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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 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
<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.
*/
#include <ql/math/solvers1d/brent.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/stochasticprocess.hpp>
#include <utility>
namespace QuantLib {
//Private function used by solver to determine time-dependent parameter
class OneFactorModel::ShortRateTree::Helper {
public:
Helper(Size i,
Real discountBondPrice,
ext::shared_ptr<TermStructureFittingParameter::NumericalImpl> theta,
ShortRateTree& tree)
: size_(tree.size(i)), i_(i), statePrices_(tree.statePrices(i)),
discountBondPrice_(discountBondPrice), theta_(std::move(theta)), tree_(tree) {
theta_->set(tree.timeGrid()[i], 0.0);
}
Real operator()(Real theta) const {
Real value = discountBondPrice_;
theta_->change(theta);
for (Size j=0; j<size_; j++)
value -= statePrices_[j]*tree_.discount(i_,j);
return value;
}
private:
Size size_;
Size i_;
const Array& statePrices_;
Real discountBondPrice_;
ext::shared_ptr<TermStructureFittingParameter::NumericalImpl> theta_;
ShortRateTree& tree_;
};
OneFactorModel::ShortRateTree::ShortRateTree(
const ext::shared_ptr<TrinomialTree>& tree,
ext::shared_ptr<ShortRateDynamics> dynamics,
const ext::shared_ptr<TermStructureFittingParameter::NumericalImpl>& theta,
const TimeGrid& timeGrid)
: TreeLattice1D<OneFactorModel::ShortRateTree>(timeGrid, tree->size(1)), tree_(tree),
dynamics_(std::move(dynamics)), spread_(0.0) {
theta->reset();
Real value = 1.0;
Real vMin = -100.0;
Real vMax = 100.0;
for (Size i=0; i<(timeGrid.size() - 1); i++) {
Real discountBond = theta->termStructure()->discount(t_[i+1]);
Helper finder(i, discountBond, theta, *this);
Brent s1d;
s1d.setMaxEvaluations(1000);
value = s1d.solve(finder, 1e-7, value, vMin, vMax);
// vMin = value - 1.0;
// vMax = value + 1.0;
theta->change(value);
}
}
OneFactorModel::ShortRateTree::ShortRateTree(const ext::shared_ptr<TrinomialTree>& tree,
ext::shared_ptr<ShortRateDynamics> dynamics,
const TimeGrid& timeGrid)
: TreeLattice1D<OneFactorModel::ShortRateTree>(timeGrid, tree->size(1)), tree_(tree),
dynamics_(std::move(dynamics)), spread_(0.0) {}
OneFactorModel::OneFactorModel(Size nArguments)
: ShortRateModel(nArguments) {}
ext::shared_ptr<Lattice>
OneFactorModel::tree(const TimeGrid& grid) const {
ext::shared_ptr<TrinomialTree> trinomial(
new TrinomialTree(dynamics()->process(), grid));
return ext::shared_ptr<Lattice>(
new ShortRateTree(trinomial, dynamics(), grid));
}
DiscountFactor OneFactorAffineModel::discount(Time t) const {
Real x0 = dynamics()->process()->x0();
Rate r0 = dynamics()->shortRate(0.0, x0);
return discountBond(0.0, t, r0);
}
}
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