BatesDoubleExpModel Class Reference

#include <batesmodel.hpp>

Inheritance diagram for BatesDoubleExpModel:

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Public Member Functions
	BatesDoubleExpModel (const ext::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nuUp=0.1, Real nuDown=0.1, Real p=0.5)
Real	p () const
Real	nuDown () const
Real	nuUp () const
Real	lambda () const
Public Member Functions inherited from HestonModel
	HestonModel (const ext::shared_ptr< HestonProcess > &process)
Real	theta () const
Real	kappa () const
Real	sigma () const
Real	rho () const
Real	v0 () const
ext::shared_ptr< HestonProcess >	process () const
Public Member Functions inherited from CalibratedModel
	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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from HestonModel
void	generateArguments () override
virtual void	generateArguments ()
Protected Attributes inherited from HestonModel
ext::shared_ptr< HestonProcess >	process_
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

Definition at line 67 of file batesmodel.hpp.

Constructor & Destructor Documentation

BatesDoubleExpModel()

BatesDoubleExpModel ( const ext::shared_ptr< HestonProcess > &  process, Real  lambda = 0.1, Real  nuUp = 0.1, Real  nuDown = 0.1, Real  p = 0.5  )

explicit

Definition at line 59 of file batesmodel.cpp.

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Member Function Documentation

p()

Real p

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)

const

Definition at line 73 of file batesmodel.hpp.

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nuDown()

Real nuDown

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)

const

Definition at line 74 of file batesmodel.hpp.

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nuUp()

Real nuUp

(

)

const

Definition at line 75 of file batesmodel.hpp.

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lambda()

Real lambda

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)

const

Definition at line 76 of file batesmodel.hpp.

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