Gaussian1dModel

NAME

Gaussian1dModel

SYNOPSIS

#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>

Inherits TermStructureConsistentModel, and LazyObject.

Inherited by Gsr, and MarkovFunctional.

Public Member Functions

const boost::shared_ptr< StochasticProcess1D > stateProcess () const
Real numeraire (const Time t, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real zerobond (const Time T, const Time t=0.0, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real numeraire (const Date &referenceDate, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const
Real zerobond (const Date &maturity, const Date &referenceDate=Null< Date >(), const 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, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), const Real yStdDevs=7.0, const Size yGridPoints=64, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) const
Real forwardRate (const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const
Real swapRate (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const
Real swapAnnuity (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const
const Disposable< Array > yGrid (const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const

Static Public Member Functions

static Real gaussianPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1)
static Real gaussianShiftedPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1)

Protected Member Functions

Gaussian1dModel (const Handle< YieldTermStructure > &yieldTermStructure)
virtual Real numeraireImpl (const Time t, const Real y, const Handle< YieldTermStructure > &yts) const =0
virtual Real zerobondImpl (const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const =0
void performCalculations () const
void generateArguments ()
boost::shared_ptr< VanillaSwap > underlyingSwap (const boost::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const

Protected Attributes

boost::shared_ptr< StochasticProcess1D > stateProcess_
Date evaluationDate_
bool enforcesTodaysHistoricFixings_

Additional Inherited Members

Detailed Description

One factor interest rate model interface class The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array of state variable values. The variable $y$ is understood to be the standardized (zero mean, unit variance) version of the model’s original state variable $x$.

NTL support may be enabled by defining GAUSS1D_ENABLE_NTL in this file. For details on NTL see http://www.shoup.net/ntl/

Warning

the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$

Member Function Documentation

static Real gaussianPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) [static]
Computes the integral {2i}^{-0.5} int_{a}^{b} p(x) \xp{-0.5*x*x} thrm{d}x ] with p(x) = ax^4+bx^3+cx^2+dx+e ].

static Real gaussianShiftedPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) [static]
Computes the integral {2i}^{-0.5} int_{a}^{b} p(x) \xp{-0.5*x*x} thrm{d}x ] with p(x) = a(x-h)^4+b(x-h)^3+c(x-h)^2+d(x-h)+e ].

const Disposable<Array> yGrid (const Real yStdDevs, const int gridPoints, const Real T = 1.0, const Real t = 0, const Real y = 0) const
Generates a grid of values for the standardized state variable $y$ at time $T$ conditional on $y(t)=y$, covering yStdDevs standard deviations consisting of 2*gridPoints+1 points

void performCalculations () const [protected], [virtual]
This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Reimplemented in MarkovFunctional, and Gsr.

Author

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