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ConstantFactorLoading Class Reference

#include <FactorLoading.h>

Inheritance diagram for ConstantFactorLoading:

List of all members.

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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 UTRRealMatrix &	getCorrelationMatrix ()
const RealArray1D &	getVols () const
Real	sigma (int i, Real t) const
Real	integral_sgi_sgj_rhoij (int i, int j, Real t, Real T) const
const UTRRealMatrix &	correlationMatrixRoot ()
const RealMatrix &	correlationMatrixRankReducedRoot (int r)
std::ostream &	printSelf (std::ostream &os) const

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Constructor & Destructor Documentation

ConstantFactorLoading::ConstantFactorLoading (  int    dim, const RealArray1D &    vols, const UTRRealMatrix &    rho )  [inline]

Parameters: 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.

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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 . Parameters: 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 Parameters: 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.

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

• FactorLoading.h

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