DemoVasicekDynamics

yieldcurve.cpp

void DemoVasicekDynamics()
{
  Real b=0.1; //long term rate
    Real lambda = 0.0; //risk parameter
    Real r0=0.05; //spot interest rate
  Real a=0.1; //speed of mean reversion
	Real sigma=0.01; //vol. parameter

    std::vector<std::vector<double>> xAxisVecs,yAxisVecs;
    std::vector<std::string> curveTitleVec;
	
    for (double a=0.02;a<=0.15;a=a+0.02) //move variable a
    {
      std::vector<double> xAxis;
      std::vector<double> yAxis;
	  boost::shared_ptr<Vasicek> modelVaiscek(new Vasicek(r0,a,b,sigma,lambda));
      for (double endTime=0;endTime<=20;endTime=endTime+0.5) //move time
      {
        double x=endTime;
        double bondPrice1=modelVaiscek->discountBond(0,endTime,r0);
        double dx=0.01;
        double bondPrice2=modelVaiscek->discountBond(0,endTime+dx,r0);
        double y=(std::log(bondPrice1)-std::log(bondPrice2))/dx;
        std::cout << "x=" << x << " y="  << y << std::endl;  
        xAxis.push_back(x);
        yAxis.push_back(y);
      }
      
      std::stringstream oss;
      oss << a ;
      std::string tmp =  oss.str();
      std::string legend="a="+tmp;
      xAxisVecs.push_back(xAxis);
      yAxisVecs.push_back(yAxis);
      curveTitleVec.push_back(legend);
    }
    PlotGraph(xAxisVecs,yAxisVecs,curveTitleVec);
}


int main(int, char* []) {

    try {

        boost::timer timer;
        std::cout << std::endl;
        DemoVasicekDynamics();
        
      return 0;
    } catch (std::exception& e) {
        std::cout << e.what() << std::endl;
        return 1;
    } catch (...) {
        std::cout << "unknown error" << std::endl;
        return 1;
    }
}