public LiborForwardModel(LiborForwardModelProcess process,
LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(volaModel.parameters().Count + corrModel.parameters().Count)
{
f_ = new InitializedList <double>(process.size());
accrualPeriod_ = new InitializedList <double>(process.size());
covarProxy_ = new LfmCovarianceProxy(volaModel, corrModel);
process_ = process;
int k = volaModel.parameters().Count;
for (int j = 0; j < k; j++)
{
arguments_[j] = volaModel.parameters()[j];
}
for (int j = 0; j < corrModel.parameters().Count; j++)
{
arguments_[j + k] = corrModel.parameters()[j];
}
for (int i = 0; i < process.size(); ++i)
{
accrualPeriod_[i] = process.accrualEndTimes()[i]
- process.accrualStartTimes()[i];
f_[i] = 1.0 / (1.0 + accrualPeriod_[i] * process_.initialValues()[i]);
}
}
public VarProxy_Helper(LfmCovarianceProxy proxy, int i, int j)
{
i_ = i;
j_ = j;
volaModel_ = proxy.volaModel_;
corrModel_ = proxy.corrModel_;
}
public LiborForwardModel(LiborForwardModelProcess process,
LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(volaModel.parameters().Count() + corrModel.parameters().Count())
{
f_ = new InitializedList<double>(process.size());
accrualPeriod_ = new InitializedList<double>(process.size());
covarProxy_=new LfmCovarianceProxy(volaModel, corrModel);
process_=process;
/*copy(volaModel.parameters().begin(), volaModel.parameters().end(),
arguments_.begin());
copy(corrModel.parameters().begin(), corrModel.parameters().end(),
arguments_.begin()+k);*/
int k=volaModel.parameters().Count;
for (int j = 0; j < k; j++)
arguments_[j] = volaModel.parameters()[j];
for (int j = 0; j < corrModel.parameters().Count; j++)
arguments_[j+k] = corrModel.parameters()[j];
for (int i=0; i < process.size(); ++i) {
accrualPeriod_[i] = process.accrualEndTimes()[i]
- process.accrualStartTimes()[i];
f_[i] = 1.0/(1.0+accrualPeriod_[i]*process_.initialValues()[i]);
}
}
public LfmCovarianceProxy(LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(corrModel.size(), corrModel.factors())
{
volaModel_ = volaModel;
corrModel_ = corrModel;
Utils.QL_REQUIRE(volaModel_.size() == corrModel_.size(), () =>
"different size for the volatility (" + volaModel_.size() + ") and correlation (" + corrModel_.size() + ") models");
}
public LfmCovarianceProxy(LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(corrModel.size(), corrModel.factors()){
volaModel_=volaModel;
corrModel_=corrModel ;
if(!(volaModel_.size() == corrModel_.size()))
throw new ArgumentException("different size for the volatility (" + volaModel_.size() +
") and correlation (" + corrModel_.size() +
") models");
}
public LfmCovarianceProxy(LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(corrModel.size(), corrModel.factors())
{
volaModel_ = volaModel;
corrModel_ = corrModel;
if (!(volaModel_.size() == corrModel_.size()))
{
throw new ArgumentException("different size for the volatility (" + volaModel_.size() +
") and correlation (" + corrModel_.size() +
") models");
}
}
public LmConstWrapperCorrelationModel(LmCorrelationModel corrModel)
: base(corrModel.size(), 0)
{
corrModel_=corrModel;
}
public VarProxy_Helper(LfmCovarianceProxy proxy, int i, int j)
{
i_=i;
j_=j;
volaModel_=proxy.volaModel_;
corrModel_=proxy.corrModel_;
}
public LmConstWrapperCorrelationModel(LmCorrelationModel corrModel)
: base(corrModel.size(), 0)
{
corrModel_ = corrModel;
}