C# Class HullAndWhiteTwoFactors.HW2

Inheritance: HW2Context, IExtensibleProcessIR, IZeroRateReference, IMarkovSimulator, IParsable, IPopulable, IGreeksDerivativesInfo, IExportableContainer

Show file Open project: fairmat/InterestRatesModels

Public Properties

Property	Type	Description
_a1	IModelParameter
_a2	IModelParameter
_rho	IModelParameter
_s1	IModelParameter
_s2	IModelParameter

Public Methods

Method	Description
Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double	Calculates the value of a Bond under the Hull and White Two factors model.
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.
HW2 ( ) : System	Initializes a new instance of the HullAndWhiteTwoFactors.HW2 class. This is the default constructor and sets the default values of several components of the model: * alpha 1 = 0.1 * sigma 1 = 0.001 * alpha 2 = 0.01 * sigma 2 = 0.001 * rho = 0.001 * No zero rate. * drift correction = 0.
Parse ( IProject p_Context ) : bool	Parses the data and ensures the parameters are correct.
Populate ( string names, double values ) : void	Populate editable fields from name and value vectors specific to HW2.
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.
a ( int i, double x, double a ) : void	This function calculates the drift in the HW2 Markov process.
ab ( int i, double x, double a, double b ) : void
b ( int i, double x, double b ) : void	This function updates the volatility parameters (vector b) of the HW2 process.
isLog ( bool &isLog ) : void	Sets the passed array with a Booleans stating if the process components must be simulated as a log-normal process.
va ( int i, System.Matrix x, System.Matrix a ) : void	Vectorial version of method a.

Protected Methods

Method	Description
DF ( double t, double dt ) : double	Numerically calculates the derivative of function F().
F ( double t, double dt ) : double	Numerically calculates the instantaneous forward rate.
Theta ( double t, double dt ) : double	Calculates the theta element of the Hull And White formula which will be stored in the theta in order to be used during simulation.

Private Methods

Method	Description
BondHW2 ( Project context, SPCache cache, HW2Context hw2, double R, double u, double PT, double P_t, double Pdt, double TT, double t, double dt ) : double	Price of a zcb at t > 0 with maturity TT > t as a function of the rate R, of the factor u at t and of the current zr curve (ZR) using the Hull & White two-factor model dr = (theta(t) + u - a * r) * dt + sigma1 * dz1 du = -b * du * dt + sigma2 * dz2 with dz1 * dz2 = rho * dt (see Hull-White (1994) Journal of Derivatives).
CalculateInnerModelParameters ( ) : void	Calculates and caches the model parameters for use during the simulation.
DPhi ( double t, double dt ) : double	Calculates either the right numerical derivative or the central numerical derivative of Phi.
OnDeserialized ( StreamingContext context ) : void
Phi ( double t ) : double	Calculates the standard normal cumulative distribution function.
Preprocessing ( ) : void	Does a preliminary processing of all the parameters and required data which will be used during the simulation.
ZCB ( double t ) : double	Calculates the value of a Zero Coupon Bond.
Zr ( double t ) : double	Evaluates the referenced zr.

Method Details

Bond() public method

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

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

DF() protected method

Numerically calculates the derivative of function F().

protected DF ( double t, double dt ) : double
t	double	/// Time at which calculate the derivative. ///
dt	double	/// Semi-interval to be used in the numerical derivative. ///
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

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

HW2() public method

Initializes a new instance of the HullAndWhiteTwoFactors.HW2 class. This is the default constructor and sets the default values of several components of the model: * alpha 1 = 0.1 * sigma 1 = 0.001 * alpha 2 = 0.01 * sigma 2 = 0.001 * rho = 0.001 * No zero rate. * drift correction = 0.

public HW2 ( ) : System
return	System

Parse() public method

Parses the data and ensures 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 HW2.

public Populate ( string names, double values ) : void
names	string	/// An array with the names of the variable, /// will search for alpha1 (or a1), sigma1 (or sigma), alpha2 (or a2), sigma2 and rho. ///
values	double	The values associated to the parameters in names.
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

Theta() protected method

Calculates the theta element of the Hull And White formula which will be stored in the theta in order to be used during simulation.

protected Theta ( double t, double dt ) : double
t	double	The position in which this value will be calculated.
dt	double	The delta between this t position and the previous one.
return	double

a() public method

This function calculates the drift in the HW2 Markov process.

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 drift,output of the function.
return	void

ab() public method

public ab ( int i, double x, double a, double b ) : void
i	int
x	double
a	double
b	double
return	void

b() public method

This function updates the volatility parameters (vector b) of the HW2 process.

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 Booleans stating if the process components 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

va() public method

Vectorial version of method a.

public va ( int i, System.Matrix x, System.Matrix a ) : void
i	int	The discrete time-step.
x	System.Matrix	The actual state matrix.
a	System.Matrix	The output drift matrix.
return	void

Property Details

_a1 public property

Mean-reversion rate for r (short rate).

public IModelParameter _a1
return	IModelParameter

_a2 public property

Volatility of r (short rate).

public IModelParameter _a2
return	IModelParameter

_rho public property

Mean-reversion rate for u (latent component).

public IModelParameter _rho
return	IModelParameter

_s1 public property

Mean-reversion rate for u (latent component).

public IModelParameter _s1
return	IModelParameter

_s2 public property

Mean-reversion rate for r (short rate).

public IModelParameter _s2
return	IModelParameter