CmsMarketCalibration Class Reference

#include <cmsmarketcalibration.hpp>

Collaboration diagram for CmsMarketCalibration:

Public Types
enum	CalibrationType { OnSpread , OnPrice , OnForwardCmsPrice }

Public Member Functions
	CmsMarketCalibration (Handle< SwaptionVolatilityStructure > &volCube, ext::shared_ptr< CmsMarket > &cmsMarket, const Matrix &weights, CalibrationType calibrationType)
Array	compute (const ext::shared_ptr< EndCriteria > &endCriteria, const ext::shared_ptr< OptimizationMethod > &method, const Array &guess, bool isMeanReversionFixed)
Matrix	compute (const ext::shared_ptr< EndCriteria > &endCriteria, const ext::shared_ptr< OptimizationMethod > &method, const Matrix &guess, bool isMeanReversionFixed, Real meanReversionGuess=Null< Real >())
Matrix	computeParametric (const ext::shared_ptr< EndCriteria > &endCriteria, const ext::shared_ptr< OptimizationMethod > &method, const Matrix &guess, bool isMeanReversionFixed, Real meanReversionGuess=Null< Real >())
Real	error () const
EndCriteria::Type	endCriteria ()

Static Public Member Functions
static Real	betaTransformInverse (Real beta)
static Real	betaTransformDirect (Real y)
static Real	reversionTransformInverse (Real reversion)
static Real	reversionTransformDirect (Real y)

Public Attributes
Handle< SwaptionVolatilityStructure >	volCube_
ext::shared_ptr< CmsMarket >	cmsMarket_
Matrix	weights_
CalibrationType	calibrationType_
Matrix	sparseSabrParameters_
Matrix	denseSabrParameters_
Matrix	browseCmsMarket_

Private Attributes
Real	error_
EndCriteria::Type	endCriteria_

Detailed Description

Definition at line 39 of file cmsmarketcalibration.hpp.

Member Enumeration Documentation

CalibrationType

enum CalibrationType

Enumerator
OnSpread
OnPrice
OnForwardCmsPrice

Definition at line 41 of file cmsmarketcalibration.hpp.

Constructor & Destructor Documentation

CmsMarketCalibration()

CmsMarketCalibration	(	Handle< SwaptionVolatilityStructure > &	volCube,
		ext::shared_ptr< CmsMarket > &	cmsMarket,
		const Matrix &	weights,
		CalibrationType	calibrationType
	)

Definition at line 312 of file cmsmarketcalibration.cpp.

Here is the call graph for this function:

Member Function Documentation

compute() [1/2]

Array compute	(	const ext::shared_ptr< EndCriteria > &	endCriteria,
		const ext::shared_ptr< OptimizationMethod > &	method,
		const Array &	guess,
		bool	isMeanReversionFixed
	)

Definition at line 331 of file cmsmarketcalibration.cpp.

Here is the call graph for this function:

compute() [2/2]

Matrix compute	(	const ext::shared_ptr< EndCriteria > &	endCriteria,
		const ext::shared_ptr< OptimizationMethod > &	method,
		const Matrix &	guess,
		bool	isMeanReversionFixed,
		Real	meanReversionGuess = Null<Real>()
	)

Definition at line 393 of file cmsmarketcalibration.cpp.

Here is the call graph for this function:

computeParametric()

Matrix computeParametric	(	const ext::shared_ptr< EndCriteria > &	endCriteria,
		const ext::shared_ptr< OptimizationMethod > &	method,
		const Matrix &	guess,
		bool	isMeanReversionFixed,
		Real	meanReversionGuess = Null<Real>()
	)

Definition at line 482 of file cmsmarketcalibration.cpp.

Here is the call graph for this function:

error()

Real error

(

)

const

Definition at line 72 of file cmsmarketcalibration.hpp.

endCriteria()

EndCriteria::Type endCriteria

(

)

Definition at line 73 of file cmsmarketcalibration.hpp.

Here is the caller graph for this function:

betaTransformInverse()

static Real betaTransformInverse ( Real  beta )

static

Definition at line 75 of file cmsmarketcalibration.hpp.

Here is the caller graph for this function:

betaTransformDirect()

static Real betaTransformDirect ( Real  y )

static

Definition at line 78 of file cmsmarketcalibration.hpp.

Here is the caller graph for this function:

reversionTransformInverse()

static Real reversionTransformInverse ( Real  reversion )

static

Definition at line 84 of file cmsmarketcalibration.hpp.

Here is the caller graph for this function:

reversionTransformDirect()

static Real reversionTransformDirect ( Real  y )

static

Definition at line 87 of file cmsmarketcalibration.hpp.

Here is the caller graph for this function:

Member Data Documentation

volCube_

Handle<SwaptionVolatilityStructure> volCube_

Definition at line 49 of file cmsmarketcalibration.hpp.

cmsMarket_

ext::shared_ptr<CmsMarket> cmsMarket_

Definition at line 50 of file cmsmarketcalibration.hpp.

weights_

Matrix weights_

Definition at line 51 of file cmsmarketcalibration.hpp.

calibrationType_

CalibrationType calibrationType_

Definition at line 52 of file cmsmarketcalibration.hpp.

sparseSabrParameters_

Matrix sparseSabrParameters_

Definition at line 53 of file cmsmarketcalibration.hpp.

denseSabrParameters_

Matrix denseSabrParameters_

Definition at line 53 of file cmsmarketcalibration.hpp.

browseCmsMarket_

Matrix browseCmsMarket_

Definition at line 53 of file cmsmarketcalibration.hpp.

error_

Real error_

private

Definition at line 92 of file cmsmarketcalibration.hpp.

endCriteria_

EndCriteria::Type endCriteria_

private

Definition at line 93 of file cmsmarketcalibration.hpp.