Class LfmHullWhiteParameterization

Libor market model parameterization based on Hull White paper

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)

test the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.

Hierarchy

LfmCovarianceParameterization
- LfmHullWhiteParameterization

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LfmHullWhiteParameterization(process: LiborForwardModelProcess, capletVol: OptionletVolatilityStructure, correlation?: Matrix, factors?: Size): LfmHullWhiteParameterization

Overrides LfmCovarianceParameterization.constructor
- Defined in ql/legacy/libormarketmodels/lfmhullwhiteparam.ts:27
Parameters
- process: LiborForwardModelProcess
- capletVol: OptionletVolatilityStructure
- Default value correlation: Matrix = null
- Default value factors: Size = 1
Returns LfmHullWhiteParameterization

Properties

Protected _covariance

_covariance: Matrix

Protected _diffusion

_diffusion: Matrix

Protected _factors

_factors: Size

Protected _fixingTimes

_fixingTimes: Time[]

Protected _size

_size: Size

Methods

covariance

covariance(t: Time, x?: Real[]): Matrix

Overrides LfmCovarianceParameterization.covariance
- Defined in ql/legacy/libormarketmodels/lfmhullwhiteparam.ts:109
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

diffusion

diffusion(t: Time, x?: Real[]): Matrix

Overrides LfmCovarianceParameterization.diffusion
- Defined in ql/legacy/libormarketmodels/lfmhullwhiteparam.ts:97
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

factors

factors(): Size

Inherited from LfmCovarianceParameterization.factors
- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:29
Returns Size

integratedCovariance

integratedCovariance(t: Time, x?: Real[]): Matrix

- Defined in ql/legacy/libormarketmodels/lfmhullwhiteparam.ts:122
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

integratedCovariance1

integratedCovariance1(t: Time, x?: Real[]): Matrix

Inherited from LfmCovarianceParameterization.integratedCovariance1
- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:43
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

Protected nextIndexReset

nextIndexReset(t: Time): Size

- Defined in ql/legacy/libormarketmodels/lfmhullwhiteparam.ts:142
Parameters
- t: Time
Returns Size

size

size(): Size

Inherited from LfmCovarianceParameterization.size
- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:26
Returns Size