QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | Protected Attributes | Friends | List of all members
CalibratedModel Class Reference

Calibrated model class. More...

#include <ql/models/model.hpp>

+ Inheritance diagram for CalibratedModel:

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 (caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr
< Constraint > & 
constraint () const
 
EndCriteria::Type endCriteria ()
 returns end criteria result
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

virtual void generateArguments ()
 

Protected Attributes

std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 

Friends

class CalibrationFunction
 

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.

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 (caps/swaptions)

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Reimplemented in MarkovFunctional.