QuantLib_CalibratedModel (3) - Linux Manuals

QuantLib_CalibratedModel: Calibrated model class.

NAME

QuantLib::CalibratedModel - Calibrated model class.

SYNOPSIS

#include <ql/models/model.hpp>

Inherits QuantLib::Observer, and QuantLib::Observable.

Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel.

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 &params, 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 &params)

Protected Member Functions

virtual void generateArguments ()

Protected Attributes

std::vector< Parameter > arguments_

boost::shared_ptr< Constraint > constraint_

EndCriteria::Type shortRateEndCriteria_

Friends

class CalibrationFunction

Detailed Description

Calibrated model class.

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(), 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.

Author

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