libor-forward-model process More...
#include <ql/legacy/libormarketmodels/lfmprocess.hpp>
Inheritance diagram for LiborForwardModelProcess:Public Member Functions | |
| LiborForwardModelProcess (Size size, const ext::shared_ptr< IborIndex > &index) | |
| Disposable< Array > | initialValues () const |
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
| Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Size | size () const |
| returns the number of dimensions of the stochastic process | |
| Size | factors () const |
| returns the number of independent factors of the process | |
| ext::shared_ptr< IborIndex > | index () const |
| Leg | cashFlows (Real amount=1.0) const |
| void | setCovarParam (const ext::shared_ptr< LfmCovarianceParameterization > ¶m) |
| ext::shared_ptr< LfmCovarianceParameterization > | covarParam () const |
| Size | nextIndexReset (Time t) const |
| const std::vector< Time > & | fixingTimes () const |
| const std::vector< Date > & | fixingDates () const |
| const std::vector< Time > & | accrualStartTimes () const |
| const std::vector< Time > & | accrualEndTimes () const |
| std::vector< DiscountFactor > | discountBond (const std::vector< Rate > &rates) const |
Public Member Functions inherited from StochasticProcess | |
| virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
| virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
| virtual Time | time (const Date &) const |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess () | |
| StochasticProcess (const ext::shared_ptr< discretization > &) | |
Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
libor-forward-model process
stochastic process of a libor forward model using the rolling forward measure incl. predictor-corrector step
References:
Glasserman, Paul, 2004, Monte Carlo Methods in Financial Engineering, Springer, Section 3.7
Antoon Pelsser, 2000, Efficient Methods for Valuing Interest Rate Derivatives, Springer, 8
Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf)
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virtual |
returns the covariance \( V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
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virtual |
applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).
Reimplemented from StochasticProcess.
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess.