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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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
<http://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.
*/
#include <ql/experimental/models/gsr.hpp>
namespace QuantLib {
Gsr::Gsr(const Handle<YieldTermStructure> &termStructure,
const std::vector<Date> &volstepdates,
const std::vector<Real> &volatilities, const Real reversion,
const Real T)
: Gaussian1dModel(termStructure), CalibratedModel(2),
reversion_(arguments_[0]), sigma_(arguments_[1]),
volatilities_(volatilities),
reversions_(std::vector<Real>(1, reversion)),
volstepdates_(volstepdates) {
QL_REQUIRE(!termStructure.empty(),
"yield term structure handle is empty");
initialize(T);
}
Gsr::Gsr(const Handle<YieldTermStructure> &termStructure,
const std::vector<Date> &volstepdates,
const std::vector<Real> &volatilities,
const std::vector<Real> &reversions, const Real T)
: Gaussian1dModel(termStructure), CalibratedModel(2),
reversion_(arguments_[0]), sigma_(arguments_[1]),
volatilities_(volatilities), reversions_(reversions),
volstepdates_(volstepdates) {
QL_REQUIRE(!termStructure.empty(),
"yield term structure handle is empty");
initialize(T);
}
void Gsr::initialize(Real T) {
volsteptimes_.clear();
volsteptimesArray_ = Array(volstepdates_.size());
int j = 0;
for (std::vector<Date>::const_iterator i = volstepdates_.begin();
i != volstepdates_.end(); i++, j++) {
volsteptimes_.push_back(termStructure()->timeFromReference(*i));
volsteptimesArray_[j] = volsteptimes_[j];
if (j == 0)
QL_REQUIRE(volsteptimes_[0] > 0.0,
"volsteptimes must be positive (" << volsteptimes_[0]
<< ")");
else
QL_REQUIRE(volsteptimes_[j] > volsteptimes_[j - 1],
"volsteptimes must be strictly increasing ("
<< volsteptimes_[j - 1] << "@" << (j - 1) << ", "
<< volsteptimes_[j] << "@" << j << ")");
}
QL_REQUIRE(volatilities_.size() == volsteptimes_.size() + 1,
"there must be n+1 volatilities ("
<< volatilities_.size()
<< ") for n volatility step times ("
<< volsteptimes_.size() << ")");
// sigma_ =
// PiecewiseConstantParameter(volsteptimes_,PositiveConstraint());
sigma_ = PiecewiseConstantParameter(volsteptimes_, NoConstraint());
for (Size i = 0; i < sigma_.size(); i++) {
sigma_.setParam(i, volatilities_[i]);
}
QL_REQUIRE(reversions_.size() == 1 ||
reversions_.size() == volsteptimes_.size() + 1,
"there must be 1 or n+1 reversions ("
<< reversions_.size()
<< ") for n volatility step times ("
<< volsteptimes_.size() << ")");
if (reversions_.size() == 1) {
reversion_ = ConstantParameter(reversions_[0], NoConstraint());
} else {
reversion_ =
PiecewiseConstantParameter(volsteptimes_, NoConstraint());
for (Size i = 0; i < reversions_.size(); i++) {
reversion_.setParam(i, reversions_[i]);
}
}
stateProcess_ = boost::shared_ptr<GsrProcess>(new GsrProcess(
volsteptimesArray_, sigma_.params(), reversion_.params(), T));
LazyObject::registerWith(stateProcess_); // forward measure time may
// change, the model must be
// notified then
LazyObject::registerWith(termStructure());
}
const Real Gsr::zerobondImpl(const Time T, const Time t, const Real y,
const Handle<YieldTermStructure> &yts) const {
if (t == 0.0)
return yts.empty() ? this->termStructure()->discount(T, true)
: yts->discount(T, true);
calculate();
boost::shared_ptr<GsrProcess> p =
boost::dynamic_pointer_cast<GsrProcess>(stateProcess_);
Real x = y * p->stdDeviation(0.0, 0.0, t) +
stateProcess_->expectation(0.0, 0.0, t);
Real gtT = p->G(t, T, x);
Real d = yts.empty() ? termStructure()->discount(T, true) /
termStructure()->discount(t, true)
: yts->discount(T, true) / yts->discount(t, true);
return d * exp(-x * gtT - 0.5 * p->y(t) * gtT * gtT);
}
const Real Gsr::numeraireImpl(const Time t, const Real y,
const Handle<YieldTermStructure> &yts) const {
boost::shared_ptr<GsrProcess> p =
boost::dynamic_pointer_cast<GsrProcess>(stateProcess_);
if (t == 0)
return yts.empty() ? this->termStructure()->discount(
p->getForwardMeasureTime(), true)
: yts->discount(p->getForwardMeasureTime());
return zerobond(p->getForwardMeasureTime(), t, y, yts);
}
}
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