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

Inheritance diagram for CTSMMCapletOriginalCalibration:

Collaboration diagram for CTSMMCapletOriginalCalibration:

Public Member Functions
	CTSMMCapletOriginalCalibration (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 > &alpha, bool lowestRoot, bool useFullApprox)

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	calibrationFunction (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 > &alpha, bool lowestRoot, bool useFullApprox, Size numberOfFactors, 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, Real) override

Private Attributes
std::vector< Real >	alpha_

bool	lowestRoot_

bool	useFullApprox_

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 28 of file capletcoterminalswaptioncalibration.hpp.

Constructor & Destructor Documentation

◆ CTSMMCapletOriginalCalibration()

CTSMMCapletOriginalCalibration	(	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 > &	alpha,
		bool	lowestRoot,
		bool	useFullApprox
	)

Definition at line 28 of file capletcoterminalswaptioncalibration.cpp.

Member Function Documentation

◆ calibrationFunction()

Natural calibrationFunction	(	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 > &	alpha,
		bool	lowestRoot,
		bool	useFullApprox,
		Size	numberOfFactors,
		std::vector< Matrix > &	swapCovariancePseudoRoots
	)