CTSMMCapletMaxHomogeneityCalibration Member List

This is the complete list of members for CTSMMCapletMaxHomogeneityCalibration, including all inherited members.

calibrate(Natural numberOfFactors, Natural maxIterations, Real tolerance, Natural innerMaxIterations=100, Real innerTolerance=1e-8)	CTSMMCapletCalibration
calibrated_	CTSMMCapletCalibration	protected
calibrationImpl_(Natural numberOfFactors, Natural maxIterations, Real tolerance) override	CTSMMCapletMaxHomogeneityCalibration	privatevirtual
caplet0Swaption1Priority_	CTSMMCapletMaxHomogeneityCalibration	private
capletMaxError() const	CTSMMCapletCalibration
capletMaxError_	CTSMMCapletCalibration	protected
capletMaxHomogeneityCalibration(const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const CurveState &cs, Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size maxIterations, Real tolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots)	CTSMMCapletMaxHomogeneityCalibration	static
capletRmsError() const	CTSMMCapletCalibration
capletRmsError_	CTSMMCapletCalibration	protected
corr_	CTSMMCapletCalibration	protected
cs_	CTSMMCapletCalibration	protected
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)	CTSMMCapletCalibration
CTSMMCapletMaxHomogeneityCalibration(const EvolutionDescription &evolution, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &capletVols, const ext::shared_ptr< CurveState > &cs, Spread displacement, Real caplet0Swaption1Priority=1.0)	CTSMMCapletMaxHomogeneityCalibration
curveState() const	CTSMMCapletCalibration
deformationSize() const	CTSMMCapletCalibration
deformationSize_	CTSMMCapletCalibration	protected
displacedSwapVariances_	CTSMMCapletCalibration	protected
displacement_	CTSMMCapletCalibration	protected
displacements() const	CTSMMCapletCalibration
evolution_	CTSMMCapletCalibration	protected
failures() const	CTSMMCapletCalibration
failures_	CTSMMCapletCalibration	protected
mdlCapletVols() const	CTSMMCapletCalibration
mdlCapletVols_	CTSMMCapletCalibration	protected
mdlSwaptionVols() const	CTSMMCapletCalibration
mdlSwaptionVols_	CTSMMCapletCalibration	protected
mktCapletVols() const	CTSMMCapletCalibration
mktCapletVols_	CTSMMCapletCalibration	protected
mktSwaptionVols() const	CTSMMCapletCalibration
mktSwaptionVols_	CTSMMCapletCalibration	protected
numberOfRates_	CTSMMCapletCalibration	protected
performChecks(const EvolutionDescription &evolution, const PiecewiseConstantCorrelation &corr, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &displacedSwapVariances, const std::vector< Volatility > &mktCapletVols, const CurveState &cs)	CTSMMCapletCalibration	static
swapCovariancePseudoRoots_	CTSMMCapletCalibration	protected
swapPseudoRoot(Size i) const	CTSMMCapletCalibration
swapPseudoRoots() const	CTSMMCapletCalibration
swaptionMaxError() const	CTSMMCapletCalibration
swaptionMaxError_	CTSMMCapletCalibration	protected
swaptionRmsError() const	CTSMMCapletCalibration
swaptionRmsError_	CTSMMCapletCalibration	protected
timeDependentCalibratedSwaptionVols(Size i) const	CTSMMCapletCalibration
timeDependentCalibratedSwaptionVols_	CTSMMCapletCalibration	protected
timeDependentUnCalibratedSwaptionVols(Size i) const	CTSMMCapletCalibration
totalSwaptionError_	CTSMMCapletMaxHomogeneityCalibration	private
usedCapletVols_	CTSMMCapletCalibration	protected
~CTSMMCapletCalibration()=default	CTSMMCapletCalibration	virtual