void BetaShifted_HGVolatilityParam::initializeShiftMatrix(
LMMTenorStructure_PTR pLMMTenorStructure,
const LowerTriangularMatrix& betas,
const std::vector<double>& liborsInitValues)
{
assert(betas.size1() == betas.size2() && betas.size2() == liborsInitValues.size() && pLMMTenorStructure->get_nbLIBOR());
//unused first column, first row is automatically null since it is lower triangular matrix
LowerTriangularMatrix m(betas.size1(), betas.size2());
for(size_t k=0; k<m.size1();++k)
{
shift_matrix_(k,0) = 1.0e100;
}
for(size_t liborIndex=1; liborIndex<m.size1();++liborIndex)
{
for(size_t timeIndex=1;timeIndex<=liborIndex;++timeIndex)
{
double beta = betas(liborIndex,timeIndex);
double liborInitValue = liborsInitValues[liborIndex];
shift_matrix_(liborIndex,timeIndex) = 1+ (1-beta)/beta*liborInitValue;
}
}
}
void Shifted_HGVolatilityParam::reset_g_matrix(const LowerTriangularMatrix& other_g)
{
assert(other_g.size1() == g_matrix_.size1() );
assert(other_g.size2() == g_matrix_.size2() );
for(size_t indexLibor=1; indexLibor<g_matrix_.size1();++indexLibor)
{
for(size_t indexTime=1; indexTime<=indexLibor; ++indexTime)
{
g_matrix_(indexLibor,indexTime) = other_g(indexLibor,indexTime);
}
}
}
