Inheritance diagram for BasketGeneratingEngine::MatchHelper:
Collaboration diagram for BasketGeneratingEngine::MatchHelper:
Public Member Functions | |
| MatchHelper (const Swap::Type type, const Real npv, const Real delta, const Real gamma, ext::shared_ptr< Gaussian1dModel > model, ext::shared_ptr< SwapIndex > indexBase, const Date &expiry, const Real maxMaturity, const Real h) | |
| Real | NPV (const ext::shared_ptr< VanillaSwap > &swap, Real fixedRate, Real nominal, Real y, int type) const |
| Real | value (const Array &v) const override |
| method to overload to compute the cost function value in x More... | |
| Array | values (const Array &v) const override |
| method to overload to compute the cost function values in x More... | |
| Public Member Functions inherited from CostFunction | |
| virtual | ~CostFunction ()=default |
| virtual Real | value (const Array &x) const |
| method to overload to compute the cost function value in x More... | |
| virtual Array | values (const Array &x) const =0 |
| method to overload to compute the cost function values in x More... | |
| virtual void | gradient (Array &grad, const Array &x) const |
| method to overload to compute grad_f, the first derivative of More... | |
| virtual Real | valueAndGradient (Array &grad, const Array &x) const |
| method to overload to compute grad_f, the first derivative of More... | |
| virtual void | jacobian (Matrix &jac, const Array &x) const |
| method to overload to compute J_f, the jacobian of More... | |
| virtual Array | valuesAndJacobian (Matrix &jac, const Array &x) const |
| method to overload to compute J_f, the jacobian of More... | |
| virtual Real | finiteDifferenceEpsilon () const |
| Default epsilon for finite difference method : More... | |
Public Attributes | |
| const Swap::Type | type_ |
| const ext::shared_ptr< Gaussian1dModel > | mdl_ |
| const ext::shared_ptr< SwapIndex > | indexBase_ |
| const Date | expiry_ |
| const Real | maxMaturity_ |
| const Real | npv_ |
| const Real | delta_ |
| const Real | gamma_ |
| const Real | h_ |
Detailed Description
Definition at line 101 of file basketgeneratingengine.hpp.
Constructor & Destructor Documentation
◆ MatchHelper()
| MatchHelper | ( | const Swap::Type | type, |
| const Real | npv, | ||
| const Real | delta, | ||
| const Real | gamma, | ||
| ext::shared_ptr< Gaussian1dModel > | model, | ||
| ext::shared_ptr< SwapIndex > | indexBase, | ||
| const Date & | expiry, | ||
| const Real | maxMaturity, | ||
| const Real | h | ||
| ) |
Definition at line 103 of file basketgeneratingengine.hpp.
Member Function Documentation
◆ NPV()
| Real NPV | ( | const ext::shared_ptr< VanillaSwap > & | swap, |
| Real | fixedRate, | ||
| Real | nominal, | ||
| Real | y, | ||
| int | type | ||
| ) | const |
Definition at line 116 of file basketgeneratingengine.hpp.
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◆ value()
method to overload to compute the cost function value in x
Reimplemented from CostFunction.
Definition at line 142 of file basketgeneratingengine.hpp.
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◆ values()
method to overload to compute the cost function values in x
Implements CostFunction.
Definition at line 151 of file basketgeneratingengine.hpp.
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Member Data Documentation
◆ type_
| const Swap::Type type_ |
Definition at line 225 of file basketgeneratingengine.hpp.
◆ mdl_
| const ext::shared_ptr<Gaussian1dModel> mdl_ |
Definition at line 226 of file basketgeneratingengine.hpp.
◆ indexBase_
| const ext::shared_ptr<SwapIndex> indexBase_ |
Definition at line 227 of file basketgeneratingengine.hpp.
◆ expiry_
| const Date expiry_ |
Definition at line 228 of file basketgeneratingengine.hpp.
◆ maxMaturity_
| const Real maxMaturity_ |
Definition at line 229 of file basketgeneratingengine.hpp.
◆ npv_
| const Real npv_ |
Definition at line 230 of file basketgeneratingengine.hpp.
◆ delta_
| const Real delta_ |
Definition at line 230 of file basketgeneratingengine.hpp.
◆ gamma_
| const Real gamma_ |
Definition at line 230 of file basketgeneratingengine.hpp.
◆ h_
| const Real h_ |
Definition at line 230 of file basketgeneratingengine.hpp.