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/*
Copyright (C) 2014 Matthias Groncki
Copyright (C) 2017, 2018 Matthias Lungwitz
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_gaussian1dmodel_i
#define quantlib_gaussian1dmodel_i
%include stochasticprocess.i
%include date.i
%include options.i
%include indexes.i
%include optimizers.i
%include calibrationhelpers.i
%include observer.i
%{
using QuantLib::Gaussian1dModel;
%}
%shared_ptr(Gaussian1dModel)
class Gaussian1dModel : public TermStructureConsistentModel {
public:
const ext::shared_ptr<StochasticProcess1D> stateProcess() const;
const Real numeraire(const Time t, const Real y = 0.0,
const Handle<YieldTermStructure> &yts =
Handle<YieldTermStructure>()) const;
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;
const Real zerobond(const Date &maturity,
const Date &referenceDate = Null<Date>(),
const Real y = 0.0,
const Handle<YieldTermStructure> &yts =
Handle<YieldTermStructure>()) const;
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;
const Real forwardRate(const Date &fixing,
const Date &referenceDate = Null<Date>(),
const Real y = 0.0,
ext::shared_ptr<IborIndex> iborIdx =
ext::shared_ptr<IborIndex>()) const;
const Real swapRate(const Date &fixing, const Period &tenor,
const Date &referenceDate = Null<Date>(),
const Real y = 0.0,
ext::shared_ptr<SwapIndex> swapIdx =
ext::shared_ptr<SwapIndex>()) const;
const Real swapAnnuity(const Date &fixing, const Period &tenor,
const Date &referenceDate = Null<Date>(),
const Real y = 0.0,
ext::shared_ptr<SwapIndex> swapIdx =
ext::shared_ptr<SwapIndex>()) const;
};
%{
using QuantLib::Gsr;
using QuantLib::MarkovFunctional;
%}
%shared_ptr(Gsr)
class Gsr : public Gaussian1dModel {
#if defined(SWIGCSHARP)
%rename("parameters") params;
#endif
public:
Gsr(const Handle<YieldTermStructure> &termStructure,
const std::vector<Date> &volstepdates,
const std::vector<Handle<Quote> > &volatilities,
const std::vector<Handle<Quote> > &reversions, const Real T = 60.0);
void calibrateVolatilitiesIterative(
const std::vector<ext::shared_ptr<BlackCalibrationHelper> > &helpers,
OptimizationMethod &method, const EndCriteria &endCriteria,
const Constraint &constraint = Constraint(),
const std::vector<Real> &weights = std::vector<Real>());
const Array &reversion() const;
const Array &volatility() const;
// Calibrated Model functions
Array params() const;
void calibrate(
const std::vector<ext::shared_ptr<CalibrationHelper> >& instruments,
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>());
void setParams(const Array& params);
Real value(const Array& params,
const std::vector<ext::shared_ptr<CalibrationHelper> >& instruments);
const ext::shared_ptr<Constraint>& constraint() const;
EndCriteria::Type endCriteria() const;
const Array& problemValues() const;
Integer functionEvaluation() const;
};
%rename (MarkovFunctionalSettings) MarkovFunctional::ModelSettings;
%feature ("flatnested") ModelSettings;
%shared_ptr(MarkovFunctional)
class MarkovFunctional : public Gaussian1dModel {
#if defined(SWIGCSHARP)
%rename("parameters") params;
#endif
public:
struct ModelSettings {
enum Adjustments {
AdjustNone = 0,
AdjustDigitals = 1 << 0,
AdjustYts = 1 << 1,
ExtrapolatePayoffFlat = 1 << 2,
NoPayoffExtrapolation = 1 << 3,
KahaleSmile = 1 << 4,
SmileExponentialExtrapolation = 1 << 5,
KahaleInterpolation = 1 << 6,
SmileDeleteArbitragePoints = 1 << 7,
SabrSmile = 1 << 8
};
ModelSettings();
ModelSettings(Size yGridPoints, Real yStdDevs, Size gaussHermitePoints,
Real digitalGap, Real marketRateAccuracy,
Real lowerRateBound, Real upperRateBound,
int adjustments,
const std::vector<Real>& smileMoneyCheckpoints = std::vector<Real>());
void validate();
};
