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Public Member Functions | Static Public Member Functions | Private Member Functions | Private Attributes | List of all members
CTSMMCapletMaxHomogeneityCalibration Class Reference

#include <ql/models/marketmodels/models/capletcoterminalmaxhomogeneity.hpp>

+ Inheritance diagram for CTSMMCapletMaxHomogeneityCalibration:
+ Collaboration diagram for CTSMMCapletMaxHomogeneityCalibration:

Public Member Functions

 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)
 
- Public Member Functions inherited from CTSMMCapletCalibration
virtual ~CTSMMCapletCalibration ()=default
 
 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)
 
bool calibrate (Natural numberOfFactors, Natural maxIterations, Real tolerance, Natural innerMaxIterations=100, Real innerTolerance=1e-8)
 
Natural failures () const
 
Real deformationSize () const
 
Real capletRmsError () const
 
Real capletMaxError () const
 
Real swaptionRmsError () const
 
Real swaptionMaxError () const
 
const std::vector< Matrix > & swapPseudoRoots () const
 
const MatrixswapPseudoRoot (Size i) const
 
const std::vector< Volatility > & mktCapletVols () const
 
const std::vector< Volatility > & mdlCapletVols () const
 
const std::vector< Volatility > & mktSwaptionVols () const
 
const std::vector< Volatility > & mdlSwaptionVols () const
 
const std::vector< Volatility > & timeDependentCalibratedSwaptionVols (Size i) const
 
const std::vector< Volatility > & timeDependentUnCalibratedSwaptionVols (Size i) const
 
const ext::shared_ptr< CurveState > & curveState () const
 
std::vector< Spreaddisplacements () const
 

Static Public Member Functions

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)
 
- Static Public Member Functions inherited from CTSMMCapletCalibration
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)
 

Private Member Functions

Natural calibrationImpl_ (Natural numberOfFactors, Natural maxIterations, Real tolerance) override
 

Private Attributes

Real caplet0Swaption1Priority_
 
Real totalSwaptionError_
 

Additional Inherited Members

virtual Natural calibrationImpl_ (Natural numberOfFactors, Natural innerMaxIterations, Real innerTolerance)=0
 
- Protected Attributes inherited from CTSMMCapletCalibration
EvolutionDescription evolution_
 
ext::shared_ptr< PiecewiseConstantCorrelationcorr_
 
std::vector< ext::shared_ptr< PiecewiseConstantVariance > > displacedSwapVariances_
 
std::vector< VolatilitymktCapletVols_
 
std::vector< VolatilitymdlCapletVols_
 
std::vector< VolatilitymktSwaptionVols_
 
std::vector< VolatilitymdlSwaptionVols_
 
std::vector< std::vector< Volatility > > timeDependentCalibratedSwaptionVols_
 
ext::shared_ptr< CurveStatecs_
 
Spread displacement_
 
Size numberOfRates_
 
std::vector< VolatilityusedCapletVols_
 
bool calibrated_
 
Natural failures_
 
Real deformationSize_
 
Real capletRmsError_
 
Real capletMaxError_
 
Real swaptionRmsError_
 
Real swaptionMaxError_
 
std::vector< MatrixswapCovariancePseudoRoots_
 

Detailed Description

Definition at line 28 of file capletcoterminalmaxhomogeneity.hpp.

Constructor & Destructor Documentation

◆ CTSMMCapletMaxHomogeneityCalibration()

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 
)

Definition at line 246 of file capletcoterminalmaxhomogeneity.cpp.

Member Function Documentation

◆ capletMaxHomogeneityCalibration()

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 
)
static

Definition at line 267 of file capletcoterminalmaxhomogeneity.cpp.

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◆ calibrationImpl_()

Natural calibrationImpl_ ( Natural  numberOfFactors,
Natural  maxIterations,
Real  tolerance 
)
overrideprivatevirtual

Implements CTSMMCapletCalibration.

Definition at line 398 of file capletcoterminalmaxhomogeneity.cpp.

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Member Data Documentation

◆ caplet0Swaption1Priority_

Real caplet0Swaption1Priority_
private

Definition at line 62 of file capletcoterminalmaxhomogeneity.hpp.

◆ totalSwaptionError_

Real totalSwaptionError_
private

Definition at line 64 of file capletcoterminalmaxhomogeneity.hpp.