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QuantLib_CalibratedModel
Langue: en
Version: 382431 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CalibratedModel -Calibrated model class.
SYNOPSIS
#include <ql/models/model.hpp>
Inherits QuantLib::Observer, and QuantLib::Observable.
Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel.
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)
Protected Member Functions
virtual void generateArguments ()
Protected Attributes
std::vector< Parameter > arguments_
boost::shared_ptr< Constraint > constraint_
EndCriteria::Type shortRateEndCriteria_
Friends
class CalibrationFunction
Detailed Description
Calibrated model class.
Member Function Documentation
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). An additional constraint can be passed which must be satisfied in addition to the constraints of the model.
Author
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