1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
|
/*
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 parameter.hpp
\brief Model parameter classes
\fullpath
ql/InterestRateModelling/%parameter.hpp
*/
// $Id: parameter.hpp,v 1.3 2002/02/22 12:55:18 sadrejeb Exp $
#ifndef quantlib_interest_rate_modelling_parameter_h
#define quantlib_interest_rate_modelling_parameter_h
#include <ql/qldefines.hpp>
#include <ql/array.hpp>
#include <ql/termstructure.hpp>
namespace QuantLib {
namespace InterestRateModelling {
class Parameter {
public:
class ParameterImpl {
public:
virtual double value(const Array& params, Time t) const = 0;
};
Parameter() {}
Parameter(Size size, const Handle<ParameterImpl>& impl)
: params_(size), impl_(impl) {}
virtual ~Parameter() {}
const Array& params() const { return params_; }
void setParam(Size i, double x) { params_[i] = x; }
virtual Size size() const { return params_.size(); }
double operator()(Time t) const { return impl_->value(params_, t); }
const Handle<ParameterImpl>& implementation() const {return impl_;}
protected:
Array params_;
Handle<ParameterImpl> impl_;
};
class ConstantParameter : public Parameter {
public:
class ConstantParameterImpl : public Parameter::ParameterImpl {
public:
double value(const Array& params, Time t) const {
return params[0];
}
};
ConstantParameter()
: Parameter(1, Handle<ParameterImpl>(new ConstantParameterImpl))
{}
ConstantParameter(double value)
: Parameter(1, Handle<ParameterImpl>(new ConstantParameterImpl)) {
params_[0] = value;
}
};
class NullParameter : public Parameter {
public:
class NullParameterImpl : public Parameter::ParameterImpl {
public:
double value(const Array& params, Time t) const {
return 0.0;
}
};
NullParameter()
: Parameter(0, Handle<ParameterImpl>(new NullParameterImpl()))
{}
};
class PiecewiseConstantParameter : public Parameter {
public:
class PiecewiseConstantParameterImpl : public Parameter::ParameterImpl {
public:
PiecewiseConstantParameterImpl(const std::vector<Time>& times)
: times_(times) {}
virtual ~PiecewiseConstantParameterImpl() {}
double value(const Array& params, Time t) const {
Size size = times_.size();
for (Size i=0; i<size; i++) {
if (t<times_[i])
return params[i];
}
return params[size];
}
private:
std::vector<Time> times_;
};
PiecewiseConstantParameter(const std::vector<Time>& times)
: Parameter(times.size()+1,
Handle<ParameterImpl>(new PiecewiseConstantParameterImpl(times)))
{}
};
class TermStructureFittingParameter : public Parameter {
public:
class NumericalImpl : public Parameter::ParameterImpl {
public:
NumericalImpl(
const RelinkableHandle<TermStructure>& termStructure)
: times_(0), values_(0), termStructure_(termStructure) {}
virtual ~NumericalImpl() {}
void set(Time t, double x) {
times_.push_back(t);
values_.push_back(x);
}
void change(double x) {
values_.back() = x;
}
void reset() {
times_.clear();
values_.clear();
}
double value(const Array& params, Time t) const {
std::vector<Time>::const_iterator result =
std::find(times_.begin(), times_.end(), t);
QL_REQUIRE(result!=times_.end(),"Fitting parameter unset!");
return values_[result - times_.begin()];
}
const RelinkableHandle<TermStructure>& termStructure() const {
return termStructure_;
}
private:
std::vector<Time> times_;
std::vector<double> values_;
RelinkableHandle<TermStructure> termStructure_;
};
TermStructureFittingParameter(const Handle<ParameterImpl>& impl)
: Parameter(0, impl) {}
TermStructureFittingParameter(
const RelinkableHandle<TermStructure>& term)
: Parameter(0, Handle<ParameterImpl>(new NumericalImpl(term)))
{}
};
}
}
#endif
|
