QuantLib_CalibrationHelper man page

CalibrationHelper — liquid market instrument used during calibration


#include <ql/models/calibrationhelper.hpp>

Inherits LazyObject.

Inherited by CapHelper, HestonModelHelper, and SwaptionHelper.

Public Types

enum CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError }

Public Member Functions

CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

void performCalculations () const

Handle< Quote > volatility ()
returns the volatility Handle
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 or Bachelier 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_

const VolatilityType volatilityType_

const Real shift_

Additional Inherited Members

Detailed Description

liquid market instrument used during calibration

Member Function Documentation

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Reimplemented in HestonModelHelper.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

addTimesTo(3), blackPrice(3), calibrationError(3), CalibrationHelper(3), engine_(3), marketValue(3), marketValue_(3), modelValue(3), setPricingEngine(3), shift_(3), volatility_(3) and volatilityType_(3) are aliases of QuantLib_CalibrationHelper(3).

QuantLib Version 1.8.1 Fri Sep 23 2016