QuantLib 0.3.11
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CapletLiborMarketModelProcess Class Reference#include <ql/Processes/capletlmmprocess.hpp>
Inheritance diagram for CapletLiborMarketModelProcess:
[legend]List of all members.
Detailed Description
caplet libor-market-model process
stochastic process of a (cap) libor market model using the rolling forward measure incl. predictor-corrector step
References: Glasserman, Paul, 2004, Monte Carlo Methods in Financial Engineering, Springer, Section 3.7
Antoon Pelsser, 2000, Efficient Methods for Valuing Interest Rate Derivatives, Springer, 8
Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (<http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf>)
- Tests:
- the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.
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Public Member Functions |
| CapletLiborMarketModelProcess (Size fixings, const boost::shared_ptr< Xibor > &underlyingIndex, const boost::shared_ptr< CapletVolatilityStructure > &capletVol, const Matrix &volatilityComponents=Matrix()) |
Size | size () const |
| returns the number of dimensions of the stochastic process
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Size | factors () const |
| returns the number of independent factors of the process
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Disposable< Array > | initialValues () const |
| returns the initial values of the state variables
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Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e.,
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Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e.
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Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
std::vector< Time > | fixingTimes () const |
Time | accrualPeriod (Size i) const |
Volatility | lambda (Size i, Size j=0) const |
DiscountFactor | discountBond (const std::vector< Rate > &rates, Size j) const |
| discount factor until the j-th fixing period
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Protected Member Functions |
Size | nextResetDate (Time t) const |
Constructor & Destructor Documentation
Member Function Documentation
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applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess. |
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returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and the standard deviation.
Reimplemented from StochasticProcess. |
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volatility matrix , i-th fixing, j-th volatility factor, see equation 20 in Hull White paper |
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