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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></div>
<h1>CalibratedModel Class Reference</h1><!-- doxytag: class="QuantLib::CalibratedModel" --><!-- doxytag: inherits="QuantLib::Observer,QuantLib::Observable" --><code>#include <ql/models/model.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for CalibratedModel:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_calibrated_model__inherit__graph.png" border="0" usemap="#_calibrated_model__inherit__map" alt="Inheritance graph"></center>
<map name="_calibrated_model__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_heston_model.html" title="Heston model for the stochastic volatility of an asset." alt="" coords="5,161,112,188"><area shape="rect" href="class_quant_lib_1_1_libor_forward_model.html" title="Libor forward model" alt="" coords="136,161,280,188"><area shape="rect" href="class_quant_lib_1_1_short_rate_model.html" title="Abstract short-rate model class." alt="" coords="304,161,429,188"><area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="113,7,193,33"><area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observables." alt="" coords="217,7,311,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_calibrated_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Calibrated model class. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b43067bd779206b1a734151bd62e9c5f"></a><!-- doxytag: member="QuantLib::CalibratedModel::CalibratedModel" ref="b43067bd779206b1a734151bd62e9c5f" args="(Size nArguments)" -->
</td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#4660051913f0c11b1f10fbe3320d894f">calibrate</a> (const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (caps/swaptions). <a href="#4660051913f0c11b1f10fbe3320d894f"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b56059971ed8cca14f10cad597049e48"></a><!-- doxytag: member="QuantLib::CalibratedModel::value" ref="b56059971ed8cca14f10cad597049e48" args="(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &params, const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8222cafc2215551be69895aaa8f12bed"></a><!-- doxytag: member="QuantLib::CalibratedModel::constraint" ref="8222cafc2215551be69895aaa8f12bed" args="() const " -->
const boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > & </td><td class="memItemRight" valign="bottom"><b>constraint</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="47010658b99d25188edc0f6eeb8d2ff3"></a><!-- doxytag: member="QuantLib::CalibratedModel::endCriteria" ref="47010658b99d25188edc0f6eeb8d2ff3" args="()" -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#47010658b99d25188edc0f6eeb8d2ff3">endCriteria</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns end criteria result <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf0665e7524410c40a874b86db642511"></a><!-- doxytag: member="QuantLib::CalibratedModel::params" ref="bf0665e7524410c40a874b86db642511" args="() const " -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#bf0665e7524410c40a874b86db642511">params</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns array of arguments on which calibration is done. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3ce9fc39f465b4155ac6573ebb571c18"></a><!-- doxytag: member="QuantLib::CalibratedModel::setParams" ref="3ce9fc39f465b4155ac6573ebb571c18" args="(const Array &params)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &params)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a6a0697363420cbf8673f8e61fe6d7e"></a><!-- doxytag: member="QuantLib::CalibratedModel::generateArguments" ref="2a6a0697363420cbf8673f8e61fe6d7e" args="()" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8d6cb3b36a2e282c440aad042035196a"></a><!-- doxytag: member="QuantLib::CalibratedModel::arguments_" ref="8d6cb3b36a2e282c440aad042035196a" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e5ca439e5825287fbaa19c875d832021"></a><!-- doxytag: member="QuantLib::CalibratedModel::constraint_" ref="e5ca439e5825287fbaa19c875d832021" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > </td><td class="memItemRight" valign="bottom"><b>constraint_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8705485af58de6eb300e980a627a0be0"></a><!-- doxytag: member="QuantLib::CalibratedModel::shortRateEndCriteria_" ref="8705485af58de6eb300e980a627a0be0" args="" -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80488386afb1c0c879f7991542f9620d"></a><!-- doxytag: member="QuantLib::CalibratedModel::CalibrationFunction" ref="80488386afb1c0c879f7991542f9620d" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>CalibrationFunction</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::CalibratedModel::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
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<p>
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.
<p>Implements <a class="el" href="class_quant_lib_1_1_observer.html#99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
</div>
</div><p>
<a class="anchor" name="4660051913f0c11b1f10fbe3320d894f"></a><!-- doxytag: member="QuantLib::CalibratedModel::calibrate" ref="4660051913f0c11b1f10fbe3320d894f" args="(const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())" -->
<div class="memitem">
<div class="memproto">
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<td class="memname">void calibrate </td>
<td>(</td>
<td class="paramtype">const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> & </td>
<td class="paramname"> <em>method</em>, </td>
</tr>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> & </td>
<td class="paramname"> <em>endCriteria</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> & </td>
<td class="paramname"> <em>constraint</em> = <code><a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>()</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"> <em>weights</em> = <code>std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >()</code></td><td> </td>
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<td>)</td>
<td></td><td></td><td width="100%"></td>
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<p>
Calibrate to a set of market instruments (caps/swaptions).
<p>
An additional constraint can be passed which must be satisfied in addition to the constraints of the model.
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