QuantLib: a free/open-source library for quantitative finance
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Classes | Public Member Functions | Public Attributes | Private Attributes | List of all members
AbcdCalibration Class Reference

#include <abcdcalibration.hpp>

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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< Realk (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< ParametersTransformationtransformation_
 

Private Attributes

EndCriteria::Type abcdEndCriteria_
 
ext::shared_ptr< EndCriteriaendCriteria_
 
ext::shared_ptr< OptimizationMethodoptMethod_
 
std::vector< Realweights_
 
bool vegaWeighted_
 
std::vector< Realtimes_
 Parameters. More...
 
std::vector< RealblackVols_
 

Detailed Description

Definition at line 42 of file abcdcalibration.hpp.

Constructor & Destructor Documentation

◆ AbcdCalibration() [1/2]

AbcdCalibration ( )
default

◆ AbcdCalibration() [2/2]

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>() 
)

Definition at line 56 of file abcdcalibration.cpp.

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Member Function Documentation

◆ k()

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.

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◆ compute()

void compute ( )

Definition at line 101 of file abcdcalibration.cpp.

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◆ value()

Real value ( Real  x) const

Definition at line 164 of file abcdcalibration.cpp.

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◆ error()

Real error ( ) const

Definition at line 180 of file abcdcalibration.cpp.

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◆ maxError()

Real maxError ( ) const

Definition at line 190 of file abcdcalibration.cpp.

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◆ errors()

Array errors ( ) const

Definition at line 200 of file abcdcalibration.cpp.

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◆ endCriteria()

EndCriteria::Type endCriteria ( ) const

Definition at line 208 of file abcdcalibration.cpp.

◆ a()

Real a ( ) const

Definition at line 108 of file abcdcalibration.hpp.

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◆ b()

Real b ( ) const

Definition at line 109 of file abcdcalibration.hpp.

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◆ c()

Real c ( ) const

Definition at line 110 of file abcdcalibration.hpp.

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◆ d()

Real d ( ) const

Definition at line 111 of file abcdcalibration.hpp.

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Member Data Documentation

◆ aIsFixed_

bool aIsFixed_

Definition at line 112 of file abcdcalibration.hpp.

◆ bIsFixed_

bool bIsFixed_

Definition at line 112 of file abcdcalibration.hpp.

◆ cIsFixed_

bool cIsFixed_

Definition at line 112 of file abcdcalibration.hpp.

◆ dIsFixed_

bool dIsFixed_

Definition at line 112 of file abcdcalibration.hpp.

◆ a_

Real a_

Definition at line 113 of file abcdcalibration.hpp.

◆ b_

Real b_

Definition at line 113 of file abcdcalibration.hpp.

◆ c_

Real c_

Definition at line 113 of file abcdcalibration.hpp.

◆ d_

Real d_

Definition at line 113 of file abcdcalibration.hpp.

◆ transformation_

ext::shared_ptr<ParametersTransformation> transformation_

Definition at line 114 of file abcdcalibration.hpp.

◆ abcdEndCriteria_

EndCriteria::Type abcdEndCriteria_
mutableprivate

Definition at line 117 of file abcdcalibration.hpp.

◆ endCriteria_

ext::shared_ptr<EndCriteria> endCriteria_
private

Definition at line 118 of file abcdcalibration.hpp.

◆ optMethod_

ext::shared_ptr<OptimizationMethod> optMethod_
private

Definition at line 119 of file abcdcalibration.hpp.

◆ weights_

std::vector<Real> weights_
mutableprivate

Definition at line 120 of file abcdcalibration.hpp.

◆ vegaWeighted_

bool vegaWeighted_
private

Definition at line 121 of file abcdcalibration.hpp.

◆ times_

std::vector<Real> times_
private

Parameters.

Definition at line 123 of file abcdcalibration.hpp.

◆ blackVols_

std::vector<Real> blackVols_
private

Definition at line 123 of file abcdcalibration.hpp.