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Public Member Functions | Static Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
CTSMMCapletCalibration Class Referenceabstract

#include <ql/models/marketmodels/models/ctsmmcapletcalibration.hpp>

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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 MatrixswapPseudoRoot (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< Spreaddisplacements () 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< PiecewiseConstantCorrelationcorr_
 
std::vector< ext::shared_ptr< PiecewiseConstantVariance > > displacedSwapVariances_
 
std::vector< VolatilitymktCapletVols_
 
std::vector< VolatilitymdlCapletVols_
 
std::vector< VolatilitymktSwaptionVols_
 
std::vector< VolatilitymdlSwaptionVols_
 
std::vector< std::vector< Volatility > > timeDependentCalibratedSwaptionVols_
 
ext::shared_ptr< CurveStatecs_
 
Spread displacement_
 
Size numberOfRates_
 
std::vector< VolatilityusedCapletVols_
 
bool calibrated_
 
Natural failures_
 
Real deformationSize_
 
Real capletRmsError_
 
Real capletMaxError_
 
Real swaptionRmsError_
 
Real swaptionMaxError_
 
std::vector< MatrixswapCovariancePseudoRoots_
 

Detailed Description

Definition at line 35 of file ctsmmcapletcalibration.hpp.

Constructor & Destructor Documentation

◆ ~CTSMMCapletCalibration()

virtual ~CTSMMCapletCalibration ( )
virtualdefault

◆ CTSMMCapletCalibration()

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 
)

Definition at line 34 of file ctsmmcapletcalibration.cpp.

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Member Function Documentation

◆ calibrate()

bool calibrate ( Natural  numberOfFactors,
Natural  maxIterations,
Real  tolerance,
Natural  innerMaxIterations = 100,
Real  innerTolerance = 1e-8 
)

Definition at line 121 of file ctsmmcapletcalibration.cpp.

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◆ failures()

Natural failures ( ) const

Definition at line 137 of file ctsmmcapletcalibration.hpp.

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◆ deformationSize()

Real deformationSize ( ) const

Definition at line 142 of file ctsmmcapletcalibration.hpp.

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◆ capletRmsError()

Real capletRmsError ( ) const

Definition at line 147 of file ctsmmcapletcalibration.hpp.

◆ capletMaxError()

Real capletMaxError ( ) const

Definition at line 152 of file ctsmmcapletcalibration.hpp.

◆ swaptionRmsError()

Real swaptionRmsError ( ) const

Definition at line 157 of file ctsmmcapletcalibration.hpp.

◆ swaptionMaxError()

Real swaptionMaxError ( ) const

Definition at line 162 of file ctsmmcapletcalibration.hpp.

◆ swapPseudoRoots()

const std::vector< Matrix > & swapPseudoRoots ( ) const

Definition at line 168 of file ctsmmcapletcalibration.hpp.

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◆ swapPseudoRoot()

const Matrix & swapPseudoRoot ( Size  i) const

Definition at line 174 of file ctsmmcapletcalibration.hpp.

◆ mktCapletVols()

const std::vector< Volatility > & mktCapletVols ( ) const

Definition at line 116 of file ctsmmcapletcalibration.hpp.

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◆ mdlCapletVols()

const std::vector< Volatility > & mdlCapletVols ( ) const

Definition at line 121 of file ctsmmcapletcalibration.hpp.

◆ mktSwaptionVols()

const std::vector< Volatility > & mktSwaptionVols ( ) const

Definition at line 127 of file ctsmmcapletcalibration.hpp.

◆ mdlSwaptionVols()

const std::vector< Volatility > & mdlSwaptionVols ( ) const

Definition at line 132 of file ctsmmcapletcalibration.hpp.

◆ timeDependentCalibratedSwaptionVols()

const std::vector< Volatility > & timeDependentCalibratedSwaptionVols ( Size  i) const

Definition at line 60 of file ctsmmcapletcalibration.cpp.

◆ timeDependentUnCalibratedSwaptionVols()

const std::vector< Volatility > & timeDependentUnCalibratedSwaptionVols ( Size  i) const

Definition at line 51 of file ctsmmcapletcalibration.cpp.

