Libor forward model More...
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
Public Member Functions | |
LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) | |
Rate | S_0 (Size alpha, Size beta) const |
virtual boost::shared_ptr < SwaptionVolatilityMatrix > | getSwaptionVolatilityMatrix () const |
DiscountFactor | discount (Time t) const |
Implied discount curve. | |
Real | discountBond (Time now, Time maturity, Array factors) const |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
void | setParams (const Array ¶ms) |
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CalibratedModel (Size nArguments) | |
void | update () |
void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) |
Calibrate to a set of market instruments (caps/swaptions) More... | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
Protected Member Functions | |
Disposable< Array > | w_0 (Size alpha, Size beta) const |
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virtual void | generateArguments () |
Protected Attributes | |
std::vector< Real > | f_ |
std::vector< Time > | accrualPeriod_ |
const boost::shared_ptr < LfmCovarianceProxy > | covarProxy_ |
const boost::shared_ptr < LiborForwardModelProcess > | process_ |
boost::shared_ptr < SwaptionVolatilityMatrix > | swaptionVola |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Libor forward model
References:
Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf