Class CIR

• Defined in File lcir.hpp

Inheritance Relationships

Base Type

• public otyca::LCIR (Class LCIR)

Class Documentation

class CIR : public otyca::LCIR

Represents a CIR (Cox-Ingersoll-Ross) process.

The CIR class models a Cox-Ingersoll-Ross (CIR) process

Public Functions

inline CIR()

inline CIR(double Kappa, double Omega, double V0, double sigma)

inline virtual CIR *clone() const

Clone the current TimeChangeProcess instance.

Returns:

A pointer to a newly allocated copy of the TimeChangeProcess object.

virtual std::vector<double> transformation_derivatives() const override

Get derivatives of the transformation with respect to the raw parameters.

Used for Jacobian computation during calibration.

Returns:

A vector of derivatives (default: all 1).

virtual void set_transformed_calibration_parameters(const std::vector<double> &in)

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

inline virtual void set_parameters(const std::vector<double> &parameters)

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

inline virtual int sigma_parameter_index() const override

virtual std::vector<double> get_transformed_calibration_parameters() const

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::vector<double> get_transformed_calibration_parameter_variances() const

inline virtual std::vector<double> get_parameters() const

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

inline virtual std::string name() const

Get the model’s name.

Returns:

A string representing the name of the model.

inline virtual std::vector<std::string> get_parameter_names() const

Get the names of the model parameters.

Default implementation assigns names as “p1”, “p2”, etc.

Returns:

A vector of parameter names.

inline virtual std::vector<arma::cx_mat> d_phi_d_p(const arma::rowvec &t, const arma::cx_colvec &u, const arma::cx_colvec &psi) const

Compute the derivative of the Laplace transform with respect to parameters.

This method computes the derivative of the Laplace transform with respect to its parameters and stores the result in d_phi_d_params.

Parameters:

• t – The time vector for which the Laplace transform is computed.

• u – Complex-valued column vector of Fourier arguments.

• psi – The characteristic exponent.

Returns:

The vector to store the derivatives with respect to parameters.