public BlackKarasinski( Handle<YieldTermStructure> termStructure,
double a, double sigma )
: base(2)
{
a_=arguments_[0];
sigma_=arguments_[1];
a_ = arguments_[0] = new ConstantParameter(a, new PositiveConstraint());
sigma_ = arguments_[1] = new ConstantParameter(sigma, new PositiveConstraint());
termStructure_ = new Handle<YieldTermStructure>();
termStructure_ = termStructure;
termStructure.registerWith(update);
}
//private class Dynamics;
public Vasicek(double r0,
double a , double b , double sigma,
double lambda )
:base(4){
r0_ = r0;
a_ = (Parameter)arguments_[0];
b_ = (Parameter)arguments_[1];
sigma_ = arguments_[2];
lambda_ = arguments_[3];
a_ = arguments_[0] = new ConstantParameter(a, new PositiveConstraint());
b_ = arguments_[1] = new ConstantParameter(b, new NoConstraint());
sigma_ = arguments_[2] = new ConstantParameter(sigma, new PositiveConstraint());
lambda_ = arguments_[3] = new ConstantParameter(lambda, new NoConstraint());
}
public CoxIngersollRoss(double r0 = 0.05,
double theta = 0.1,
double k = 0.1,
double sigma = 0.1)
:base(4)
{
theta_ = arguments_[0];
k_=arguments_[1];
sigma_=arguments_[2];
r0_ = arguments_[3];
//theta_ = new ConstantParameter(theta, new PositiveConstraint());
//k_ = new ConstantParameter(k, new PositiveConstraint());
//sigma_ = new ConstantParameter(sigma, new VolatilityConstraint(k,theta));
//r0_ = new ConstantParameter(r0, new PositiveConstraint());
}
public TermStructureFittingParameter(Parameter.Impl impl)
: base(0, impl, new NoConstraint())
{
}
public G2(Handle<YieldTermStructure> termStructure,
double a,
double sigma,
double b,
double eta,
double rho)
: base(5)
{
//TermStructureConsistentModel = termStructure;
/* regroupement car plant!!
* *a_ = arguments_[0];
sigma_ = arguments_[1];
b_ = arguments_[2];
eta_ = arguments_[3];
rho_ = arguments_[4];*/
termStructure_ = termStructure;
a_ = arguments_[0] = new ConstantParameter(a, new PositiveConstraint());
sigma_ = arguments_[1] = new ConstantParameter(sigma, new PositiveConstraint());
b_ = arguments_[2] = new ConstantParameter(b, new PositiveConstraint());
eta_ = arguments_[3] = new ConstantParameter(eta, new PositiveConstraint());
rho_ = arguments_[4] = new ConstantParameter(rho, new BoundaryConstraint(-1.0, 1.0));
generateArguments();
termStructure.registerWith(update);
}
public Dynamics(Parameter fitting,
double a,
double sigma,
double b,
double eta,
double rho)
: base((StochasticProcess1D)new OrnsteinUhlenbeckProcess(a, sigma),
(StochasticProcess1D)(new OrnsteinUhlenbeckProcess(b, eta)), rho)
{
fitting_ = fitting;
}
protected void generateArguments()
{
phi_ = new FittingParameter(termStructure(),
a(), sigma(), b(), eta(), rho());
}
public Dynamics(Parameter fitting, double alpha, double sigma)
: base((StochasticProcess1D)(new OrnsteinUhlenbeckProcess(alpha, sigma))){
fitting_=fitting; }
public Dynamics(Parameter fitting, double a, double sigma)
: base(new OrnsteinUhlenbeckProcess(a, sigma))
{
fitting_ = fitting;
}
//a voir pour le sealed sinon pb avec classe mere vasicek et constructeur class Hullwithe
protected override void generateArguments()
{
phi_ = new FittingParameter(termStructure(), a(), sigma());
}
public Dynamics(Parameter fitting, double a, double sigma)
: base(new OrnsteinUhlenbeckProcess(a, sigma))
{
fitting_ = fitting;
}