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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 onefactormodel.hpp
\brief Abstract one-factor interest rate model class
\fullpath
ql/InterestRateModelling/%onefactormodel.hpp
*/
// $Id: onefactormodel.hpp,v 1.15 2002/03/06 07:16:06 sadrejeb Exp $
#ifndef quantlib_interest_rate_modelling_one_factor_model_h
#define quantlib_interest_rate_modelling_one_factor_model_h
#include <ql/InterestRateModelling/model.hpp>
#include <ql/InterestRateModelling/shortrateprocess.hpp>
#include <ql/Lattices/trinomialtree.hpp>
namespace QuantLib {
namespace InterestRateModelling {
//! Single-factor short-rate model abstract class
class OneFactorModel : public Model {
public:
OneFactorModel(
Size nParameters,
const RelinkableHandle<TermStructure>& termStructure);
virtual ~OneFactorModel() {}
//! returns the driving stochastic equation
virtual Handle<ShortRateProcess> process() const = 0;
//! Return a recombining tree
virtual Handle<Lattices::Tree> tree(const TimeGrid& grid) const {
return Handle<Lattices::Tree>(
new OwnTrinomialTree(process(), grid));
}
protected:
class OwnTrinomialTree : public Lattices::TrinomialTree {
public:
OwnTrinomialTree(const Handle<ShortRateProcess>& process,
const TimeGrid& timeGrid,
bool isPositive = false)
: Lattices::TrinomialTree(process, timeGrid, isPositive),
process_(process) {}
OwnTrinomialTree(
const Handle<ShortRateProcess>& process,
const Handle<TermStructureFittingParameter::NumericalImpl>&
theta,
const TimeGrid& timeGrid,
bool isPositive = false);
virtual DiscountFactor discount(Size i, int j) const {
double x = process_->x0() + j*dx(i);
Rate r = process_->shortRate(t(i), x);
return QL_EXP(-r*dt(i));
}
protected:
Handle<ShortRateProcess> process_;
private:
class Helper;
};
private:
class StandardConstraint;
};
class OneFactorAffineModel : public AffineModel {
public:
virtual double discountBond(
Time now,
Time maturity,
Rate rate) const = 0;
};
//! Term structure implied by a model
class ModelTermStructure : public DiscountStructure {
public:
ModelTermStructure(
const OneFactorAffineModel* model, Time t0, Rate r0)
: model_(model), t0_(t0), r0_(r0) {}
virtual DiscountFactor discountImpl(Time t, bool extrapolate) {
return model_->discountBond(t0_, t0_+t, r0_);
}
private:
const OneFactorAffineModel* model_;
Time t0_;
Rate r0_;
};
}
}
#endif
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