Calibrated model class. More...
#include <ql/models/model.hpp>
Public Member Functions | |
CalibratedModel (Size nArguments) | |
void | update () |
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 >()) |
Calibrate to a set of market instruments (caps/swaptions) | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
virtual void | generateArguments () |
Protected Attributes | |
std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Friends | |
class | CalibrationFunction |
Calibrated model class.
void calibrate | ( | const std::vector< boost::shared_ptr< CalibrationHelper > > & | , |
OptimizationMethod & | method, | ||
const EndCriteria & | endCriteria, | ||
const Constraint & | constraint = Constraint() , |
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const std::vector< Real > & | weights = std::vector< Real >() |
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) |
Calibrate to a set of market instruments (caps/swaptions)
An additional constraint can be passed which must be satisfied in addition to the constraints of the model.