C# Class HullAndWhiteOneFactor.HW1

Inheritance: IExtensibleProcessIR, IZeroRateReference, IMarkovSimulator, IParsable, IEstimationResultPopulable, IGreeksDerivativesInfo, IOpenCLCode, IPostSimulationTransformation, IExportableContainer

Show file Open project: fairmat/InterestRatesModels Class Usage Examples

Protected Properties

Property	Type	Description
alpha1	IModelParameter
sigma1	IModelParameter

Private Properties

Property	Type	Description
A	double
AlphaInt	double
B	double
ExpectedAverageRate	double
OnDeserialized	void
ZR	double

Public Methods

Method	Description
Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double T ) : double	Calculates the value of a Bond under the Hull and White model.
ExpectedShortRate ( double t ) : double
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
GetDeltaFactors ( ) : IModelParameter[]	Gets the factors for Delta Greek derivative.
GetVegaFactors ( ) : IModelParameter[]	Gets the factors for Vega Greek derivative.
GetZeroRateReference ( ) : string	Gets the zero rate reference.
HW1 ( ) : System	Initializes a new instance of the HW1 class with alpha 0.1, sigma 0.001 and an empty zeroRateReference.
HW1 ( double alpha, double sigma, double lambda, string zeroRateReference ) : System	Initializes a new instance of the HW1 class given alpha, sigma, lambda and a zero rate reference.
HW1 ( double alpha, double sigma, string zeroRateReference ) : System	Initializes a new instance of the HW1 class given alpha, sigma and a zero rate reference.
Parse ( IProject p_Context ) : bool	Ensure the parameters are correct.
Populate ( IStochasticProcess stocProcess, EstimationResult estimate ) : void	Populate editable fields from name and value vectors specific to the Heston extended process.
SetZeroRateReference ( string zr ) : void	Associate the process to a zero rate defined in the Fairmat model (e.g. @zr1).
Setup ( double dates ) : void	Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.
Simulate ( double Dates, IReadOnlyMatrixSlice Noise, IMatrixSlice OutDynamic ) : void
Transform ( double dates, IMatrixSlice outDynamic ) : void	Handles the conversion, after the simulation, from y to the short rate r.
a ( int i, double x, double a ) : void	This function defines the drift in the HW Markov process. The formula to calculate the A component is A = theta(t) - alpha * previous State.
ab ( int i, double x, double a, double b ) : void	This function defines drift and the volatility in the HW Markov process. The formula to calculate the B component is A = theta(t) - alpha * previous State. B = sigma.
b ( int i, double x, double b ) : void	This function defines the volatility in the HW Markov process. The formula to calculate the B component is B = sigma.
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

Protected Methods

Method	Description
F ( double t, double dt ) : double	Numerically calculates the instantaneous forward rate.
Ft ( double t, double dt ) : double	First derivative w.r.t time of forward rate
alphaTFunc ( double t, double dt ) : double	Calculates the value of alpha function at time t
theta ( double t, double dt ) : double

Private Methods

Method	Description
A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double	Calculates the function A() to be used in the Bond() method.
AlphaInt ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double	Calculates the integral of alpha function to be used in the A() method.
B ( double T, double alpha ) : double	Calculates the function B() to be used in the Bond() method.
ExpectedAverageRate ( double t ) : double
OnDeserialized ( StreamingContext context ) : void
ZR ( double t ) : double	Helper function to make functions easier to read. Just returns the value of the zero rate at position t.

Method Details

Bond() public method

Calculates the value of a Bond under the Hull and White model.

public Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double T ) : double
dynamic	IReadOnlyMatrixSlice	/// The simulated process. ///
dates	double	/// The vector of reference dates. ///
i	int	/// The index at which the state variable must be sampled. ///
t	double	/// The date in years/fractions at at which the state variable must be sampled. ///
T	double	/// The maturity of the bond. ///
return	double

ExpectedShortRate() public method

public ExpectedShortRate ( double t ) : double
t	double
return	double

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

F() protected method

Numerically calculates the instantaneous forward rate.

protected F ( double t, double dt ) : double
t	double	/// Time at which calculate the forward rate. ///
dt	double	/// Interval to be used in the numerical derivative. ///
return	double

