QuantLib_CalibrationHelper man page

CalibrationHelper — liquid market instrument used during calibration  

Synopsis

#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 () const
returns the volatility Handle
VolatilityType volatilityType () const
returns the volatility type
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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib