Exemplo n.º 1
0
        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);
        }
Exemplo n.º 2
0
        public PiecewiseTimeDependentHestonModel(Handle <YieldTermStructure> riskFreeRate,
                                                 Handle <YieldTermStructure> dividendYield,
                                                 Handle <Quote> s0,
                                                 double v0,
                                                 Parameter theta,
                                                 Parameter kappa,
                                                 Parameter sigma,
                                                 Parameter rho,
                                                 TimeGrid timeGrid)
            : base(5)
        {
            s0_            = s0;
            riskFreeRate_  = riskFreeRate;
            dividendYield_ = dividendYield;
            timeGrid_      = timeGrid;

            arguments_[0] = theta;
            arguments_[1] = kappa;
            arguments_[2] = sigma;
            arguments_[3] = rho;
            arguments_[4] = new ConstantParameter(v0, new PositiveConstraint());

            s0.registerWith(update);
            riskFreeRate.registerWith(update);
            dividendYield.registerWith(update);
        }
Exemplo n.º 3
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 public LmExponentialCorrelationModel(int size, double rho)
     : base(size, 1)
 {
     corrMatrix_   = new Matrix(size, size);
     pseudoSqrt_   = new Matrix(size, size);
     arguments_[0] = new ConstantParameter(rho, new PositiveConstraint());
     generateArguments();
 }
Exemplo n.º 4
0
 public LmExponentialCorrelationModel(int size, double rho)
     : base(size, 1)
 {
     corrMatrix_ = new Matrix(size, size);
     pseudoSqrt_ = new Matrix(size, size);
     arguments_[0] = new ConstantParameter(rho, new PositiveConstraint());
     generateArguments();
 }
Exemplo n.º 5
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 public LmLinearExponentialVolatilityModel(List <double> fixingTimes, double a, double b, double c, double d)
     : base(fixingTimes.Count, 4)
 {
     fixingTimes_  = fixingTimes;
     arguments_[0] = new ConstantParameter(a, new PositiveConstraint());
     arguments_[1] = new ConstantParameter(b, new PositiveConstraint());
     arguments_[2] = new ConstantParameter(c, new PositiveConstraint());
     arguments_[3] = new ConstantParameter(d, new PositiveConstraint());
 }
Exemplo n.º 6
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 public LmLinearExponentialCorrelationModel(int size, double rho, double beta, int?factors = null)
     : base(size, 2)
 {
     corrMatrix_   = new Matrix(size, size);
     factors_      = factors ?? size;
     arguments_[0] = new ConstantParameter(rho, new BoundaryConstraint(-1.0, 1.0));
     arguments_[1] = new ConstantParameter(beta, new PositiveConstraint());
     generateArguments();
 }
Exemplo n.º 7
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 public LmLinearExponentialCorrelationModel(int size, double rho, double beta,
     int factors)
     : base(size, 2)
 {
     corrMatrix_=new Matrix(size, size);
      factors_=factors;
      arguments_[0] = new ConstantParameter(rho, new BoundaryConstraint(-1.0, 1.0));
      arguments_[1] = new ConstantParameter(beta, new PositiveConstraint());
      generateArguments();
 }
Exemplo n.º 8
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 public LmLinearExponentialVolatilityModel(
                                  List<double> fixingTimes,
                                  double a, double b, double c, double d)
     : base(fixingTimes.Count, 4)
 {
     fixingTimes_=fixingTimes;
        arguments_[0] = new ConstantParameter(a, new PositiveConstraint());
        arguments_[1] = new ConstantParameter(b, new PositiveConstraint());
        arguments_[2] = new ConstantParameter(c, new PositiveConstraint());
        arguments_[3] = new ConstantParameter(d, new PositiveConstraint());
 }
Exemplo n.º 9
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 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);
 }
Exemplo n.º 10
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 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);
 }
Exemplo n.º 11
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 public Vasicek(double r0, double a, double b = 0.05, double sigma = 0.01, double lambda = 0.0)
     : 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());
 }
Exemplo n.º 12
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        //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());
        }
Exemplo n.º 13
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        public HestonModel(HestonProcess process)
            : base(5)
        {
            process_ = process;

            arguments_[0] = new ConstantParameter(process.theta(), new PositiveConstraint());
            arguments_[1] = new ConstantParameter(process.kappa(), new PositiveConstraint());
            arguments_[2] = new ConstantParameter(process.sigma(), new PositiveConstraint());
            arguments_[3] = new ConstantParameter(process.rho(), new BoundaryConstraint(-1.0, 1.0));
            arguments_[4] = new ConstantParameter(process.v0(), new PositiveConstraint());
            generateArguments();

            process_.riskFreeRate().registerWith(update);
            process_.dividendYield().registerWith(update);
            process_.s0().registerWith(update);
        }
Exemplo n.º 14
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        public G2(Handle <YieldTermStructure> termStructure,
                  double a,
                  double sigma,
                  double b,
                  double eta,
                  double rho)
            : base(5)
        {
            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);
        }
Exemplo n.º 15
0
        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);
        }