QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <abcdcalibration.hpp>
Classes | |
class | AbcdError |
class | AbcdParametersTransformation |
Public Member Functions | |
AbcdCalibration ()=default | |
AbcdCalibration (const std::vector< Real > &t, const std::vector< Real > &blackVols, Real aGuess=-0.06, Real bGuess=0.17, Real cGuess=0.54, Real dGuess=0.17, bool aIsFixed=false, bool bIsFixed=false, bool cIsFixed=false, bool dIsFixed=false, bool vegaWeighted=false, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >()) | |
std::vector< Real > | k (const std::vector< Real > &t, const std::vector< Real > &blackVols) const |
adjustment factors needed to match Black vols More... | |
void | compute () |
Real | value (Real x) const |
Real | error () const |
Real | maxError () const |
Array | errors () const |
EndCriteria::Type | endCriteria () const |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () const |
Public Attributes | |
bool | aIsFixed_ |
bool | bIsFixed_ |
bool | cIsFixed_ |
bool | dIsFixed_ |
Real | a_ |
Real | b_ |
Real | c_ |
Real | d_ |
ext::shared_ptr< ParametersTransformation > | transformation_ |
Private Attributes | |
EndCriteria::Type | abcdEndCriteria_ |
ext::shared_ptr< EndCriteria > | endCriteria_ |
ext::shared_ptr< OptimizationMethod > | optMethod_ |
std::vector< Real > | weights_ |
bool | vegaWeighted_ |
std::vector< Real > | times_ |
Parameters. More... | |
std::vector< Real > | blackVols_ |
Definition at line 42 of file abcdcalibration.hpp.
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default |
AbcdCalibration | ( | const std::vector< Real > & | t, |
const std::vector< Real > & | blackVols, | ||
Real | aGuess = -0.06 , |
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Real | bGuess = 0.17 , |
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Real | cGuess = 0.54 , |
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Real | dGuess = 0.17 , |
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bool | aIsFixed = false , |
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bool | bIsFixed = false , |
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bool | cIsFixed = false , |
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bool | dIsFixed = false , |
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bool | vegaWeighted = false , |
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ext::shared_ptr< EndCriteria > | endCriteria = ext::shared_ptr<EndCriteria>() , |
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ext::shared_ptr< OptimizationMethod > | method = ext::shared_ptr<OptimizationMethod>() |
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std::vector< Real > k | ( | const std::vector< Real > & | t, |
const std::vector< Real > & | blackVols | ||
) | const |
adjustment factors needed to match Black vols
Definition at line 168 of file abcdcalibration.cpp.
void compute | ( | ) |
Definition at line 164 of file abcdcalibration.cpp.
Real error | ( | ) | const |
Definition at line 180 of file abcdcalibration.cpp.
Real maxError | ( | ) | const |
Definition at line 190 of file abcdcalibration.cpp.
Array errors | ( | ) | const |
Definition at line 200 of file abcdcalibration.cpp.
EndCriteria::Type endCriteria | ( | ) | const |
Definition at line 208 of file abcdcalibration.cpp.
Real a | ( | ) | const |
Real b | ( | ) | const |
Real c | ( | ) | const |
Real d | ( | ) | const |
bool aIsFixed_ |
Definition at line 112 of file abcdcalibration.hpp.
bool bIsFixed_ |
Definition at line 112 of file abcdcalibration.hpp.
bool cIsFixed_ |
Definition at line 112 of file abcdcalibration.hpp.
bool dIsFixed_ |
Definition at line 112 of file abcdcalibration.hpp.
Real a_ |
Definition at line 113 of file abcdcalibration.hpp.
Real b_ |
Definition at line 113 of file abcdcalibration.hpp.
Real c_ |
Definition at line 113 of file abcdcalibration.hpp.
Real d_ |
Definition at line 113 of file abcdcalibration.hpp.
ext::shared_ptr<ParametersTransformation> transformation_ |
Definition at line 114 of file abcdcalibration.hpp.
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mutableprivate |
Definition at line 117 of file abcdcalibration.hpp.
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private |
Definition at line 118 of file abcdcalibration.hpp.
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private |
Definition at line 119 of file abcdcalibration.hpp.
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mutableprivate |
Definition at line 120 of file abcdcalibration.hpp.
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private |
Definition at line 121 of file abcdcalibration.hpp.
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private |
Parameters.
Definition at line 123 of file abcdcalibration.hpp.
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private |
Definition at line 123 of file abcdcalibration.hpp.