|
| FxBsModel (const QuantLib::ext::shared_ptr< FxBsParametrization > ¶metrization) |
|
const QuantLib::ext::shared_ptr< Parametrization > | parametrizationBase () const override |
|
Handle< Quote > | fxSpotToday () const override |
|
Size | n () const override |
|
Size | m () const override |
|
Array | eulerStep (const Time t0, const Array &x0, const Time dt, const Array &dw, const Real r_dom, const Real r_for) const override |
|
void | update () override |
|
virtual void | calibrate (const std::vector< QuantLib::ext::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...
|
|
virtual void | calibrate (const std::vector< QuantLib::ext::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
|
|
Real | value (const Array ¶ms, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &) |
|
Real | value (const Array ¶ms, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &) |
| for backward compatibility
|
|
const QuantLib::ext::shared_ptr< Constraint > & | constraint () const |
|
EndCriteria::Type | endCriteria () const |
| Returns end criteria result.
|
|
const Array & | problemValues () const |
| Returns the problem values.
|
|
Array | params () const |
| Returns array of arguments on which calibration is done.
|
|
virtual void | setParams (const Array ¶ms) |
|
virtual void | setParam (Size idx, const Real value) |
|