CalibratedModel Class Reference

Calibrated model class. More...

#include <model.hpp>

Inheritance diagram for CalibratedModel:

Collaboration diagram for CalibratedModel:

Classes
class	PrivateConstraint

Public Member Functions
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
virtual void	generateArguments ()

Protected Attributes
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Calibrated model class.

Definition at line 86 of file model.hpp.

Constructor & Destructor Documentation

CalibratedModel()

CalibratedModel

(

Size

nArguments

)

Definition at line 32 of file model.cpp.

Member Function Documentation

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Reimplemented in Gsr, MarkovFunctional, and GridModelLocalVolSurface.

Definition at line 90 of file model.hpp.

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calibrate()

void calibrate ( const std::vector< ext::shared_ptr< CalibrationHelper > > &  instruments, OptimizationMethod &  method, const EndCriteria &  endCriteria, const Constraint &  constraint = Constraint(), const std::vector< Real > &  weights = std::vector<Real>(), const std::vector< bool > &  fixParameters = std::vector<bool>()  )

virtual

Calibrate to a set of market instruments (usually caps/swaptions)

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Reimplemented in MarkovFunctional.

Definition at line 75 of file model.cpp.

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value()

Real value	(	const Array &	params,
		const std::vector< ext::shared_ptr< CalibrationHelper > > &	instruments
	)

Definition at line 117 of file model.cpp.

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constraint()

const ext::shared_ptr< Constraint > & constraint

(

)

const

Definition at line 160 of file model.hpp.

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endCriteria()

EndCriteria::Type endCriteria

(

)

const

Returns end criteria result.

Definition at line 113 of file model.hpp.

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problemValues()

const Array & problemValues

(

)

const

Returns the problem values.

Definition at line 116 of file model.hpp.

params()

Array params

(

)

const

Returns array of arguments on which calibration is done.

Definition at line 126 of file model.cpp.

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setParams()

void setParams ( const Array &  params )

virtual

Reimplemented in LiborForwardModel.

Definition at line 138 of file model.cpp.

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functionEvaluation()

Integer functionEvaluation

(

)

const

Definition at line 122 of file model.hpp.

generateArguments()

virtual void generateArguments ( )

protectedvirtual

Reimplemented in GeneralizedHullWhite, VarianceGammaModel, BatesModel, GJRGARCHModel, HestonModel, ExtendedCoxIngersollRoss, Gsr, HullWhite, MarkovFunctional, G2, and GridModelLocalVolSurface.

Definition at line 125 of file model.hpp.

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Member Data Documentation

arguments_

std::vector<Parameter> arguments_

protected

Definition at line 126 of file model.hpp.

constraint_

ext::shared_ptr<Constraint> constraint_

protected

Definition at line 127 of file model.hpp.

shortRateEndCriteria_

EndCriteria::Type shortRateEndCriteria_ = EndCriteria::None

protected

Definition at line 128 of file model.hpp.

problemValues_

Array problemValues_

protected

Definition at line 129 of file model.hpp.

functionEvaluation_

Integer functionEvaluation_

protected

Definition at line 130 of file model.hpp.