Calibrated model class with linkable parameters. More...

#include <qle/models/linkablecalibratedmodel.hpp>

Inheritance diagram for LinkableCalibratedModel:

Collaboration diagram for LinkableCalibratedModel:

Classes
class	PrivateConstraint
	Linkable Calibrated Model. More...

Public Member Functions
	LinkableCalibratedModel ()

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) More...

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 More...

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 More...

const QuantLib::ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

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.

Definition at line 40 of file linkablecalibratedmodel.hpp.

Constructor & Destructor Documentation

◆ LinkableCalibratedModel()

LinkableCalibratedModel ( )

Definition at line 30 of file linkablecalibratedmodel.cpp.

31 : constraint_(new PrivateConstraint(arguments_)), endCriteria_(EndCriteria::None) {}

QuantExt::LinkableCalibratedModel::arguments_

std::vector< QuantLib::ext::shared_ptr< Parameter > > arguments_

Definition: linkablecalibratedmodel.hpp:85

QuantExt::LinkableCalibratedModel::constraint_

QuantLib::ext::shared_ptr< Constraint > constraint_

Definition: linkablecalibratedmodel.hpp:86

QuantExt::LinkableCalibratedModel::endCriteria_

EndCriteria::Type endCriteria_

Definition: linkablecalibratedmodel.hpp:87

Member Function Documentation

◆ update()

void update ( )

override

Definition at line 44 of file linkablecalibratedmodel.hpp.

                           {
        generateArguments();
        notifyObservers();
    }

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◆ calibrate() [1/2]

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.

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◆ calibrate() [2/2]

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 >()`
	)

virtual

for backward compatibility

◆ value() [1/2]

Real value	(	const Array &	params,
		const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &
	)

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◆ value() [2/2]

Real value	(	const Array &	params,
		const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &	instruments
	)

for backward compatibility

Definition at line 109 of file linkablecalibratedmodel.cpp.

                                                                                                               {
    vector<ext::shared_ptr<CalibrationHelper> > tmp(instruments.size());
    for (Size i = 0; i < instruments.size(); ++i)
        tmp[i] = ext::static_pointer_cast<CalibrationHelper>(instruments[i]);
    return value(params, tmp);
}

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◆ constraint()

const QuantLib::ext::shared_ptr< Constraint > & constraint ( ) const

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◆ endCriteria()

EndCriteria::Type endCriteria ( ) const

Returns end criteria result.

Definition at line 72 of file linkablecalibratedmodel.hpp.

72{ return endCriteria_; }

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◆ problemValues()

const Array & problemValues ( ) const

Returns the problem values.

Definition at line 75 of file linkablecalibratedmodel.hpp.

75{ return problemValues_; }

QuantExt::LinkableCalibratedModel::problemValues_

Array problemValues_

Definition: linkablecalibratedmodel.hpp:88

◆ params()

Array params ( ) const

Returns array of arguments on which calibration is done.

Definition at line 124 of file linkablecalibratedmodel.cpp.

                                            {
    Size size = 0, i;
    for (i = 0; i < arguments_.size(); i++)
        size += arguments_[i]->size();
    Array params(size);
    Size k = 0;
    for (i = 0; i < arguments_.size(); i++) {
        for (Size j = 0; j < arguments_[i]->size(); j++, k++) {
            params[k] = arguments_[i]->params()[j];
        }
    }
    return params;
}

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◆ setParams()

void setParams ( const Array & params )

virtual

Definition at line 138 of file linkablecalibratedmodel.cpp.

                                                           {
    Array::const_iterator p = params.begin();
    for (Size i = 0; i < arguments_.size(); ++i) {
        for (Size j = 0; j < arguments_[i]->size(); ++j, ++p) {
            QL_REQUIRE(p != params.end(), "parameter array too small");
            arguments_[i]->setParam(j, *p);
        }
    }
    QL_REQUIRE(p == params.end(), "parameter array too big!");
    generateArguments();
    notifyObservers();
}

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◆ setParam()

void setParam	(	Size	idx,
		const Real	value
	)

virtual

Definition at line 151 of file linkablecalibratedmodel.cpp.

                                                                 {
    int tmp = static_cast<int>(idx);
    for (Size i = 0; i < arguments_.size(); ++i) {
        for (Size j = 0; j < arguments_[i]->size(); ++j) {
            if (tmp-- == 0)
                arguments_[i]->setParam(j, value);
        }
    }
    generateArguments();
    notifyObservers();
}