Class FLCIR

Inheritance Relationships

Base Type

Class Documentation

class FLCIR : public otyca::LCIR

Represents a CIR (Cox-Ingersoll-Ross) process with leverage but without term dependency, which means the current value of the process is always the same as the long-term mean level.

Public Functions

inline FLCIR()
inline FLCIR(double Omega, double Rho, double Sigma)
inline virtual FLCIR *clone() const

Clone the current TimeChangeProcess instance.

Returns:

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

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

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

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_parameters() const

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

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).

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

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

virtual std::vector<double> get_transformed_calibration_parameter_variances() const
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 int sigma_parameter_index() const override
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.