void Gsr::initialize(Real T) {
volsteptimesArray_ = Array(volstepdates_.size());
updateTimes();
QL_REQUIRE(volatilities_.size() == volsteptimes_.size() + 1,
"there must be n+1 volatilities ("
<< volatilities_.size()
<< ") for n volatility step times ("
<< volsteptimes_.size() << ")");
// sigma_ =
// PiecewiseConstantParameter(volsteptimes_,PositiveConstraint());
sigma_ = PiecewiseConstantParameter(volsteptimes_, NoConstraint());
QL_REQUIRE(reversions_.size() == 1 ||
reversions_.size() == volsteptimes_.size() + 1,
"there must be 1 or n+1 reversions ("
<< reversions_.size()
<< ") for n volatility step times ("
<< volsteptimes_.size() << ")");
if (reversions_.size() == 1) {
reversion_ = ConstantParameter(reversions_[0]->value(), NoConstraint());
} else {
reversion_ =
PiecewiseConstantParameter(volsteptimes_, NoConstraint());
}
for (Size i = 0; i < sigma_.size(); i++) {
sigma_.setParam(i, volatilities_[i]->value());
}
for (Size i = 0; i < reversion_.size(); i++) {
reversion_.setParam(i, reversions_[i]->value());
}
stateProcess_ = boost::shared_ptr<GsrProcess>(new GsrProcess(
volsteptimesArray_, sigma_.params(), reversion_.params(), T));
registerWith(termStructure());
registerWith(stateProcess_);
for(Size i=0;i<reversions_.size();++i)
registerWith(reversions_[i]);
for(Size i=0;i<volatilities_.size();++i)
registerWith(volatilities_[i]);
}
Generalized_HullWhite::Generalized_HullWhite(const Handle<YieldTermStructure>& termStructure,
std::vector<Date> dates,
std::vector<Real> sigma,
Real a,
Real fxVol,
Real fxCorr)
: Vasicek(termStructure->forwardRate(0.0, 0.0, Continuous, NoFrequency), a, 0.0, sigma[0], 0.0), a0_(a),
TermStructureConsistentModel(termStructure), fxVol_(fxVol), fxCorr_(fxCorr)
{
a_ = NullParameter();
b_ = NullParameter();
lambda_ = NullParameter();
DayCounter dc = termStructure->dayCounter();
//volperiods_.push_back(0.0);
for (Size i=0; i<dates.size()-1; i++)
volperiods_.push_back(dc.yearFraction(Settings::instance().evaluationDate(), dates[i]));
sigma_ = PiecewiseConstantParameter(volperiods_, PositiveConstraint());
for (Size i=0; i< sigma_.size(); i++)
sigma_.setParam(i, sigma[i]);
generateArguments();
registerWith(termStructure);
}
GeneralizedHullWhite::GeneralizedHullWhite(
const Handle<YieldTermStructure>& yieldtermStructure,
const std::vector<Date>& speedstructure,
const std::vector<Date>& volstructure,
const std::vector<Real>& speed,
const std::vector<Real>& vol)
: OneFactorModel(2), TermStructureConsistentModel(yieldtermStructure),
speedstructure_(speedstructure),
volstructure_(volstructure),
a_(arguments_[0]), sigma_(arguments_[1]) {
DayCounter dc = yieldtermStructure->dayCounter();
speedperiods_.push_back(0.0);
for (Size i=0;i<speedstructure.size()-1;i++)
speedperiods_.push_back(dc.yearFraction(speedstructure[0],
speedstructure[i+1]));
a_ = PiecewiseConstantParameter(speedperiods_, PositiveConstraint());
volperiods_.push_back(0.0);
for (Size i=0;i<volstructure.size()-1;i++)
volperiods_.push_back(dc.yearFraction(volstructure[0],
volstructure[i+1]));
sigma_ = PiecewiseConstantParameter(volperiods_, PositiveConstraint());
a_.setParam(0,speed[0]);
sigma_.setParam(0,vol[0]);
for (Size i=1; i< sigma_.size();i++) {
sigma_.setParam(i,vol[i-1]);
}
for (Size i=1; i< a_.size();i++) {
a_.setParam(i,speed[i-1]);
}
registerWith(yieldtermStructure);
}
