#include <ql/models/marketmodels/models/capletcoterminalmaxhomogeneity.hpp>
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| CTSMMCapletMaxHomogeneityCalibration (const EvolutionDescription &evolution, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const ext::shared_ptr< CurveState > &cs, Spread displacement, Real caplet0Swaption1Priority=1.0) |
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virtual | ~CTSMMCapletCalibration ()=default |
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| CTSMMCapletCalibration (EvolutionDescription evolution, ext::shared_ptr< PiecewiseConstantCorrelation > corr, std::vector< ext::shared_ptr< PiecewiseConstantVariance > > displacedSwapVariances, std::vector< Volatility > mktCapletVols, ext::shared_ptr< CurveState > cs, Spread displacement) |
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bool | calibrate (Natural numberOfFactors, Natural maxIterations, Real tolerance, Natural innerMaxIterations=100, Real innerTolerance=1e-8) |
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Natural | failures () const |
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Real | deformationSize () const |
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Real | capletRmsError () const |
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Real | capletMaxError () const |
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Real | swaptionRmsError () const |
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Real | swaptionMaxError () const |
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const std::vector< Matrix > & | swapPseudoRoots () const |
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const Matrix & | swapPseudoRoot (Size i) const |
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const std::vector< Volatility > & | mktCapletVols () const |
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const std::vector< Volatility > & | mdlCapletVols () const |
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const std::vector< Volatility > & | mktSwaptionVols () const |
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const std::vector< Volatility > & | mdlSwaptionVols () const |
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const std::vector< Volatility > & | timeDependentCalibratedSwaptionVols (Size i) const |
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const std::vector< Volatility > & | timeDependentUnCalibratedSwaptionVols (Size i) const |
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const ext::shared_ptr< CurveState > & | curveState () const |
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std::vector< Spread > | displacements () const |
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static Natural | capletMaxHomogeneityCalibration (const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const CurveState &cs, Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size maxIterations, Real tolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots) |
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static void | performChecks (const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &mktCapletVols, const CurveState &cs) |
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◆ CTSMMCapletMaxHomogeneityCalibration()
◆ capletMaxHomogeneityCalibration()
Natural capletMaxHomogeneityCalibration |
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const EvolutionDescription & |
evolution, |
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const PiecewiseConstantCorrelation & |
corr, |
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const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & |
displacedSwapVariances, |
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const std::vector< Volatility > & |
capletVols, |
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const CurveState & |
cs, |
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Spread |
displacement, |
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Real |
caplet0Swaption1Priority, |
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Size |
numberOfFactors, |
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Size |
maxIterations, |
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Real |
tolerance, |
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Real & |
deformationSize, |
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Real & |
totalSwaptionError, |
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std::vector< Matrix > & |
swapCovariancePseudoRoots |
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static |
◆ calibrationImpl_()
◆ caplet0Swaption1Priority_
Real caplet0Swaption1Priority_ |
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private |
◆ totalSwaptionError_