CalibratedModel Class Reference
#include <ql/models/model.hpp>
Inheritance diagram for CalibratedModel:
Detailed Description
Calibrated model class.Public Member Functions | |
| CalibratedModel (Size nArguments) | |
| void | update () |
| void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) |
| Calibrate to a set of market instruments (caps/swaptions). | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
|
const boost::shared_ptr < Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () |
| returns end criteria result | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
Protected Member Functions | |
| virtual void | generateArguments () |
Protected Attributes | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
Friends | |
| class | CalibrationFunction |
Member Function Documentation
| void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
| void calibrate | ( | const std::vector< boost::shared_ptr< CalibrationHelper > > & | , | |
| OptimizationMethod & | method, | |||
| const EndCriteria & | endCriteria, | |||
| const Constraint & | constraint = Constraint(), |
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| const std::vector< Real > & | weights = std::vector< Real >() | |||
| ) |
Calibrate to a set of market instruments (caps/swaptions).
An additional constraint can be passed which must be satisfied in addition to the constraints of the model.