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 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);
}
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();
}
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();
}
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());
}
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();
}
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();
}
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());
}
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);
}
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);
}
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());
}
//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 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);
}
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);
}
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);
}