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

Inheritance diagram for Gaussian1dModel:

Public Member Functions
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=Null< 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=Null< 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=Null< 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=Null< 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=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const

Disposable< Array >	yGrid (Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const

Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure)

const Handle< YieldTermStructure > &	termStructure () const

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from LazyObject
void	update ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const 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	deepUpdate ()

Static Public Member Functions
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 Member Functions
	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

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

Protected Attributes
ext::shared_ptr< StochasticProcess1D >	stateProcess_

Date	evaluationDate_

bool	enforcesTodaysHistoricFixings_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

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

◆ gaussianPolynomialIntegral()

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

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = ax^4+bx^3+cx^2+dx+e \]

.

◆ gaussianShiftedPolynomialIntegral()

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

static

Computes the integral

\[ {2\pi}^{-0.5} \int_{a}^{b} p(x) \exp{-0.5*x*x} \mathrm{d}x \]

with

\[ p(x) = a(x-h)^4+b(x-h)^3+c(x-h)^2+d(x-h)+e \]

.

◆ yGrid()

Disposable<Array> yGrid	(	Real	yStdDevs,
		int	gridPoints,
		Real	T = `1.0`,
		Real	t = `0`,
		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

◆ performCalculations()

void performCalculations ( ) const

protectedvirtual

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.

Public Member Functions

Static Public Member Functions

Protected Member Functions