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ConstantFactorLoading Class Reference

#include <FactorLoading.h>

Inheritance diagram for ConstantFactorLoading:

FactorLoading List of all members.

Detailed Description

FactorLoading with constant volatilities and correlations .

Definition at line 196 of file FactorLoading.h.

Public Member Functions

 ConstantFactorLoading (int dim, const RealArray1D &vols, const UTRRealMatrix &rho)
virtual ~ConstantFactorLoading ()
Real rho (int i, int j) const
const UTRRealMatrixgetCorrelationMatrix ()
const RealArray1DgetVols () const
Real sigma (int i, Real t) const
Real integral_sgi_sgj_rhoij (int i, int j, Real t, Real T) const
const UTRRealMatrixcorrelationMatrixRoot ()
const RealMatrixcorrelationMatrixRankReducedRoot (int r)
std::ostream & printSelf (std::ostream &os) const

Constructor & Destructor Documentation

ConstantFactorLoading::ConstantFactorLoading int    dim,
const RealArray1D   vols,
const UTRRealMatrix   rho

dim dimension
vols constant volatilities .
rho constant instantaneous correlations .of ..

Definition at line 207 of file FactorLoading.h.

References rho().

virtual ConstantFactorLoading::~ConstantFactorLoading   [inline, virtual]

Definition at line 210 of file FactorLoading.h.

Member Function Documentation

Real ConstantFactorLoading::rho int    i,
int    j
const [virtual]

Instantaneous correlation of increments.

Implements FactorLoading.

Referenced by ConstantFactorLoading().

const UTRRealMatrix& ConstantFactorLoading::getCorrelationMatrix   [inline]

The instantaneous correlations of returns Y_j.

Definition at line 220 of file FactorLoading.h.

const RealArray1D& ConstantFactorLoading::getVols   const [inline]

The asset volatilities.

Definition at line 223 of file FactorLoading.h.

Real ConstantFactorLoading::sigma int    i,
Real    t
const [virtual]

Volatility of .

i components of .
t continuous time.

Implements FactorLoading.

Real ConstantFactorLoading::integral_sgi_sgj_rhoij int    i,
int    j,
Real    t,
Real    T
const [virtual]

The integral

i,j components of .
t,T continuous times.

Implements FactorLoading.

const UTRRealMatrix& ConstantFactorLoading::correlationMatrixRoot  

Upper triangular root of the matrix of instantaneous correlations, Cholesky factorization.

const RealMatrix& ConstantFactorLoading::correlationMatrixRankReducedRoot int    r

Rank r approximate pseudo square root of the matrix of instantaneous correlations. See book, Appendix A.1. This is used to run a low factor approximation to a dynamics based on this factor loading.

std::ostream& ConstantFactorLoading::printSelf std::ostream &    os const [virtual]

String containing a message indicating what type of factor loading it is, all the parameter values.

Implements FactorLoading.

The documentation for this class was generated from the following file:
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