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virtual const boost::shared_ptr< Parametrization > | parametrizationBase () const =0 |
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virtual Handle< PriceTermStructure > | termStructure () const =0 |
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virtual const Currency & | currency () const =0 |
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virtual Size | n () const =0 |
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virtual Size | m () const =0 |
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virtual boost::shared_ptr< StochasticProcess > | stateProcess () const =0 |
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virtual QuantLib::Real | forwardPrice (const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >()) const =0 |
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void | update () override |
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virtual void | calibrate (const std::vector< boost::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...
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virtual void | calibrate (const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &, 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 >()) |
| for backward compatibility
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Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
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Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &) |
| for backward compatibility
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const boost::shared_ptr< Constraint > & | constraint () const |
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EndCriteria::Type | endCriteria () const |
| Returns end criteria result.
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const Array & | problemValues () const |
| Returns the problem values.
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Array | params () const |
| Returns array of arguments on which calibration is done.
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virtual void | setParams (const Array ¶ms) |
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