C# Class HullAndWhiteTwoFactors.HW2

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

Afficher le fichier Open project: fairmat/InterestRatesModels

Méthodes publiques

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

Méthodes publiques

Méthode	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.

Méthodes protégées

Méthode	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

Méthode	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 méthode

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. ///
Résultat	double

DF() protected méthode

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. ///
Résultat	double

ExportObjects() public méthode

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

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

F() protected méthode

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. ///
Résultat	double

GetDeltaFactors() public méthode

Gets the factors for Delta Greek derivative.

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

GetVegaFactors() public méthode

Gets the factors for Vega Greek derivative.

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

GetZeroRateReference() public méthode

Gets the zero rate reference.

public GetZeroRateReference ( ) : string
Résultat	string

HW2() public méthode

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
Résultat	System

Parse() public méthode

Parses the data and ensures the parameters are correct.

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

Populate() public méthode

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.
Résultat	void

SetZeroRateReference() public méthode

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. ///
Résultat	void

Setup() public méthode

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. ///
Résultat	void

Theta() protected méthode

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.
Résultat	double

a() public méthode

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.
Résultat	void

ab() public méthode

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

b() public méthode

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.
Résultat	void

isLog() public méthode

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. ///
Résultat	void

va() public méthode

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.
Résultat	void

Property Details

_a1 public_oe property

Mean-reversion rate for r (short rate).

public IModelParameter _a1
Résultat	IModelParameter

_a2 public_oe property

Volatility of r (short rate).

public IModelParameter _a2
Résultat	IModelParameter

_rho public_oe property

Mean-reversion rate for u (latent component).

public IModelParameter _rho
Résultat	IModelParameter

_s1 public_oe property

Mean-reversion rate for u (latent component).

public IModelParameter _s1
Résultat	IModelParameter

_s2 public_oe property

Mean-reversion rate for r (short rate).

public IModelParameter _s2
Résultat	IModelParameter