CalibratedModel Class Reference

Calibrated model class. More...

#include <ql/models/model.hpp>

Inheritance diagram for CalibratedModel:

Public Member Functions
	CalibratedModel (Size nArguments)
void	update ()
virtual void	calibrate (const std::vector< 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 QL_DEPRECATED void	calibrate (const std::vector< 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 >())
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
QL_DEPRECATED Real	value (const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Disposable< Array >	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Protected Member Functions
virtual void	generateArguments ()

Protected Attributes
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_
Array	problemValues_
Integer	functionEvaluation_

Friends
class	CalibrationFunction

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

Detailed Description

Calibrated model class.

Member Function Documentation

update()

void update ( )

virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Reimplemented in MarkovFunctional, and Gsr.

calibrate() [1/2]

virtual void calibrate ( const std::vector< 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 >()  )

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.

Reimplemented in MarkovFunctional.

calibrate() [2/2]

virtual QL_DEPRECATED void calibrate ( const std::vector< 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 >()  )

virtual

Deprecated:

Use the other overload. Deprecated in version 1.18.

Reimplemented in MarkovFunctional.

value()

QL_DEPRECATED Real value	(	const Array &	params,
		const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &
	)

Deprecated:

Use the other overload. Deprecated in version 1.18.