C# Класс HullAndWhiteTwoFactors.HW2

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

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Открытые свойства

Свойство	Тип	Описание
_a1	IModelParameter
_a2	IModelParameter
_rho	IModelParameter
_s1	IModelParameter
_s2	IModelParameter

Открытые методы

Метод	Описание
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.

Защищенные методы

Метод	Описание
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.

Приватные методы

Метод	Описание
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.

Описание методов

Bond() публичный Метод

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. ///
Результат	double

DF() защищенный Метод

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. ///
Результат	double

ExportObjects() публичный Метод

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

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

F() защищенный Метод

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. ///
Результат	double

GetDeltaFactors() публичный Метод

Gets the factors for Delta Greek derivative.

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

GetVegaFactors() публичный Метод

Gets the factors for Vega Greek derivative.

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

GetZeroRateReference() публичный Метод

Gets the zero rate reference.

public GetZeroRateReference ( ) : string
Результат	string

HW2() публичный Метод

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
Результат	System

Parse() публичный Метод

Parses the data and ensures the parameters are correct.

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

Populate() публичный Метод

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.
Результат	void

SetZeroRateReference() публичный Метод

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. ///
Результат	void

Setup() публичный Метод

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. ///
Результат	void

Theta() защищенный Метод

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.
Результат	double

a() публичный Метод

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.
Результат	void

ab() публичный Метод

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

b() публичный Метод

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.
Результат	void

isLog() публичный Метод

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. ///
Результат	void

va() публичный Метод

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.
Результат	void

Описание свойств

_a1 публичное свойство

Mean-reversion rate for r (short rate).

public IModelParameter _a1
Результат	IModelParameter

_a2 публичное свойство

Volatility of r (short rate).

public IModelParameter _a2
Результат	IModelParameter

_rho публичное свойство

Mean-reversion rate for u (latent component).

public IModelParameter _rho
Результат	IModelParameter

_s1 публичное свойство

Mean-reversion rate for u (latent component).

public IModelParameter _s1
Результат	IModelParameter

_s2 публичное свойство

Mean-reversion rate for r (short rate).

public IModelParameter _s2
Результат	IModelParameter