28#include <ql/time/daycounters/actualactual.hpp>
29#include <ql/types.hpp>
30#include <ql/math/optimization/levenbergmarquardt.hpp>
53 QuantLib::ext::shared_ptr<OptimizationMethod>
optimizationMethod = QuantLib::ext::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
54 EndCriteria
endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
56 BlackCalibrationHelper::CalibrationErrorType
calibrationErrorType = BlackCalibrationHelper::RelativePriceError)
64 std::vector<std::string>
optionExpiries = std::vector<std::string>(),
65 std::vector<std::string>
optionStrikes = std::vector<std::string>(),
66 QuantLib::ext::shared_ptr<OptimizationMethod>
optimizationMethod = QuantLib::ext::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
67 EndCriteria
endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
69 BlackCalibrationHelper::CalibrationErrorType
calibrationErrorType = BlackCalibrationHelper::RelativePriceError,
COM Schwartz Model Parameters.
ParamType & kappaParamType()
bool operator!=(const CommoditySchwartzData &rhs)
BlackCalibrationHelper::CalibrationErrorType calibrationErrorType_
CalibrationType & calibrationType()
CommoditySchwartzData(std::string name, std::string currency, CalibrationType calibrationType, bool calibrateSigma, Real sigma, bool calibrateKappa, Real kappa, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), QuantLib::ext::shared_ptr< OptimizationMethod > optimizationMethod=QuantLib::ext::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError, bool driftFreeState=false)
Detailed constructor.
std::vector< std::string > & optionStrikes()
void fromXML(XMLNode *node)
CalibrationType calibrationType_
ParamType & sigmaParamType()
EndCriteria & endCriteria()
CommoditySchwartzData(bool driftFreeState=false, QuantLib::ext::shared_ptr< OptimizationMethod > optimizationMethod=QuantLib::ext::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError)
Default constructor.
std::vector< std::string > optionExpiries_
XMLNode * toXML(XMLDocument &doc)
QuantLib::ext::shared_ptr< OptimizationMethod > optimizationMethod_
BlackCalibrationHelper::CalibrationErrorType calibrationErrorType()
std::vector< std::string > & optionExpiries()
bool operator==(const CommoditySchwartzData &rhs)
QuantLib::ext::shared_ptr< OptimizationMethod > & optimizationMethod()
Constraint & constraint()
std::vector< std::string > optionStrikes_
Small XML Document wrapper class.
Currency and instrument specific conventions/defaults.
Linear Gauss Markov model data.
CalibrationType
Supported calibration types.
ParamType
Supported calibration parameter type.
Serializable Credit Default Swap.