// Constructor for a swaption smile calibrated model
MarkovFunctional(const Handle<YieldTermStructure> &termStructure,
const Real reversion,
const std::vector<Date> &volstepdates,
const std::vector<Real> &volatilities,
const Handle<SwaptionVolatilityStructure> &swaptionVol,
const std::vector<Date> &swaptionExpiries,
const std::vector<Period> &swaptionTenors,
const ext::shared_ptr<SwapIndex> &swapIndexBase,
const MarkovFunctional::ModelSettings &modelSettings =
ModelSettings());
// Constructor for a caplet smile calibrated model
MarkovFunctional(const Handle<YieldTermStructure> &termStructure,
const Real reversion,
const std::vector<Date> &volstepdates,
const std::vector<Real> &volatilities,
const Handle<OptionletVolatilityStructure> &capletVol,
const std::vector<Date> &capletExpiries,
const ext::shared_ptr<IborIndex> &iborIndex,
const MarkovFunctional::ModelSettings &modelSettings =
ModelSettings());
const Array &volatility();
void calibrate(
const std::vector<ext::shared_ptr<CalibrationHelper> > &helper,
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>());
// Calibrated Model functions
Array params() const;
void setParams(const Array& params);
Real value(const Array& params,
const std::vector<ext::shared_ptr<CalibrationHelper> >& instruments);
const ext::shared_ptr<Constraint>& constraint() const;
EndCriteria::Type endCriteria() const;
const Array& problemValues() const;
Integer functionEvaluation() const;
};
// Pricing Engines
%{
using QuantLib::Gaussian1dCapFloorEngine;
using QuantLib::Gaussian1dSwaptionEngine;
using QuantLib::Gaussian1dJamshidianSwaptionEngine;
using QuantLib::Gaussian1dNonstandardSwaptionEngine;
using QuantLib::Gaussian1dFloatFloatSwaptionEngine;
%}
%shared_ptr(Gaussian1dCapFloorEngine)
class Gaussian1dCapFloorEngine : public PricingEngine {
public:
Gaussian1dCapFloorEngine(const ext::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>());
};
%shared_ptr(Gaussian1dSwaptionEngine)
class Gaussian1dSwaptionEngine : public PricingEngine {
#if defined(SWIGPYTHON)
%rename(NoProb) None;
#endif
public:
enum Probabilities { None, Naive, Digital };
Gaussian1dSwaptionEngine(const ext::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>(),
const Gaussian1dSwaptionEngine::Probabilities probabilities =
Gaussian1dSwaptionEngine::None);
};
%shared_ptr(Gaussian1dJamshidianSwaptionEngine)
class Gaussian1dJamshidianSwaptionEngine : public PricingEngine {
public:
Gaussian1dJamshidianSwaptionEngine(const ext::shared_ptr<Gaussian1dModel>& model);
};
%shared_ptr(Gaussian1dNonstandardSwaptionEngine)
class Gaussian1dNonstandardSwaptionEngine : public PricingEngine {
#if defined(SWIGPYTHON)
%rename(NoProb) None;
#endif
public:
enum Probabilities { None, Naive, Digital };
Gaussian1dNonstandardSwaptionEngine(
const ext::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<Quote> &oas = Handle<Quote>(), // continuously
// compounded w.r.t. yts
// daycounter
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>(),
const Gaussian1dNonstandardSwaptionEngine::Probabilities probabilities =
Gaussian1dNonstandardSwaptionEngine::None);
};
%shared_ptr(Gaussian1dFloatFloatSwaptionEngine)
class Gaussian1dFloatFloatSwaptionEngine : public PricingEngine {
#if defined(SWIGPYTHON)
%rename(NoProb) None;
#endif
public:
enum Probabilities { None,
Naive,
Digital };
Gaussian1dFloatFloatSwaptionEngine(
const ext::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<Quote> &oas = Handle<Quote>(),
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>(),
const bool includeTodaysExercise = false,
const Gaussian1dFloatFloatSwaptionEngine::Probabilities probabilities =
Gaussian1dFloatFloatSwaptionEngine::None);
};
#endif
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