QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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capletcoterminalswaptioncalibration.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Mark Joshi
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#ifndef quantlib_ctsmm_caplet_original_calibration_hpp
22#define quantlib_ctsmm_caplet_original_calibration_hpp
23
25
26namespace QuantLib {
27
29 public:
31 const EvolutionDescription& evolution,
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,
38 Spread displacement,
39 const std::vector<Real>& alpha,
40 bool lowestRoot,
41 bool useFullApprox);
42 // actual calibration function
44 const EvolutionDescription& evolution,
46 const std::vector<ext::shared_ptr<
48 displacedSwapVariances,
49 const std::vector<Volatility>& capletVols,
50 const CurveState& cs,
51 Spread displacement,
52
53 const std::vector<Real>& alpha,
54 bool lowestRoot,
55 bool useFullApprox,
56
57 Size numberOfFactors,
58 //Size maxIterations,
59 //Real tolerance,
60
61 std::vector<Matrix>& swapCovariancePseudoRoots);
62 private:
63 Natural calibrationImpl_(Natural numberOfFactors, Natural, Real) override;
64 // input
65 std::vector<Real> alpha_;
67 };
68
69}
70
71#endif
Natural calibrationImpl_(Natural numberOfFactors, Natural, Real) override
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
Definition: curvestate.hpp:41
Market-model evolution description.
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Spread
spreads on interest rates
Definition: types.hpp:74
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Real alpha
Definition: sabr.cpp:200