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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a></div>
<h1>CalibrationHelper Class Reference</h1><!-- doxytag: class="QuantLib::CalibrationHelper" --><!-- doxytag: inherits="QuantLib::Observer,QuantLib::Observable" --><code>#include <ql/models/calibrationhelper.hpp></code>
<p>
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Inheritance diagram for CalibrationHelper:</div>
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<p><center><img src="class_quant_lib_1_1_calibration_helper__inherit__graph.png" border="0" usemap="#_calibration_helper__inherit__map" alt="Inheritance graph"></center>
<map name="_calibration_helper__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_cap_helper.html" title="calibration helper for ATM cap" alt="" coords="5,161,96,188"><area shape="rect" href="class_quant_lib_1_1_heston_model_helper.html" title="calibration helper for Heston model" alt="" coords="120,161,269,188"><area shape="rect" href="class_quant_lib_1_1_swaption_helper.html" title="calibration helper for ATM swaption" alt="" coords="293,161,416,188"><area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="100,7,180,33"><area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observables." alt="" coords="204,7,297,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_calibration_helper-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
liquid market instrument used during calibration <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="b35bd42cc95a706ac4f06cbb24d4e2f8"></a><!-- doxytag: member="QuantLib::CalibrationHelper::CalibrationHelper" ref="b35bd42cc95a706ac4f06cbb24d4e2f8" args="(const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false)" -->
</td><td class="memItemRight" valign="bottom"><b>CalibrationHelper</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &volatility, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, bool calibrateVolatility=false)</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_calibration_helper.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a1d5a2a3e1205bdc482f59182282c426"></a><!-- doxytag: member="QuantLib::CalibrationHelper::marketValue" ref="a1d5a2a3e1205bdc482f59182282c426" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#a1d5a2a3e1205bdc482f59182282c426">marketValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the actual price of the instrument (from volatility) <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="573ec85444166decbaa5888155b9fa39"></a><!-- doxytag: member="QuantLib::CalibrationHelper::modelValue" ref="573ec85444166decbaa5888155b9fa39" args="() const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#573ec85444166decbaa5888155b9fa39">modelValue</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the price of the instrument according to the model <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9e6e106b8ad56b7bf89a48b8a004857"></a><!-- doxytag: member="QuantLib::CalibrationHelper::calibrationError" ref="c9e6e106b8ad56b7bf89a48b8a004857" args="()" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#c9e6e106b8ad56b7bf89a48b8a004857">calibrationError</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the error resulting from the model valuation <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06c670b250bcd21e9787ebc007093545"></a><!-- doxytag: member="QuantLib::CalibrationHelper::addTimesTo" ref="06c670b250bcd21e9787ebc007093545" args="(std::list< Time > &times) const =0" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>addTimesTo</b> (std::list< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &times) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="83cd0c8293969d49634c639a632141f0"></a><!-- doxytag: member="QuantLib::CalibrationHelper::impliedVolatility" ref="83cd0c8293969d49634c639a632141f0" args="(Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#83cd0c8293969d49634c639a632141f0">impliedVolatility</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> targetValue, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxEvaluations, <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> minVol, <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> maxVol) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black volatility implied by the model. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e916246904fe19039c315903020642ff"></a><!-- doxytag: member="QuantLib::CalibrationHelper::blackPrice" ref="e916246904fe19039c315903020642ff" args="(Volatility volatility) const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#e916246904fe19039c315903020642ff">blackPrice</a> (<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> volatility) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black price given a volatility. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ef2cc90f16cf902829ac616f7b5278c"></a><!-- doxytag: member="QuantLib::CalibrationHelper::setPricingEngine" ref="5ef2cc90f16cf902829ac616f7b5278c" args="(const boost::shared_ptr< PricingEngine > &engine)" -->
void </td><td class="memItemRight" valign="bottom"><b>setPricingEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &engine)</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="371bd616cf2cbbac47b0e6263fd6d79f"></a><!-- doxytag: member="QuantLib::CalibrationHelper::marketValue_" ref="371bd616cf2cbbac47b0e6263fd6d79f" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>marketValue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="14cc04bf8608e1205f4796cbb54fd7f5"></a><!-- doxytag: member="QuantLib::CalibrationHelper::volatility_" ref="14cc04bf8608e1205f4796cbb54fd7f5" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > </td><td class="memItemRight" valign="bottom"><b>volatility_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ccfb2e6f0d4ec3fb0789e250aa3295ca"></a><!-- doxytag: member="QuantLib::CalibrationHelper::termStructure_" ref="ccfb2e6f0d4ec3fb0789e250aa3295ca" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>termStructure_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec8a3d48bdab47e807560f973bfa1569"></a><!-- doxytag: member="QuantLib::CalibrationHelper::engine_" ref="ec8a3d48bdab47e807560f973bfa1569" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > </td><td class="memItemRight" valign="bottom"><b>engine_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::CalibrationHelper::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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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>
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