C# Class CIRProcess.CIR2

Inheritance: IExtensibleProcess, IPopulable, IMarkovSimulator, IParsable, IPostSimulationTransformation, IDefaultProbabiliy, IExportableContainer

Show file Open project: fairmat/InterestRatesModels

Public Properties

Property	Type	Description
k1	IModelParameter
k2	IModelParameter
sigma1	IModelParameter
sigma2	IModelParameter
startingValue1	IModelParameter
startingValue2	IModelParameter
theta1	IModelParameter
theta2	IModelParameter

Public Methods

Method	Description
CDSDefaultP ( IReadOnlyMatrixSlice dynamic, double dates, int j, double t ) : double	Calculates the probability of a default at date t (conditional of being in a given state (realization) of process s1, s2), being on period s = dates[j].
CIR2 ( ) : System	Default constructor which prepares an instance of the two factors Cox-Ingersoll-Ross model with some sample values.
DefaultValues ( ) : void	Sets the default values for the components.
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
Parse ( IProject context ) : bool	Ensure the parameters are correct.
Populate ( string names, double values ) : void	This is part of the IPopulable interface but it's not implemented.
Setup ( double simulationDates ) : void	Called by Simulator after parse. In this case does nothing.
Transform ( double dates, IMatrixSlice outDynamic ) : void	Calculates the probabilities for one scenario.
a ( int i, double x, double a ) : void	This function defines the drift in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the A component is A[0] = k1 * (theta1 - previous state) A[1] = k2 * (theta2 - previous state).
ab ( int i, double x, double a, double b ) : void	This function calculated drift and volatility in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the B component is B[0] = sqrt(previous state) * sigma1 B[1] = sqrt(previous state) * sigma2.
b ( int i, double x, double b ) : void	This function defines the volatility in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the B component is B[0] = sqrt(previous state) * sigma1 B[1] = sqrt(previous state) * sigma2.
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

Private Methods

Method	Description
AdjSqrt ( double x ) : double	Checks if the value is negative and floors it to zero, instead of attempting a square root of negative numbers.
GetZR ( double t ) : double	Helper function to make functions easier to read. Just returns the value of the zero rate at position t.
SetDescription ( ) : void	Sets the descriptions for the components.

Method Details

CDSDefaultP() public method

Calculates the probability of a default at date t (conditional of being in a given state (realization) of process s1, s2), being on period s = dates[j].

public CDSDefaultP ( IReadOnlyMatrixSlice dynamic, double dates, int j, double t ) : double
dynamic	IReadOnlyMatrixSlice	The underlying's realizations.
dates	double	The corresponding underlying's dates.
j	int	The wanted date index.
t	double	The date at which we want to estimate the default prob.
return	double

CIR2() public method

Default constructor which prepares an instance of the two factors Cox-Ingersoll-Ross model with some sample values.

public CIR2 ( ) : System
return	System

DefaultValues() public method

Sets the default values for the components.

public DefaultValues ( ) : void
return	void

ExportObjects() public method

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	/// The parameter is not used. ///
return	List

Parse() public method

Ensure the parameters are correct.

public Parse ( IProject context ) : bool
context	IProject	/// The underlying project. ///
return	bool

Populate() public method

This is part of the IPopulable interface but it's not implemented.

public Populate ( string names, double values ) : void
names	string	The parameter is not used.
values	double	The parameter is not used.
return	void

Setup() public method

Called by Simulator after parse. In this case does nothing.

public Setup ( double simulationDates ) : void
simulationDates	double	The parameter is not used.
return	void

Transform() public method

Calculates the probabilities for one scenario.

public Transform ( double dates, IMatrixSlice outDynamic ) : void
dates	double	Dates (in Year fractions).
outDynamic	IMatrixSlice	Input and output matrix.
return	void

a() public method

This function defines the drift in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the A component is A[0] = k1 * (theta1 - previous state) A[1] = k2 * (theta2 - previous state).

public a ( int i, double x, double a ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double	The output of the function.
return	void

ab() public method

This function calculated drift and volatility in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the B component is B[0] = sqrt(previous state) * sigma1 B[1] = sqrt(previous state) * sigma2.

public ab ( int i, double x, double a, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double
b	double	The output drift.
return	void

b() public method

This function defines the volatility in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the B component is B[0] = sqrt(previous state) * sigma1 B[1] = sqrt(previous state) * sigma2.

public b ( int i, double x, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
b	double	The output of the function.
return	void

isLog() public method

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. /// The array contains a two members set to false as this simulation /// is not log-normal. ///
return	void

Property Details

k1 public property

The mean reversion speed (first component).

public IModelParameter k1
return	IModelParameter

k2 public property

The mean reversion speed (second component).

public IModelParameter k2
return	IModelParameter

sigma1 public property

The volatility (first component).

public IModelParameter sigma1
return	IModelParameter

sigma2 public property

The volatility (second component).

public IModelParameter sigma2
return	IModelParameter

startingValue1 public property

The starting value for the process (first component).

public IModelParameter startingValue1
return	IModelParameter

startingValue2 public property

The starting value for the process (second component).

public IModelParameter startingValue2
return	IModelParameter

theta1 public property

The long term mean (first component).

public IModelParameter theta1
return	IModelParameter

theta2 public property

The long term mean (second component).

public IModelParameter theta2
return	IModelParameter