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);
}
HullWhite::HullWhite(const Handle<YieldTermStructure>& termStructure,
Real a, Real sigma)
: Vasicek(termStructure->forwardRate(0.0, 0.0, Continuous, NoFrequency),
a, 0.0, sigma, 0.0),
TermStructureConsistentModel(termStructure) {
b_ = NullParameter();
lambda_ = NullParameter();
generateArguments();
registerWith(termStructure);
}
void CalibratedModel::setParams(const Array& params) {
Array::const_iterator p = params.begin();
for (Size i=0; i<arguments_.size(); ++i) {
for (Size j=0; j<arguments_[i].size(); ++j, ++p) {
QL_REQUIRE(p!=params.end(),"parameter array too small");
arguments_[i].setParam(j, *p);
}
}
QL_REQUIRE(p==params.end(),"parameter array too big!");
generateArguments();
notifyObservers();
}
BatesModel::BatesModel(const boost::shared_ptr<BatesProcess> & process)
: HestonModel(process) {
arguments_.resize(8);
arguments_[5]
= ConstantParameter(process->nu(), NoConstraint());
arguments_[6]
= ConstantParameter(process->delta(), PositiveConstraint());
arguments_[7]
= ConstantParameter(process->lambda(), PositiveConstraint());
generateArguments();
}
void update() {
generateArguments();
notifyObservers();
}
