21#ifndef quantlib_ctsmm_caplet_original_calibration_hpp
22#define quantlib_ctsmm_caplet_original_calibration_hpp
32 const ext::shared_ptr<PiecewiseConstantCorrelation>& corr,
33 const std::vector<ext::shared_ptr<
35 displacedSwapVariances,
36 const std::vector<Volatility>& capletVols,
37 const ext::shared_ptr<CurveState>& cs,
39 const std::vector<Real>&
alpha,
46 const std::vector<ext::shared_ptr<
48 displacedSwapVariances,
49 const std::vector<Volatility>& capletVols,
53 const std::vector<Real>&
alpha,
61 std::vector<Matrix>& swapCovariancePseudoRoots);
Natural calibrationImpl_(Natural numberOfFactors, Natural, Real) override
std::vector< Real > alpha_
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)
Curve state for market-model simulations
Market-model evolution description.
unsigned QL_INTEGER Natural
positive integer
Real Spread
spreads on interest rates
std::size_t Size
size of a container