◆ performChecks()

void performChecks ( const EvolutionDescription evolution,
const PiecewiseConstantCorrelation corr,
const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &  displacedSwapVariances,
const std::vector< Volatility > &  mktCapletVols,
const CurveState cs 
)
static

Definition at line 68 of file ctsmmcapletcalibration.cpp.

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◆ curveState()

const ext::shared_ptr< CurveState > & curveState ( ) const

Definition at line 183 of file ctsmmcapletcalibration.hpp.

◆ displacements()

std::vector< Spread > displacements ( ) const

Definition at line 188 of file ctsmmcapletcalibration.hpp.

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◆ calibrationImpl_()

virtual Natural calibrationImpl_ ( Natural  numberOfFactors,
Natural  innerMaxIterations,
Real  innerTolerance 
)
protectedpure virtual

Implemented in CTSMMCapletAlphaFormCalibration, CTSMMCapletMaxHomogeneityCalibration, and CTSMMCapletOriginalCalibration.

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Member Data Documentation

◆ evolution_

EvolutionDescription evolution_
protected

Definition at line 90 of file ctsmmcapletcalibration.hpp.

◆ corr_

ext::shared_ptr<PiecewiseConstantCorrelation> corr_
protected

Definition at line 91 of file ctsmmcapletcalibration.hpp.

◆ displacedSwapVariances_

std::vector<ext::shared_ptr<PiecewiseConstantVariance> > displacedSwapVariances_
protected

Definition at line 93 of file ctsmmcapletcalibration.hpp.

◆ mktCapletVols_

std::vector<Volatility> mktCapletVols_
protected

Definition at line 95 of file ctsmmcapletcalibration.hpp.

◆ mdlCapletVols_

std::vector<Volatility> mdlCapletVols_
protected

Definition at line 95 of file ctsmmcapletcalibration.hpp.

◆ mktSwaptionVols_

std::vector<Volatility> mktSwaptionVols_
protected

Definition at line 96 of file ctsmmcapletcalibration.hpp.

◆ mdlSwaptionVols_

std::vector<Volatility> mdlSwaptionVols_
protected

Definition at line 96 of file ctsmmcapletcalibration.hpp.

◆ timeDependentCalibratedSwaptionVols_

std::vector<std::vector<Volatility> > timeDependentCalibratedSwaptionVols_
protected

Definition at line 97 of file ctsmmcapletcalibration.hpp.

◆ cs_

ext::shared_ptr<CurveState> cs_
protected

Definition at line 99 of file ctsmmcapletcalibration.hpp.

◆ displacement_

Spread displacement_
protected

Definition at line 100 of file ctsmmcapletcalibration.hpp.

◆ numberOfRates_

Size numberOfRates_
protected

Definition at line 101 of file ctsmmcapletcalibration.hpp.

◆ usedCapletVols_

std::vector<Volatility> usedCapletVols_
protected

Definition at line 103 of file ctsmmcapletcalibration.hpp.

◆ calibrated_

bool calibrated_
protected

Definition at line 105 of file ctsmmcapletcalibration.hpp.

◆ failures_

Natural failures_
protected

Definition at line 106 of file ctsmmcapletcalibration.hpp.

◆ deformationSize_

Real deformationSize_
protected

Definition at line 107 of file ctsmmcapletcalibration.hpp.

◆ capletRmsError_

Real capletRmsError_
protected

Definition at line 108 of file ctsmmcapletcalibration.hpp.

◆ capletMaxError_

Real capletMaxError_
protected

Definition at line 108 of file ctsmmcapletcalibration.hpp.

◆ swaptionRmsError_

Real swaptionRmsError_
protected

Definition at line 109 of file ctsmmcapletcalibration.hpp.

◆ swaptionMaxError_

Real swaptionMaxError_
protected

Definition at line 109 of file ctsmmcapletcalibration.hpp.

◆ swapCovariancePseudoRoots_

std::vector<Matrix> swapCovariancePseudoRoots_
protected

Definition at line 110 of file ctsmmcapletcalibration.hpp.