calibration helper for ATM swaption More...
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
Public Member Functions | |
SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0) | |
SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0) | |
SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0) | |
virtual void | addTimesTo (std::list< Time > ×) const |
virtual Real | modelValue () const |
returns the price of the instrument according to the model | |
virtual Real | blackPrice (Volatility volatility) const |
Black price given a volatility. | |
boost::shared_ptr< VanillaSwap > | underlyingSwap () const |
boost::shared_ptr< Swaption > | swaption () const |
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CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError) | |
Handle< Quote > | volatility () |
returns the volatility Handle | |
Real | marketValue () const |
returns the actual price of the instrument (from volatility) | |
virtual Real | calibrationError () |
returns the error resulting from the model valuation | |
Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
Black volatility implied by the model. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &engine) |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 () |
Additional Inherited Members | |
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enum | CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError } |
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virtual void | calculate () const |
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Real | marketValue_ |
Handle< Quote > | volatility_ |
Handle< YieldTermStructure > | termStructure_ |
boost::shared_ptr< PricingEngine > | engine_ |
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bool | calculated_ |
bool | frozen_ |
calibration helper for ATM swaption