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

Inheritance diagram for CTSMMCapletAlphaFormCalibration:

Collaboration diagram for CTSMMCapletAlphaFormCalibration:

Public Member Functions
	CTSMMCapletAlphaFormCalibration (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, const std::vector< Real > &alphaInitial, const std::vector< Real > &alphaMax, const std::vector< Real > &alphaMin, bool maximizeHomogeneity, ext::shared_ptr< AlphaForm > parametricForm=ext::shared_ptr< AlphaForm >())

const std::vector< Real > &	alpha () const

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 Matrix &	swapPseudoRoot (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< Spread >	displacements () const

Static Public Member Functions
static Natural	capletAlphaFormCalibration (const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const CurveState &cs, Spread displacement, const std::vector< Real > &alphaInitial, const std::vector< Real > &alphaMax, const std::vector< Real > &alphaMin, bool maximizeHomogeneity, const ext::shared_ptr< AlphaForm > &parametricForm, Size numberOfFactors, Integer steps, Real toleranceForAlphaSolving, std::vector< Real > &alpha, std::vector< Real > &a, std::vector< Real > &b, 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
std::vector< Real >	alphaInitial_

std::vector< Real >	alphaMax_

std::vector< Real >	alphaMin_

bool	maximizeHomogeneity_

ext::shared_ptr< AlphaForm >	parametricForm_

std::vector< Real >	alpha_

std::vector< Real >	a_

std::vector< Real >	b_

Additional Inherited Members
virtual Natural	calibrationImpl_ (Natural numberOfFactors, Natural innerMaxIterations, Real innerTolerance)=0

Protected Attributes inherited from CTSMMCapletCalibration
EvolutionDescription	evolution_

ext::shared_ptr< PiecewiseConstantCorrelation >	corr_

std::vector< ext::shared_ptr< PiecewiseConstantVariance > >	displacedSwapVariances_

std::vector< Volatility >	mktCapletVols_

std::vector< Volatility >	mdlCapletVols_

std::vector< Volatility >	mktSwaptionVols_

std::vector< Volatility >	mdlSwaptionVols_

std::vector< std::vector< Volatility > >	timeDependentCalibratedSwaptionVols_

ext::shared_ptr< CurveState >	cs_

Spread	displacement_

Size	numberOfRates_

std::vector< Volatility >	usedCapletVols_

bool	calibrated_

Natural	failures_

Real	deformationSize_

Real	capletRmsError_

Real	capletMaxError_

Real	swaptionRmsError_

Real	swaptionMaxError_

std::vector< Matrix >	swapCovariancePseudoRoots_

Detailed Description

Definition at line 30 of file capletcoterminalalphacalibration.hpp.

Constructor & Destructor Documentation

◆ CTSMMCapletAlphaFormCalibration()

CTSMMCapletAlphaFormCalibration	(	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,
		const std::vector< Real > &	alphaInitial,
		const std::vector< Real > &	alphaMax,
		const std::vector< Real > &	alphaMin,
		bool	maximizeHomogeneity,
		ext::shared_ptr< AlphaForm >	parametricForm = `ext::shared_ptr<AlphaForm>()`
	)

Definition at line 31 of file capletcoterminalalphacalibration.cpp.

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Member Function Documentation

◆ alpha()

const std::vector< Real > & alpha ( ) const

Definition at line 83 of file capletcoterminalalphacalibration.hpp.

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◆ capletAlphaFormCalibration()

Natural capletAlphaFormCalibration	(	const EvolutionDescription &	evolution,
		const PiecewiseConstantCorrelation &	corr,
		const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	displacedSwapVariances,
		const std::vector< Volatility > &	capletVols,
		const CurveState &	cs,
		Spread	displacement,
		const std::vector< Real > &	alphaInitial,
		const std::vector< Real > &	alphaMax,
		const std::vector< Real > &	alphaMin,
		bool	maximizeHomogeneity,
		const ext::shared_ptr< AlphaForm > &	parametricForm,
		Size	numberOfFactors,
		Integer	steps,
		Real	toleranceForAlphaSolving,
		std::vector< Real > &	alpha,
		std::vector< Real > &	a,
		std::vector< Real > &	b,
		std::vector< Matrix > &	swapCovariancePseudoRoots
	)