capletcoterminalperiodic.hpp File Reference

#include <ql/models/marketmodels/models/piecewiseconstantvariance.hpp>
#include <ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp>
#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Functions
Integer	capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const ext::shared_ptr< CurveState > &cs, const Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix)