QuantLib_CalibratedModel man page

CalibratedModel — Calibrated model class.  


#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)
Integer functionEvaluation () const

Protected Member Functions

virtual void generateArguments ()

Protected Attributes

std::vector< Parameter > arguments_
boost::shared_ptr< Constraint > constraint_
EndCriteria::Type shortRateEndCriteria_
Array problemValues_
Integer functionEvaluation_


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.


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Referenced By

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

Mon Apr 30 2018 Version 1.12.1 QuantLib