CalibrationConfiguration Class Reference

#include <ored/model/calibrationconfiguration.hpp>

Inheritance diagram for CalibrationConfiguration:

Public Member Functions
	CalibrationConfiguration (QuantLib::Real rmseTolerance=0.0001, QuantLib::Size maxIterations=50)
	Constructor.
Inspectors
QuantLib::Real	rmseTolerance () const
	A final tolerance on the RMSE of the calibration that may be used by various builders.
QuantLib::Size	maxIterations () const
does not have a constraint, a
Return constraint for the parameter name. Currently, only boundary constraints are supported. If the parameter NoConstraint instance is returned.
boost::shared_ptr< QuantLib::Constraint >	constraint (const std::string &name) const
std::pair< QuantLib::Real, QuantLib::Real >	boundaries (const std::string &name) const
void	add (const std::string &name, QuantLib::Real lowerBound, QuantLib::Real upperBound)
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename)
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString ()
	Parse from XML string.

Serialisation
QuantLib::Real	rmseTolerance_
QuantLib::Size	maxIterations_
std::map< std::string, std::pair< QuantLib::Real, QuantLib::Real > >	constraints_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) override

Detailed Description

Class for holding calibration configuration details.

Member Function Documentation

maxIterations()

QuantLib::Size maxIterations

(

)

const

High level maximum iterations. This may mean different to things to different builders. This is not the maximum number of iterations used by the EndCriteria for optimisation. If this is needed, this should be added in another XML object along with the other EndCriteria elements and included as a CalibrationConfiguration member.

boundaries()

std::pair<QuantLib::Real, QuantLib::Real> boundaries

(

const std::string &

name

)

const

Return the boundaries for the parameter name.

If no boundaries have been given for parameter name, a pair with both elements set to Null<Real>() is returned.

add()

void add	(	const std::string &	name,
		QuantLib::Real	lowerBound,
		QuantLib::Real	upperBound
	)

Add a boundary constraint on the parameter name.