CalibrationConfiguration Class Reference

#include <ored/model/calibrationconfiguration.hpp>

Inheritance diagram for CalibrationConfiguration:

Collaboration diagram for CalibrationConfiguration:

Public Member Functions
	CalibrationConfiguration (QuantLib::Real rmseTolerance=0.0001, QuantLib::Size maxIterations=50)
	Constructor. More...
Inspectors
QuantLib::Real	rmseTolerance () const
	A final tolerance on the RMSE of the calibration that may be used by various builders. More...
QuantLib::Size	maxIterations () const
does not have a constraint, a
Return constraint for the parameter name. Currently, only boundary constraints are supported. If the parameter NoConstraint instance is returned.
QuantLib::ext::shared_ptr< QuantLib::Constraint >	constraint (const std::string &name) const
std::pair< QuantLib::Real, QuantLib::Real >	boundaries (const std::string &name) const
void	add (const std::string &name, QuantLib::Real lowerBound, QuantLib::Real upperBound)
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
QuantLib::Real	rmseTolerance_
QuantLib::Size	maxIterations_
std::map< std::string, std::pair< QuantLib::Real, QuantLib::Real > >	constraints_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Detailed Description

Class for holding calibration configuration details.

Definition at line 38 of file calibrationconfiguration.hpp.

Constructor & Destructor Documentation

CalibrationConfiguration()

CalibrationConfiguration	(	QuantLib::Real	rmseTolerance = 0.0001,
		QuantLib::Size	maxIterations = 50
	)

Constructor.

Definition at line 36 of file calibrationconfiguration.cpp.

    : rmseTolerance_(rmseTolerance), maxIterations_(maxIterations) {}

Member Function Documentation

rmseTolerance()

Real rmseTolerance

(

)

const

A final tolerance on the RMSE of the calibration that may be used by various builders.

Definition at line 39 of file calibrationconfiguration.cpp.

                                                   {
    return rmseTolerance_;
}

maxIterations()

Size maxIterations

(

)

const

High level maximum iterations. This may mean different to things to different builders. This is not the maximum number of iterations used by the EndCriteria for optimisation. If this is needed, this should be added in another XML object along with the other EndCriteria elements and included as a CalibrationConfiguration member.

Definition at line 43 of file calibrationconfiguration.cpp.

                                                   {
    return maxIterations_;
}

constraint()

QuantLib::ext::shared_ptr< Constraint > constraint

(

const std::string &

name

)

const

Definition at line 47 of file calibrationconfiguration.cpp.

                                                                                               {
    auto it = constraints_.find(name);
    if (it != constraints_.end()) {
        return QuantLib::ext::make_shared<BoundaryConstraint>(it->second.first, it->second.second);
    } else {
        return QuantLib::ext::make_shared<NoConstraint>();
    }
}

boundaries()

pair< Real, Real > boundaries

(

const std::string &

name

)

const

Return the boundaries for the parameter name.

If no boundaries have been given for parameter name, a pair with both elements set to Null<Real>() is returned.

Definition at line 56 of file calibrationconfiguration.cpp.

                                                                              {
    auto it = constraints_.find(name);
    if (it != constraints_.end()) {
        return it->second;
    } else {
        return make_pair(Null<Real>(), Null<Real>());
    }
}

add()

void add	(	const std::string &	name,
		QuantLib::Real	lowerBound,
		QuantLib::Real	upperBound
	)

Add a boundary constraint on the parameter name.

Definition at line 65 of file calibrationconfiguration.cpp.

                                                                                                       {
    QL_REQUIRE(lowerBound < upperBound, "CalibrationConfiguration: Lower bound (" << lowerBound <<
        ") must be less than upper bound (" << upperBound << ").");
    constraints_[name] = make_pair(lowerBound, upperBound);
    DLOG("Boundary constraint [" << lowerBound << "," << upperBound << "] added for parameter " << name << ".");
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 72 of file calibrationconfiguration.cpp.

                                                    {
    
    XMLUtils::checkNode(node, "CalibrationConfiguration");
    
    rmseTolerance_ = 0.0001;
    if (XMLNode* n = XMLUtils::getChildNode(node, "RmseTolerance")) {
        rmseTolerance_ = parseReal(XMLUtils::getNodeValue(n));
    }
 
    maxIterations_ = 50;
    if (XMLNode* n = XMLUtils::getChildNode(node, "MaxIterations")) {
        maxIterations_ = parseInteger(XMLUtils::getNodeValue(n));
    }
 
    XMLNode* constraintsNode = XMLUtils::getChildNode(node, "Constraints");
    for (XMLNode* cn = XMLUtils::getChildNode(constraintsNode); cn; cn = XMLUtils::getNextSibling(cn)) {
        
        // Only support boundary constraints for the moment.
        string constraintName = XMLUtils::getNodeName(cn);
        if (constraintName != "BoundaryConstraint") {
            DLOG("CalibrationConfiguration skipping constraint with name " << constraintName << ". Only " <<
                "BoundaryConstraint is currently supported.");
            continue;
        }
 
        auto name = XMLUtils::getAttribute(cn, "parameter");
        auto lowerBound = parseReal(XMLUtils::getChildValue(cn, "LowerBound", true));
        auto upperBound = parseReal(XMLUtils::getChildValue(cn, "UpperBound", true));
        add(name, lowerBound, upperBound);
    }
 
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 105 of file calibrationconfiguration.cpp.

                                                               {
 
    XMLNode* node = doc.allocNode("CalibrationConfiguration");
 
    XMLUtils::addChild(doc, node, "RmseTolerance", rmseTolerance_);
    XMLUtils::addChild(doc, node, "MaxIterations", static_cast<int>(maxIterations_));
 
    XMLNode* constraintsNode = doc.allocNode("Constraints");
    for (const auto& kv : constraints_) {
        XMLNode* n = doc.allocNode("BoundaryConstraint");
        XMLUtils::addChild(doc, n, "LowerBound", kv.second.first);
        XMLUtils::addChild(doc, n, "UpperBound", kv.second.second);
        XMLUtils::addAttribute(doc, n, "parameter", kv.first);
        XMLUtils::appendNode(constraintsNode, n);
    }
    XMLUtils::appendNode(node, constraintsNode);
 
    return node;
}

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Member Data Documentation

rmseTolerance_

QuantLib::Real rmseTolerance_

protected

Definition at line 82 of file calibrationconfiguration.hpp.

maxIterations_

QuantLib::Size maxIterations_

protected

Definition at line 83 of file calibrationconfiguration.hpp.

constraints_

std::map<std::string, std::pair<QuantLib::Real, QuantLib::Real> > constraints_

protected

Definition at line 84 of file calibrationconfiguration.hpp.