QuantLib_Gsr man page

Gsr — One factor gsr model, formulation is in forward measure.

Synopsis

#include <ql/models/shortrate/onefactormodels/gsr.hpp>

Inherits Gaussian1dModel, and CalibratedModel.

Public Member Functions

Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Real reversion, const Real T=60.0)

Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, const Real T=60.0)

Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const Handle< Quote > reversion, const Real T=60.0)

Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const std::vector< Handle< Quote > > &reversions, const Real T=60.0)

Real numeraireTime () const

void numeraireTime (const Real T)

const Array & reversion () const

const Array & volatility () const

Disposable< std::vector< bool > > FixedReversions ()

Disposable< std::vector< bool > > FixedVolatilities ()

Disposable< std::vector< bool > > MoveVolatility (Size i)

Disposable< std::vector< bool > > MoveReversion (Size i)

void calibrateVolatilitiesIterative (const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

void calibrateReversionsIterative (const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())

Protected Member Functions

Real numeraireImpl (const Time t, const Real y, const Handle< YieldTermStructure > &yts) const

Real zerobondImpl (const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const

void generateArguments ()

void update ()

void performCalculations () const

Additional Inherited Members

Detailed Description

One factor gsr model, formulation is in forward measure.

Member Function Documentation

void update () [protected], [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from CalibratedModel.

void performCalculations () const [protected], [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from Gaussian1dModel.

Author

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Referenced By

calibrateReversionsIterative(3), calibrateVolatilitiesIterative(3), FixedReversions(3), FixedVolatilities(3), Gsr(3), MoveReversion(3), MoveVolatility(3), numeraireTime(3) and reversion(3) are aliases of QuantLib_Gsr(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib