LiborForwardModelProcess Class Reference
[Stochastic processes]
#include <ql/processes/lfmprocess.hpp>
Inheritance diagram for LiborForwardModelProcess:

Detailed Description
libor-forward-model processstochastic process of a libor forward 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.
- Warning:
- this class does not work correctly with Visual C++ 6.
Public Member Functions | |
LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., ![]() | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Size | factors () const |
returns the number of independent factors of the process | |
boost::shared_ptr< IborIndex > | index () const |
Leg | cashFlows (Real amount=1.0) const |
void | setCovarParam (const boost::shared_ptr< LfmCovarianceParameterization > ¶m) |
boost::shared_ptr< LfmCovarianceParameterization > | covarParam () const |
Size | nextIndexReset (Time t) const |
const std::vector< Time > & | fixingTimes () const |
const std::vector< Date > & | fixingDates () const |
const std::vector< Time > & | accrualStartTimes () const |
const std::vector< Time > & | accrualEndTimes () const |
std::vector< DiscountFactor > | discountBond (const std::vector< Rate > &rates) const |
Member Function Documentation
Disposable<Matrix> covariance | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt | |||
) | const [virtual] |
returns the covariance of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
Disposable<Array> apply | ( | const Array & | x0, | |
const Array & | dx | |||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
Disposable<Array> evolve | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt, | |||
const Array & | dw | |||
) | const [virtual] |
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.