions
	ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true)
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...
Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
Public Member Functions inherited from CoxIngersollRoss
	CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)
Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from OneFactorAffineModel
	OneFactorAffineModel (Size nArguments)
Real	discountBond (Time now, Time maturity, Array factors) const override
Real	discountBond (Time now, Time maturity, Rate rate) const
DiscountFactor	discount (Time t) const override
	Implied discount curve. More...
Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)
	~OneFactorModel () override=default
virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)
virtual ext::shared_ptr< Lattice >	tree (const TimeGrid &) const =0
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
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 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 AffineModel
virtual DiscountFactor	discount (Time t) const =0
	Implied discount curve. More...
virtual Real	discountBond (Time now, Time maturity, Array factors) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)
const Handle< YieldTermStructure > &	termStructure () const

Protected Member Functions
void	generateArguments () override
Real	A (Time t, Time T) const override
Protected Member Functions inherited from CoxIngersollRoss
Real	A (Time t, Time T) const override
Real	B (Time t, Time T) const override
Real	theta () const
Real	k () const
Real	sigma () const
Real	x0 () const
virtual Real	A (Time t, Time T) const =0
virtual Real	B (Time t, Time T) const =0
virtual void	generateArguments ()

Private Attributes
Parameter	phi_

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

Extended Cox-Ingersoll-Ross model class.

This class implements the extended Cox-Ingersoll-Ross model defined by

\[ r(t) = \varphi(t)+y(t) \]

where \( \varphi(t) \) is the deterministic time-dependent parameter used for term-structure fitting and \( y_t \) is a standard CIR process.

Bug:

this class was not tested enough to guarantee its functionality.

Definition at line 47 of file extendedcoxingersollross.hpp.

Constructor & Destructor Documentation

ExtendedCoxIngersollRoss()

ExtendedCoxIngersollRoss	(	const Handle< YieldTermStructure > &	termStructure,
		Real	theta = 0.1,
		Real	k = 0.1,
		Real	sigma = 0.1,
		Real	x0 = 0.05,
		bool	withFellerConstraint = true
	)

Definition at line 27 of file extendedcoxingersollross.cpp.

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Member Function Documentation

tree()

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

overridevirtual

Return by default a trinomial recombining tree.

Reimplemented from CoxIngersollRoss.

Definition at line 36 of file extendedcoxingersollross.cpp.

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dynamics()

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

overridevirtual

returns the short-rate dynamics

Reimplemented from CoxIngersollRoss.

Definition at line 149 of file extendedcoxingersollross.hpp.

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discountBondOption()

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

overridevirtual

Reimplemented from CoxIngersollRoss.

Definition at line 62 of file extendedcoxingersollross.cpp.

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generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 154 of file extendedcoxingersollross.hpp.

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A()

Real A ( Time  t, Time  T  ) const

overrideprotectedvirtual

Reimplemented from CoxIngersollRoss.

Definition at line 53 of file extendedcoxingersollross.cpp.

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Member Data Documentation

phi_

Parameter phi_

private

Definition at line 75 of file extendedcoxingersollross.hpp.