Calibrated model class with linkable parameters. More...

#include <qle/models/linkablecalibratedmodel.hpp>

Inheritance diagram for LinkableCalibratedModel:

Classes
class	PrivateConstraint
	Linkable Calibrated Model. More...

Public Member Functions
void	update () override
virtual void	calibrate (const std::vector< QuantLib::ext::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 (usually caps/swaptions).
virtual void	calibrate (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &, 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 >())
	for backward compatibility
Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &)
Real	value (const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility
const QuantLib::ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Array	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)
virtual void	setParam (Size idx, const Real value)

Protected Member Functions
virtual void	generateArguments ()

Protected Attributes
std::vector< QuantLib::ext::shared_ptr< Parameter > >	arguments_
QuantLib::ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	endCriteria_
Array	problemValues_

Friends
class	CalibrationFunction

Detailed Description

Calibrated model class with linkable parameters.

Member Function Documentation

virtual void calibrate	(	const std::vector< QuantLib::ext::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 (usually caps/swaptions).

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