QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/marketmodels/models/ctsmmcapletcalibration.hpp>
Public Member Functions | |
virtual | ~CTSMMCapletCalibration ()=default |
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) | |
bool | calibrate (Natural numberOfFactors, Natural maxIterations, Real tolerance, Natural innerMaxIterations=100, Real innerTolerance=1e-8) |
Natural | failures () const |
Real | deformationSize () const |
Real | capletRmsError () const |
Real | capletMaxError () const |
Real | swaptionRmsError () const |
Real | swaptionMaxError () const |
const std::vector< Matrix > & | swapPseudoRoots () const |
const Matrix & | swapPseudoRoot (Size i) const |
const std::vector< Volatility > & | mktCapletVols () const |
const std::vector< Volatility > & | mdlCapletVols () const |
const std::vector< Volatility > & | mktSwaptionVols () const |
const std::vector< Volatility > & | mdlSwaptionVols () const |
const std::vector< Volatility > & | timeDependentCalibratedSwaptionVols (Size i) const |
const std::vector< Volatility > & | timeDependentUnCalibratedSwaptionVols (Size i) const |
const ext::shared_ptr< CurveState > & | curveState () const |
std::vector< Spread > | displacements () const |
Static Public Member Functions | |
static void | performChecks (const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &mktCapletVols, const CurveState &cs) |
Protected Member Functions | |
virtual Natural | calibrationImpl_ (Natural numberOfFactors, Natural innerMaxIterations, Real innerTolerance)=0 |
Protected Attributes | |
EvolutionDescription | evolution_ |
ext::shared_ptr< PiecewiseConstantCorrelation > | corr_ |
std::vector< ext::shared_ptr< PiecewiseConstantVariance > > | displacedSwapVariances_ |
std::vector< Volatility > | mktCapletVols_ |
std::vector< Volatility > | mdlCapletVols_ |
std::vector< Volatility > | mktSwaptionVols_ |
std::vector< Volatility > | mdlSwaptionVols_ |
std::vector< std::vector< Volatility > > | timeDependentCalibratedSwaptionVols_ |
ext::shared_ptr< CurveState > | cs_ |
Spread | displacement_ |
Size | numberOfRates_ |
std::vector< Volatility > | usedCapletVols_ |
bool | calibrated_ |
Natural | failures_ |
Real | deformationSize_ |
Real | capletRmsError_ |
Real | capletMaxError_ |
Real | swaptionRmsError_ |
Real | swaptionMaxError_ |
std::vector< Matrix > | swapCovariancePseudoRoots_ |
Definition at line 35 of file ctsmmcapletcalibration.hpp.
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virtualdefault |
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 | ||
) |
bool calibrate | ( | Natural | numberOfFactors, |
Natural | maxIterations, | ||
Real | tolerance, | ||
Natural | innerMaxIterations = 100 , |
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Real | innerTolerance = 1e-8 |
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) |
Definition at line 121 of file ctsmmcapletcalibration.cpp.
Natural failures | ( | ) | const |
Definition at line 137 of file ctsmmcapletcalibration.hpp.
Real deformationSize | ( | ) | const |
Definition at line 142 of file ctsmmcapletcalibration.hpp.
Real capletRmsError | ( | ) | const |
Definition at line 147 of file ctsmmcapletcalibration.hpp.
Real capletMaxError | ( | ) | const |
Definition at line 152 of file ctsmmcapletcalibration.hpp.
Real swaptionRmsError | ( | ) | const |
Definition at line 157 of file ctsmmcapletcalibration.hpp.
Real swaptionMaxError | ( | ) | const |
Definition at line 162 of file ctsmmcapletcalibration.hpp.
const std::vector< Matrix > & swapPseudoRoots | ( | ) | const |
Definition at line 168 of file ctsmmcapletcalibration.hpp.
Definition at line 174 of file ctsmmcapletcalibration.hpp.
const std::vector< Volatility > & mktCapletVols | ( | ) | const |
Definition at line 116 of file ctsmmcapletcalibration.hpp.
const std::vector< Volatility > & mdlCapletVols | ( | ) | const |
Definition at line 121 of file ctsmmcapletcalibration.hpp.
const std::vector< Volatility > & mktSwaptionVols | ( | ) | const |
Definition at line 127 of file ctsmmcapletcalibration.hpp.
const std::vector< Volatility > & mdlSwaptionVols | ( | ) | const |
Definition at line 132 of file ctsmmcapletcalibration.hpp.
const std::vector< Volatility > & timeDependentCalibratedSwaptionVols | ( | Size | i | ) | const |
Definition at line 60 of file ctsmmcapletcalibration.cpp.
const std::vector< Volatility > & timeDependentUnCalibratedSwaptionVols | ( | Size | i | ) | const |
Definition at line 51 of file ctsmmcapletcalibration.cpp.
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Definition at line 68 of file ctsmmcapletcalibration.cpp.
const ext::shared_ptr< CurveState > & curveState | ( | ) | const |
Definition at line 183 of file ctsmmcapletcalibration.hpp.
std::vector< Spread > displacements | ( | ) | const |
Definition at line 188 of file ctsmmcapletcalibration.hpp.
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protectedpure virtual |
Implemented in CTSMMCapletAlphaFormCalibration, CTSMMCapletMaxHomogeneityCalibration, and CTSMMCapletOriginalCalibration.
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Definition at line 90 of file ctsmmcapletcalibration.hpp.
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Definition at line 91 of file ctsmmcapletcalibration.hpp.
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Definition at line 93 of file ctsmmcapletcalibration.hpp.
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Definition at line 95 of file ctsmmcapletcalibration.hpp.
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Definition at line 95 of file ctsmmcapletcalibration.hpp.
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Definition at line 96 of file ctsmmcapletcalibration.hpp.
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Definition at line 96 of file ctsmmcapletcalibration.hpp.
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Definition at line 97 of file ctsmmcapletcalibration.hpp.
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Definition at line 99 of file ctsmmcapletcalibration.hpp.
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Definition at line 100 of file ctsmmcapletcalibration.hpp.
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Definition at line 101 of file ctsmmcapletcalibration.hpp.
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Definition at line 103 of file ctsmmcapletcalibration.hpp.
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Definition at line 105 of file ctsmmcapletcalibration.hpp.
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Definition at line 106 of file ctsmmcapletcalibration.hpp.
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Definition at line 107 of file ctsmmcapletcalibration.hpp.
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Definition at line 108 of file ctsmmcapletcalibration.hpp.
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Definition at line 108 of file ctsmmcapletcalibration.hpp.
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Definition at line 109 of file ctsmmcapletcalibration.hpp.
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Definition at line 109 of file ctsmmcapletcalibration.hpp.
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Definition at line 110 of file ctsmmcapletcalibration.hpp.