Model Parameters

Parameter Term Structure Types

DiffFusion.ParameterTermstructure — Type

abstract type ParameterTermstructure <: Termstructure end

An abstract generic parameter term structure that provides methods to retrieve parameter values for various incarnations of signatures.

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DiffFusion.PiecewiseFlatParameter — Type

abstract type PiecewiseFlatParameter <: ParameterTermstructure end

A generic vector-valued model parameter term structure with piece-wise constant interpolation and constant extrapolation.

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DiffFusion.BackwardFlatParameter — Type

struct BackwardFlatParameter <: PiecewiseFlatParameter
    alias::String
    times::AbstractVector
    values::AbstractMatrix
end

A generic vector-valued model parameter term structure with piece-wise constant backward-flat interpolation and constant extrapolation.

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DiffFusion.backward_flat_parameter — Function

backward_flat_parameter(
     alias::String,
     times::AbstractVector,
     values::AbstractMatrix,
     )

Create a BackwardFlatParameter object for vector-valued parameters.

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backward_flat_parameter(
    alias::String,
    times::AbstractVector,
    values::AbstractVector,
    )

Create a BackwardFlatParameter object for scalar parameters.

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DiffFusion.flat_parameter — Function

flat_parameter(value::ModelValue)

Create a constant BackwardFlatParameter object.

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flat_parameter(alias::String, value::ModelValue)

Create a constant BackwardFlatParameter object.

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flat_parameter(value::AbstractVector)

Create a constant BackwardFlatParameter object.

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flat_parameter(alias::String, value::AbstractVector)

Create a constant BackwardFlatParameter object.

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DiffFusion.ForwardFlatParameter — Type

struct ForwardFlatParameter <: PiecewiseFlatParameter
    alias::String
    times::AbstractVector
    values::AbstractMatrix
end

A generic vector-valued model parameter term structure with piece-wise constant forward-flat interpolation and constant extrapolation.

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DiffFusion.forward_flat_parameter — Function

forward_flat_parameter(
    alias::String,
    times::AbstractVector,
    values::AbstractMatrix,
    )

Create a ForwardFlatParameter object for vector-valued parameters.

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forward_flat_parameter(
    alias::String,
    times::AbstractVector,
    values::AbstractVector,
    )

Create a ForwardFlatParameter object for scalar parameters.

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DiffFusion.time_idx — Method

time_idx(ts::BackwardFlatParameter, t)

Find the index such that T[idx-1] < t <= T[idx]. If t is larger than the last (or all) times T then return length(T)+1.

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Functions

Call operator for ParameterTermstructure is defined as

(ts::ParameterTermstructure)(args...) = value(ts, args...)

DiffFusion.value — Function

value(ts::ParameterTermstructure, result_size::TermstructureResultSize = TermstructureVector)

Return a value for constant/time-homogeneous parameters.

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value(ts::ParameterTermstructure, t::ModelTime, result_size::TermstructureResultSize = TermstructureVector)

Return a value for a given observation time t.

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value(ts::PiecewiseFlatParameter, result_size::TermstructureResultSize = TermstructureVector)

Return a value for constant/time-homogeneous parameters.

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value(ts::PiecewiseFlatParameter, t::ModelTime, result_size::TermstructureResultSize = TermstructureVector)

Return a value for a given observation time t.

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DiffFusion.time_idx — Method

time_idx(ts::ForwardFlatParameter, t)

Find the index such that T[idx] >= t > T[idx+1]. If t is smaller than the first (or all) times T then return 0.

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