QuantLib_CalibratedModel man page

CalibratedModel — Calibrated model class.

Synopsis

#include <ql/models/model.hpp>

Inherits Observer, and Observable.

Inherited by GJRGARCHModel, GridModelLocalVolSurface, Gsr, HestonModel, LiborForwardModel, MarkovFunctional, PiecewiseTimeDependentHestonModel, ShortRateModel, and VarianceGammaModel.

Public Member Functions

CalibratedModel (Size nArguments)

void update ()

virtual 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 >(), const std::vector< bool > &fixParameters=std::vector< bool >())
Calibrate to a set of market instruments (usually caps/swaptions)
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)

const boost::shared_ptr< Constraint > & constraint () const

EndCriteria::Type endCriteria () const
Returns end criteria result.
const Array & problemValues () const
Returns the problem values.
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_

Array problemValues_

Friends

class CalibrationFunction

Additional Inherited Members

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.

Reimplemented in MarkovFunctional, and Gsr.

virtual 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 >(), const std::vector< bool > & fixParameters = std::vector< bool >()) [virtual]

Calibrate to a set of market instruments (usually caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Reimplemented in MarkovFunctional.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

arguments_(3), calibrate(3), CalibratedModel(3), CalibrationFunction(3), constraint(3), constraint_(3), params(3), problemValues(3), problemValues_(3), setParams(3) and shortRateEndCriteria_(3) are aliases of QuantLib_CalibratedModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib