/usr/include/ql/experimental/models/gsr.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
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.
*/
/*! \file gsr.hpp
\brief GSR 1 factor model
*/
#ifndef quantlib_gsr_hpp
#define quantlib_gsr_hpp
#include <ql/time/schedule.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/experimental/models/gaussian1dmodel.hpp>
#include <ql/experimental/models/gsrprocess.hpp>
#include <boost/math/special_functions.hpp>
namespace QuantLib {
//! One factor gsr model, formulation is in forward measure
class Gsr : public Gaussian1dModel, public CalibratedModel {
public:
// constant mean reversion
Gsr(const Handle<YieldTermStructure> &termStructure,
const std::vector<Date> &volstepdates,
const std::vector<Real> &volatilities, const Real reversion,
const Real T = 60.0);
// piecewise mean reversion (with same step dates as volatilities)
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);
const Real numeraireTime() const;
const void numeraireTime(const Real T);
const Array &reversion() const { return reversion_.params(); }
const Array &volatility() const { return sigma_.params(); }
// calibration constraints
Disposable<std::vector<bool> > FixedReversions() {
std::vector<bool> res(reversions_.size(), true);
std::vector<bool> vol(volatilities_.size(), false);
res.insert(res.end(), vol.begin(), vol.end());
return res;
}
Disposable<std::vector<bool> > MoveVolatility(Size i) {
QL_REQUIRE(i < volatilities_.size(),
"volatility with index " << i << " does not exist (0..."
<< volatilities_.size() - 1
<< ")");
std::vector<bool> res(reversions_.size() + volatilities_.size(),
true);
res[reversions_.size() + i] = false;
return res;
}
// with fixed reversion calibrate the volatilities one by one
// to the given helpers. It is assumed that that volatility step
// dates are suitable to do so.
// also the calibrated model reflects only the last calibration w.r.t
// endcriteria
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>()) {
for (Size i = 0; i < helpers.size(); i++) {
std::vector<boost::shared_ptr<CalibrationHelper> > h(
1, helpers[i]);
calibrate(h, method, endCriteria, constraint, weights,
MoveVolatility(i));
}
}
protected:
const Real numeraireImpl(const Time t, const Real y,
const Handle<YieldTermStructure> &yts) const;
const Real zerobondImpl(const Time T, const Time t, const Real y,
const Handle<YieldTermStructure> &yts) const;
void generateArguments() {
calculate();
boost::dynamic_pointer_cast<GsrProcess>(stateProcess_)
->flushCache();
notifyObservers();
}
void update() { LazyObject::update(); }
private:
void initialize(Real);
Parameter &reversion_, &sigma_;
std::vector<Real> volatilities_;
std::vector<Real> reversions_;
std::vector<Date> volstepdates_; // this is shared between vols and
// reverisons in case of piecewise
// reversions
std::vector<Time> volsteptimes_;
Array volsteptimesArray_; // FIXME this is redundant (just a copy of
// volsteptimes_)
};
inline const Real Gsr::numeraireTime() const {
return boost::dynamic_pointer_cast<GsrProcess>(stateProcess_)
->getForwardMeasureTime();
}
inline const void Gsr::numeraireTime(const Real T) {
boost::dynamic_pointer_cast<GsrProcess>(stateProcess_)
->setForwardMeasureTime(T);
calculate();
}
}
#endif
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