LiborForwardModel | quantlib.js

Libor forward model

References:

Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf

test the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing

Hierarchy

CalibratedModelAffineModel
- LiborForwardModel

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new LiborForwardModel(process: LiborForwardModelProcess, volaModel: LmVolatilityModel, corrModel: LmCorrelationModel): LiborForwardModel

- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:38
Parameters
- process: LiborForwardModelProcess
- volaModel: LmVolatilityModel
- corrModel: LmCorrelationModel
Returns LiborForwardModel

Properties

Protected _accrualPeriod

_accrualPeriod: Time[]

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

Protected _covarProxy

_covarProxy: LfmCovarianceProxy

Protected _f

_f: Real[]

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

Protected _process

_process: LiborForwardModelProcess

_shortRateEndCriteria

_shortRateEndCriteria: Type

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: CalibrationHelperBase[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: BlackCalibrationHelper[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

- (nArguments: Size): CalibratedModel
- Parameters
  - nArguments: Size
  Returns CalibratedModel

constraint

constraint: () => Constraint

Type declaration

- (): Constraint
- Returns Constraint

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

discountBondOption2

discountBondOption2: (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time) => Real

Type declaration

- (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time): Real
- Parameters
  - type: Type
  - strike: Real
  - maturity: Time
  - bondStart: Time
  - bondMaturity: Time
  Returns Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

functionEvaluation

functionEvaluation: () => Integer

Type declaration

- (): Integer
- Returns Integer

generateArguments

generateArguments: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

params

params: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

problemValues

problemValues: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

Protected swaptionVola

swaptionVola: SwaptionVolatilityMatrix

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

- (params: Real[], instruments: CalibrationHelperBase[]): Real
- Parameters
  - params: Real[]
  - instruments: CalibrationHelperBase[]
  Returns Real

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

- (params: Real[], instruments: BlackCalibrationHelper[]): Real
- Parameters
  - params: Real[]
  - instruments: BlackCalibrationHelper[]
  Returns Real

Methods

S_0

S_0(alpha: Size, beta: Size): Rate

- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:61
Parameters
- alpha: Size
- beta: Size
Returns Rate

discount

discount(t: Time): DiscountFactor

Overrides CalibratedModelAffineModel.discount
- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:127
Parameters
- t: Time
Returns DiscountFactor

discountBond

discountBond(now: Time, maturity: Time, factors: Real[]): Real

- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:134
Parameters
- now: Time
- maturity: Time
- factors: Real[]
Returns Real

discountBond1

discountBond1(now: Time, maturity: Time, factors: Real[]): Real

Inherited from CalibratedModelAffineModel.discountBond1
- Defined in mixins/ql/models/calibratedmodelaffinemodel.ts:38
Parameters
- now: Time
- maturity: Time
- factors: Real[]
Returns Real

discountBondOption1

discountBondOption1(type: Type, strike: Real, maturity: Time, bondMaturity: Time): Real

Overrides CalibratedModelAffineModel.discountBondOption1
- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:138
Parameters
- type: Type
- strike: Real
- maturity: Time
- bondMaturity: Time
Returns Real

getSwaptionVolatilityMatrix

getSwaptionVolatilityMatrix(): SwaptionVolatilityMatrix

- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:75
Returns SwaptionVolatilityMatrix

setParams

setParams(params: Real[]): void

Overrides CalibratedModelAffineModel.setParams
- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:178
Parameters
- params: Real[]
Returns void

update

update(): void

Inherited from CalibratedModelAffineModel.update
- Defined in mixins/ql/models/calibratedmodelaffinemodel.ts:30
Returns void

Protected w_0

w_0(alpha: Size, beta: Size): Real[]

- Defined in ql/legacy/libormarketmodels/liborforwardmodel.ts:190
Parameters
- alpha: Size
- beta: Size
Returns Real[]

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

process: LiborForwardModelProcess

volaModel: LmVolatilityModel

corrModel: LmCorrelationModel

Returns LiborForwardModel

Properties

Protected _accrualPeriod

_arguments

_constraint

Protected _covarProxy

Protected _f

_functionEvaluation

_isDisposed

_observables

_observers

_problemValues

Protected _process

_shortRateEndCriteria

calibrate1

Type declaration

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

calibrate2

Type declaration

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint

Type declaration

Returns Constraint

deepUpdate

Type declaration

Returns void

discountBondOption2

Type declaration

Parameters

type: Type

strike: Real

maturity: Time

bondStart: Time

bondMaturity: Time

Returns Real

dispose

Type declaration

Returns void

endCriteria

Type declaration

Returns Type

functionEvaluation

Type declaration

Returns Integer

generateArguments

Type declaration

Returns void

isDisposed

notifyObservers