template class xf::fintech::VModel

#include "v_model.hpp"

Overview

Vasicek model for Tree Engine.

Parameters:

DT	data type supported include float and double
Tree	class TrinomialTree
LEN2	maximum length of node of tree, which affects the latency and resources utilization.

template <
    typename DT,
    typename Tree,
    int LEN2
    >
class VModel

Methods

initialization

void initialization (
    DT r,
    DT spread,
    DT a,
    DT sigma,
    DT b
    )

initialize parameters

Parameters:

r	floating benchmark annual interest rate
spread	spreads on interest rates
a	initial volatility of stock.
sigma	the volatility of volatility.
b	the short-rate follows an stochastic process with mean b.

discount

DT discount (
    DT t,
    DT dt,
    DT* x,
    DT r
    )

calculate the discount after time dt

Parameters:

t	the current timepoint
dt	the difference between the next timepoint and the current timepoint
x	underlying
r	shortrate

Returns:

discount

treeShortRate

void treeShortRate (
    Tree& tree,
    int endCnt,
    DT* time,
    DT* dtime,
    DT tmp_values1 [3][LEN2],
    DT tmp_values2 [3][LEN2],
    DT* statePrices,
    DT* rates
    )

calcutate short-rate of dt at t for TreeEngine

Parameters:

tree	class TrinomialTree
endCnt	end counter of timepoints
time	array timepoints
dtime	array the difference between the next timepoint and the current timepoint
tmp_values1	process values
tmp_values2	process values
statePrices	state prices
rates	array short-rates