AlphaFinder Class Reference

#include <alphafinder.hpp>

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Public Member Functions
	AlphaFinder (ext::shared_ptr< AlphaForm > parametricform)
bool	solve (Real alpha0, Integer stepindex, const std::vector< Volatility > &rateonevols, const std::vector< Volatility > &ratetwohomogeneousvols, const std::vector< Real > &correlations, Real w0, Real w1, Real targetVariance, Real tolerance, Real alphaMax, Real alphaMin, Integer steps, Real &alpha, Real &a, Real &b, std::vector< Volatility > &ratetwovols)
bool	solveWithMaxHomogeneity (Real alpha0, Integer stepindex, const std::vector< Volatility > &rateonevols, const std::vector< Volatility > &ratetwohomogeneousvols, const std::vector< Real > &correlations, Real w0, Real w1, Real targetVariance, Real tolerance, Real alphaMax, Real alphaMin, Integer steps, Real &alpha, Real &a, Real &b, std::vector< Volatility > &ratetwovols)

Private Member Functions
Real	computeLinearPart (Real alpha)
Real	computeQuadraticPart (Real alpha)
Real	valueAtTurningPoint (Real alpha)
Real	minusValueAtTurningPoint (Real alpha)
bool	testIfSolutionExists (Real alpha)
bool	finalPart (Real alphaFound, Integer stepindex, const std::vector< Volatility > &ratetwohomogeneousvols, Real quadraticPart, Real linearPart, Real constantPart, Real &alpha, Real &a, Real &b, std::vector< Volatility > &ratetwovols)
Real	homogeneityfailure (Real alpha)

Private Attributes
ext::shared_ptr< AlphaForm >	parametricform_
Integer	stepindex_
std::vector< Volatility >	rateonevols_
std::vector< Volatility >	ratetwohomogeneousvols_
std::vector< Volatility >	putativevols_
std::vector< Real >	correlations_
Real	w0_
Real	w1_
Real	constantPart_
Real	linearPart_
Real	quadraticPart_
Real	totalVar_
Real	targetVariance_

Detailed Description

Definition at line 29 of file alphafinder.hpp.

Constructor & Destructor Documentation

AlphaFinder()

AlphaFinder

(

ext::shared_ptr< AlphaForm >

parametricform

)

Definition at line 179 of file alphafinder.cpp.

Member Function Documentation

solve()

bool solve	(	Real	alpha0,
		Integer	stepindex,
		const std::vector< Volatility > &	rateonevols,
		const std::vector< Volatility > &	ratetwohomogeneousvols,
		const std::vector< Real > &	correlations,
		Real	w0,
		Real	w1,
		Real	targetVariance,
		Real	tolerance,
		Real	alphaMax,
		Real	alphaMin,
		Integer	steps,
		Real &	alpha,
		Real &	a,
		Real &	b,
		std::vector< Volatility > &	ratetwovols
	)

Definition at line 297 of file alphafinder.cpp.

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solveWithMaxHomogeneity()

bool solveWithMaxHomogeneity	(	Real	alpha0,
		Integer	stepindex,
		const std::vector< Volatility > &	rateonevols,
		const std::vector< Volatility > &	ratetwohomogeneousvols,
		const std::vector< Real > &	correlations,
		Real	w0,
		Real	w1,
		Real	targetVariance,
		Real	tolerance,
		Real	alphaMax,
		Real	alphaMin,
		Integer	steps,
		Real &	alpha,
		Real &	a,
		Real &	b,
		std::vector< Volatility > &	ratetwovols
	)

Definition at line 418 of file alphafinder.cpp.

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computeLinearPart()

Real computeLinearPart ( Real  alpha )

private

Definition at line 183 of file alphafinder.cpp.

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computeQuadraticPart()

Real computeQuadraticPart ( Real  alpha )

private

Definition at line 197 of file alphafinder.cpp.

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valueAtTurningPoint()

Real valueAtTurningPoint ( Real  alpha )

private

Definition at line 265 of file alphafinder.cpp.

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minusValueAtTurningPoint()

Real minusValueAtTurningPoint ( Real  alpha )

private

Definition at line 275 of file alphafinder.cpp.

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testIfSolutionExists()

bool testIfSolutionExists ( Real  alpha )

private

Definition at line 279 of file alphafinder.cpp.

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finalPart()

bool finalPart ( Real  alphaFound, Integer  stepindex, const std::vector< Volatility > &  ratetwohomogeneousvols, Real  quadraticPart, Real  linearPart, Real  constantPart, Real &  alpha, Real &  a, Real &  b, std::vector< Volatility > &  ratetwovols  )

private

Definition at line 232 of file alphafinder.cpp.

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homogeneityfailure()

Real homogeneityfailure ( Real  alpha )

private

Definition at line 210 of file alphafinder.cpp.

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Member Data Documentation

parametricform_

ext::shared_ptr<AlphaForm> parametricform_

private

Definition at line 84 of file alphafinder.hpp.

stepindex_

Integer stepindex_

private

Definition at line 85 of file alphafinder.hpp.

rateonevols_

std::vector<Volatility> rateonevols_

private

Definition at line 86 of file alphafinder.hpp.

ratetwohomogeneousvols_

std::vector<Volatility> ratetwohomogeneousvols_

private

Definition at line 86 of file alphafinder.hpp.

putativevols_

std::vector<Volatility> putativevols_

private

Definition at line 87 of file alphafinder.hpp.

correlations_

std::vector<Real> correlations_

private

Definition at line 88 of file alphafinder.hpp.

w0_

Real w0_

private

Definition at line 89 of file alphafinder.hpp.

w1_

Real w1_

private

Definition at line 89 of file alphafinder.hpp.

constantPart_

Real constantPart_

private

Definition at line 90 of file alphafinder.hpp.

linearPart_

Real linearPart_

private

Definition at line 90 of file alphafinder.hpp.

quadraticPart_

Real quadraticPart_

private

Definition at line 90 of file alphafinder.hpp.

totalVar_

Real totalVar_

private

Definition at line 91 of file alphafinder.hpp.

targetVariance_

Real targetVariance_

private

Definition at line 91 of file alphafinder.hpp.