LfmHullWhiteParameterization Class Reference

Libor market model parameterization based on Hull White paper More...

#include <lfmhullwhiteparam.hpp>

Inheritance diagram for LfmHullWhiteParameterization:

Collaboration diagram for LfmHullWhiteParameterization:

Public Member Functions
	LfmHullWhiteParameterization (const ext::shared_ptr< LiborForwardModelProcess > &process, const ext::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
Matrix	diffusion (Time t, const Array &x={}) const override
Matrix	covariance (Time t, const Array &x={}) const override
Matrix	integratedCovariance (Time t, const Array &x={}) const override
Public Member Functions inherited from LfmCovarianceParameterization
	LfmCovarianceParameterization (Size size, Size factors)
virtual	~LfmCovarianceParameterization ()=default
Size	size () const
Size	factors () const
virtual Matrix	diffusion (Time t, const Array &x={}) const =0
virtual Matrix	covariance (Time t, const Array &x={}) const
virtual Matrix	integratedCovariance (Time t, const Array &x={}) const

Protected Member Functions
Size	nextIndexReset (Time t) const

Protected Attributes
Matrix	diffusion_
Matrix	covariance_
std::vector< Time >	fixingTimes_
Protected Attributes inherited from LfmCovarianceParameterization
const Size	size_
const Size	factors_

Detailed Description

Libor market model parameterization based on Hull White paper

Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf)

Tests:

the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.

Definition at line 41 of file lfmhullwhiteparam.hpp.

Constructor & Destructor Documentation

LfmHullWhiteParameterization()

LfmHullWhiteParameterization	(	const ext::shared_ptr< LiborForwardModelProcess > &	process,
		const ext::shared_ptr< OptionletVolatilityStructure > &	capletVol,
		const Matrix &	correlation = Matrix(),
		Size	factors = 1
	)

Definition at line 25 of file lfmhullwhiteparam.cpp.

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Member Function Documentation

diffusion()

Matrix diffusion ( Time  t, const Array &  x = {}  ) const

overridevirtual

Implements LfmCovarianceParameterization.

Definition at line 96 of file lfmhullwhiteparam.cpp.

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covariance()

Matrix covariance ( Time  t, const Array &  x = {}  ) const

overridevirtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 108 of file lfmhullwhiteparam.cpp.

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integratedCovariance()

Matrix integratedCovariance ( Time  t, const Array &  x = {}  ) const

overridevirtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 121 of file lfmhullwhiteparam.cpp.

nextIndexReset()

Size nextIndexReset ( Time  t ) const

protected

Definition at line 90 of file lfmhullwhiteparam.cpp.

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Member Data Documentation

diffusion_

Matrix diffusion_

protected

Definition at line 55 of file lfmhullwhiteparam.hpp.

covariance_

Matrix covariance_

protected

Definition at line 55 of file lfmhullwhiteparam.hpp.

fixingTimes_

std::vector<Time> fixingTimes_

protected

Definition at line 56 of file lfmhullwhiteparam.hpp.