Ft() protected method

First derivative w.r.t time of forward rate

protected Ft ( double t, double dt ) : double
t	double
dt	double
return	double

GetDeltaFactors() public method

Gets the factors for Delta Greek derivative.

public GetDeltaFactors ( ) : IModelParameter[]
return	IModelParameter[]

GetVegaFactors() public method

Gets the factors for Vega Greek derivative.

public GetVegaFactors ( ) : IModelParameter[]
return	IModelParameter[]

GetZeroRateReference() public method

Gets the zero rate reference.

public GetZeroRateReference ( ) : string
return	string

HW1() public method

Initializes a new instance of the HW1 class with alpha 0.1, sigma 0.001 and an empty zeroRateReference.

public HW1 ( ) : System
return	System

HW1() public method

Initializes a new instance of the HW1 class given alpha, sigma, lambda and a zero rate reference.

public HW1 ( double alpha, double sigma, double lambda, string zeroRateReference ) : System
alpha	double	The rate of the mean reversion to be used to initialize HW.
sigma	double	The standard deviation to be used to initialize HW.
lambda	double	The market price of risk to be used to initialize HW.
zeroRateReference	string	/// Reference to the zero rate to be used to initialize HW. ///
return	System

HW1() public method

Initializes a new instance of the HW1 class given alpha, sigma and a zero rate reference.

public HW1 ( double alpha, double sigma, string zeroRateReference ) : System
alpha	double	The rate of the mean reversion to be used to initialize HW.
sigma	double	The standard deviation to be used to initialize HW.
zeroRateReference	string	/// Reference to the zero rate to be used to initialize HW. ///
return	System

Parse() public method

Ensure the parameters are correct.

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

Populate() public method

Populate editable fields from name and value vectors specific to the Heston extended process.

public Populate ( IStochasticProcess stocProcess, EstimationResult estimate ) : void
stocProcess	IStochasticProcess	/// The stochastic process which is being referenced to. ///
estimate	EstimationResult	/// The estimation result which contains values and names of parameters. /// It will be searched for S0, kappa, theta, sigma, V0 and rho. ///
return	void

SetZeroRateReference() public method

Associate the process to a zero rate defined in the Fairmat model (e.g. @zr1).

public SetZeroRateReference ( string zr ) : void
zr	string	/// The zero rate reference. ///
return	void

Setup() public method

Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.

public Setup ( double dates ) : void
dates	double	/// The dates at which the process realizations will be requested. ///
return	void

Simulate() public method

public Simulate ( double Dates, IReadOnlyMatrixSlice Noise, IMatrixSlice OutDynamic ) : void
Dates	double
Noise	IReadOnlyMatrixSlice
OutDynamic	IMatrixSlice
return	void

Transform() public method

Handles the conversion, after the simulation, from y to the short rate r.

public Transform ( double dates, IMatrixSlice outDynamic ) : void
dates	double	Simulation dates.
outDynamic	IMatrixSlice	The input and output components of the transformation.
return	void

a() public method

This function defines the drift in the HW Markov process. The formula to calculate the A component is A = theta(t) - alpha * previous State.

public a ( int i, double x, double a ) : void
i	int	The time step of the simulation.
x	double	The state vector at the previous state.
a	double	The output of the function.
return	void

ab() public method

This function defines drift and the volatility in the HW Markov process. The formula to calculate the B component is A = theta(t) - alpha * previous State. B = sigma.

public ab ( int i, double x, double a, double b ) : void
i	int	The time step of the simulation.
x	double	The state vector at the previous state.
a	double	The output state dependent drift.
b	double	The output volatility.
return	void

alphaTFunc() protected method

Calculates the value of alpha function at time t

protected alphaTFunc ( double t, double dt ) : double
t	double	Time at which calculate alpha
dt	double
return	double

b() public method

This function defines the volatility in the HW Markov process. The formula to calculate the B component is B = sigma.

public b ( int i, double x, double b ) : void
i	int	The parameter is not used.
x	double	The parameter is not used.
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. ///
return	void

theta() protected method

protected theta ( double t, double dt ) : double
t	double
dt	double
return	double

Property Details

alpha1 protected property

Rate of mean reversion.

protected IModelParameter alpha1
return	IModelParameter

sigma1 protected property

Standard deviation.

protected IModelParameter sigma1
return	IModelParameter