AbcdCalibration Class Reference

#include <ql/termstructures/volatility/abcdcalibration.hpp>

Collaboration diagram for AbcdCalibration:

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_

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.