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QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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This is the complete list of members for CTSMMCapletAlphaFormCalibration, including all inherited members.
| a_ | CTSMMCapletAlphaFormCalibration | private |
| alpha() const | CTSMMCapletAlphaFormCalibration | |
| alpha_ | CTSMMCapletAlphaFormCalibration | private |
| alphaInitial_ | CTSMMCapletAlphaFormCalibration | private |
| alphaMax_ | CTSMMCapletAlphaFormCalibration | private |
| alphaMin_ | CTSMMCapletAlphaFormCalibration | private |
| b_ | CTSMMCapletAlphaFormCalibration | private |
| calibrate(Natural numberOfFactors, Natural maxIterations, Real tolerance, Natural innerMaxIterations=100, Real innerTolerance=1e-8) | CTSMMCapletCalibration | |
| calibrated_ | CTSMMCapletCalibration | protected |
| calibrationImpl_(Natural numberOfFactors, Natural maxIterations, Real tolerance) override | CTSMMCapletAlphaFormCalibration | privatevirtual |
| capletAlphaFormCalibration(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 > &alphaInitial, const std::vector< Real > &alphaMax, const std::vector< Real > &alphaMin, bool maximizeHomogeneity, const ext::shared_ptr< AlphaForm > ¶metricForm, Size numberOfFactors, Integer steps, Real toleranceForAlphaSolving, std::vector< Real > &alpha, std::vector< Real > &a, std::vector< Real > &b, std::vector< Matrix > &swapCovariancePseudoRoots) | CTSMMCapletAlphaFormCalibration | static |
| capletMaxError() const | CTSMMCapletCalibration | |
| capletMaxError_ | CTSMMCapletCalibration | protected |
| capletRmsError() const | CTSMMCapletCalibration | |
| capletRmsError_ | CTSMMCapletCalibration | protected |
| corr_ | CTSMMCapletCalibration | protected |
| cs_ | CTSMMCapletCalibration | protected |
| CTSMMCapletAlphaFormCalibration(const EvolutionDescription &evolution, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const ext::shared_ptr< CurveState > &cs, Spread displacement, const std::vector< Real > &alphaInitial, const std::vector< Real > &alphaMax, const std::vector< Real > &alphaMin, bool maximizeHomogeneity, ext::shared_ptr< AlphaForm > parametricForm=ext::shared_ptr< AlphaForm >()) | CTSMMCapletAlphaFormCalibration | |
| CTSMMCapletCalibration(EvolutionDescription evolution, ext::shared_ptr< PiecewiseConstantCorrelation > corr, std::vector< ext::shared_ptr< PiecewiseConstantVariance > > displacedSwapVariances, std::vector< Volatility > mktCapletVols, ext::shared_ptr< CurveState > cs, Spread displacement) | CTSMMCapletCalibration | |
| curveState() const | CTSMMCapletCalibration | |
| deformationSize() const | CTSMMCapletCalibration | |
| deformationSize_ | CTSMMCapletCalibration | protected |
| displacedSwapVariances_ | CTSMMCapletCalibration | protected |
| displacement_ | CTSMMCapletCalibration | protected |
| displacements() const | CTSMMCapletCalibration | |
| evolution_ | CTSMMCapletCalibration | protected |
| failures() const | CTSMMCapletCalibration | |
| failures_ | CTSMMCapletCalibration | protected |
| maximizeHomogeneity_ | CTSMMCapletAlphaFormCalibration | private |
| mdlCapletVols() const | CTSMMCapletCalibration | |
| mdlCapletVols_ | CTSMMCapletCalibration | protected |
| mdlSwaptionVols() const | CTSMMCapletCalibration | |
| mdlSwaptionVols_ | CTSMMCapletCalibration | protected |
| mktCapletVols() const | CTSMMCapletCalibration | |
| mktCapletVols_ | CTSMMCapletCalibration | protected |
| mktSwaptionVols() const | CTSMMCapletCalibration | |
| mktSwaptionVols_ | CTSMMCapletCalibration | protected |
| numberOfRates_ | CTSMMCapletCalibration | protected |
| parametricForm_ | CTSMMCapletAlphaFormCalibration | private |
| performChecks(const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &mktCapletVols, const CurveState &cs) | CTSMMCapletCalibration | static |
| swapCovariancePseudoRoots_ | CTSMMCapletCalibration | protected |
| swapPseudoRoot(Size i) const | CTSMMCapletCalibration | |
| swapPseudoRoots() const | CTSMMCapletCalibration | |
| swaptionMaxError() const | CTSMMCapletCalibration | |
| swaptionMaxError_ | CTSMMCapletCalibration | protected |
| swaptionRmsError() const | CTSMMCapletCalibration | |
| swaptionRmsError_ | CTSMMCapletCalibration | protected |
| timeDependentCalibratedSwaptionVols(Size i) const | CTSMMCapletCalibration | |
| timeDependentCalibratedSwaptionVols_ | CTSMMCapletCalibration | protected |
| timeDependentUnCalibratedSwaptionVols(Size i) const | CTSMMCapletCalibration | |
| usedCapletVols_ | CTSMMCapletCalibration | protected |
| ~CTSMMCapletCalibration()=default | CTSMMCapletCalibration | virtual |