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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file model.hpp
\brief Abstract interest rate model class
\fullpath
ql/InterestRateModelling/%model.hpp
*/
// $Id: model.hpp,v 1.21 2002/03/06 07:16:06 sadrejeb Exp $
#ifndef quantlib_interest_rate_modelling_model_h
#define quantlib_interest_rate_modelling_model_h
#include <ql/array.hpp>
#include <ql/option.hpp>
#include <ql/termstructure.hpp>
#include <ql/InterestRateModelling/parameter.hpp>
#include <ql/Optimization/optimizer.hpp>
namespace QuantLib {
namespace InterestRateModelling {
class CalibrationSet;
//! Abstract short-rate model class
class Model : public Patterns::Observer,
public Patterns::Observable {
public:
Model(Size nParameters,
const RelinkableHandle<TermStructure>& termStructure)
: parameters_(nParameters), termStructure_(termStructure) {
registerWith(termStructure_);
}
virtual ~Model() {}
void update() {
generateParameters();
notifyObservers();
}
void calibrate(
CalibrationSet& instruments,
const Handle<Optimization::OptimizationMethod>& method);
//! Returns the present term structure implied by the model
const RelinkableHandle<TermStructure>& termStructure() const {
return termStructure_;
}
protected:
virtual void generateParameters() {}
Handle<Optimization::Constraint> constraint_;
std::vector<Parameter> parameters_;
private:
Array params() {
Size size = 0, i;
for (i=0; i<parameters_.size(); i++)
size += parameters_[i].size();
Array params(size);
Size k = 0;
for (i=0; i<parameters_.size(); i++) {
for (Size j=0; j<parameters_[i].size(); j++, k++) {
params[k] = parameters_[i].params()[j];
}
}
return params;
}
void setParams(const Array& params) {
Array::const_iterator p = params.begin();
for (Size i=0; i<parameters_.size(); i++) {
for (Size j=0; j<parameters_[i].size(); j++, p++) {
QL_REQUIRE(p!=params.end(),"Parameter array too small");
parameters_[i].setParam(j, *p);
}
}
QL_REQUIRE(p==params.end(),"Parameter array too big!");
update();
}
class CalibrationFunction;
friend class CalibrationFunction;
const RelinkableHandle<TermStructure>& termStructure_;
};
class AffineModel {
public:
virtual double discountBondOption(
Option::Type type,
double strike,
Time maturity,
Time bondMaturity) const = 0;
};
}
}
#endif
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