Calibrated model class with linkable parameters. More...

#include <qle/models/linkablecalibratedmodel.hpp>

Inheritance diagram for LinkableCalibratedModel:

Classes
class	PrivateConstraint
	Linkable Calibrated Model. More...

Public Member Functions
void	update () override

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...

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

Real	value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)

Real	value (const Array &params, const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility

const boost::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 &params)

Protected Attributes
std::vector< boost::shared_ptr< Parameter > >	arguments_

boost::shared_ptr< Constraint >	constraint_

EndCriteria::Type	endCriteria_

Array	problemValues_

Detailed Description

Calibrated model class with linkable parameters.

Member Function Documentation

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 >()`
	)

virtual

Calibrate to a set of market instruments (usually caps/swaptions)

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.