calibrationError (3) - Linux Manuals

calibrationError: liquid market instrument used during calibration

NAME

QuantLib::CalibrationHelper - liquid market instrument used during calibration

SYNOPSIS

#include <ql/models/calibrationhelper.hpp>

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

Inherited by CapHelper, HestonModelHelper, and SwaptionHelper.

Public Member Functions

CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false)

void update ()

Real marketValue () const
returns the actual price of the instrument (from volatility)
virtual Real modelValue () const =0
returns the price of the instrument according to the model
virtual Real calibrationError ()
returns the error resulting from the model valuation
virtual void addTimesTo (std::list< Time > &times) const =0

Volatility impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
Black volatility implied by the model.
virtual Real blackPrice (Volatility volatility) const =0
Black price given a volatility.
void setPricingEngine (const boost::shared_ptr< PricingEngine > &engine)

Protected Attributes

Real marketValue_

Handle< Quote > volatility_

Handle< YieldTermStructure > termStructure_

boost::shared_ptr< PricingEngine > engine_

Detailed Description

liquid market instrument used during calibration

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.

Author

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