1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>CalibratedModel Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> |
<a href="#friends">Friends</a> </div>
<div class="headertitle">
<div class="title">CalibratedModel Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::CalibratedModel" --><!-- doxytag: inherits="QuantLib::Observer,QuantLib::Observable" -->
<p>Calibrated model class.
<a href="class_quant_lib_1_1_calibrated_model.html#details">More...</a></p>
<p><code>#include <ql/models/model.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CalibratedModel:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_calibrated_model__inherit__graph.png" border="0" usemap="#_calibrated_model_inherit__map" alt="Inheritance graph"/></div>
<map name="_calibrated_model_inherit__map" id="_calibrated_model_inherit__map">
<area shape="rect" id="node7" href="class_quant_lib_1_1_g_j_r_g_a_r_c_h_model.html" title="GJR-GARCH model for the stochastic volatility of an asset." alt="" coords="364,5,492,35"/><area shape="rect" id="node9" href="class_quant_lib_1_1_heston_model.html" title="Heston model for the stochastic volatility of an asset." alt="" coords="379,58,477,89"/><area shape="rect" id="node11" href="class_quant_lib_1_1_libor_forward_model.html" title="Libor forward model" alt="" coords="363,111,493,142"/><area shape="rect" id="node13" href="class_quant_lib_1_1_piecewise_time_dependent_heston_model.html" title="Piecewise time dependent Heston model." alt="" coords="304,165,552,195"/><area shape="rect" id="node15" href="class_quant_lib_1_1_short_rate_model.html" title="Abstract short-rate model class." alt="" coords="371,218,485,249"/><area shape="rect" id="node17" href="class_quant_lib_1_1_variance_gamma_model.html" title="Variance Gamma model." alt="" coords="352,271,504,302"/><area shape="rect" id="node2" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="12,111,87,142"/><area shape="rect" id="node4" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="5,165,93,195"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_calibrated_model-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab43067bd779206b1a734151bd62e9c5f"></a><!-- doxytag: member="QuantLib::CalibratedModel::CalibratedModel" ref="ab43067bd779206b1a734151bd62e9c5f" args="(Size nArguments)" -->
 </td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a4660051913f0c11b1f10fbe3320d894f">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> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a47010658b99d25188edc0f6eeb8d2ff3">endCriteria</a>, 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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (caps/swaptions) <a href="#a4660051913f0c11b1f10fbe3320d894f"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab56059971ed8cca14f10cad597049e48"></a><!-- doxytag: member="QuantLib::CalibratedModel::value" ref="ab56059971ed8cca14f10cad597049e48" args="(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#abf0665e7524410c40a874b86db642511">params</a>, 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" align="right" valign="top"><a class="anchor" id="a8222cafc2215551be69895aaa8f12bed"></a><!-- doxytag: member="QuantLib::CalibratedModel::constraint" ref="a8222cafc2215551be69895aaa8f12bed" args="() const " -->
const boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a47010658b99d25188edc0f6eeb8d2ff3"></a><!-- doxytag: member="QuantLib::CalibratedModel::endCriteria" ref="a47010658b99d25188edc0f6eeb8d2ff3" args="()" -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a47010658b99d25188edc0f6eeb8d2ff3">endCriteria</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns end criteria result <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abf0665e7524410c40a874b86db642511"></a><!-- doxytag: member="QuantLib::CalibratedModel::params" ref="abf0665e7524410c40a874b86db642511" 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#abf0665e7524410c40a874b86db642511">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" align="right" valign="top"><a class="anchor" id="a3ce9fc39f465b4155ac6573ebb571c18"></a><!-- doxytag: member="QuantLib::CalibratedModel::setParams" ref="a3ce9fc39f465b4155ac6573ebb571c18" 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> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#abf0665e7524410c40a874b86db642511">params</a>)</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2a6a0697363420cbf8673f8e61fe6d7e"></a><!-- doxytag: member="QuantLib::CalibratedModel::generateArguments" ref="a2a6a0697363420cbf8673f8e61fe6d7e" args="()" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8d6cb3b36a2e282c440aad042035196a"></a><!-- doxytag: member="QuantLib::CalibratedModel::arguments_" ref="a8d6cb3b36a2e282c440aad042035196a" 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" align="right" valign="top"><a class="anchor" id="ae5ca439e5825287fbaa19c875d832021"></a><!-- doxytag: member="QuantLib::CalibratedModel::constraint_" ref="ae5ca439e5825287fbaa19c875d832021" 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" align="right" valign="top"><a class="anchor" id="a8705485af58de6eb300e980a627a0be0"></a><!-- doxytag: member="QuantLib::CalibratedModel::shortRateEndCriteria_" ref="a8705485af58de6eb300e980a627a0be0" args="" -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
<tr><td colspan="2"><h2><a name="friends"></a>
Friends</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a80488386afb1c0c879f7991542f9620d"></a><!-- doxytag: member="QuantLib::CalibratedModel::CalibrationFunction" ref="a80488386afb1c0c879f7991542f9620d" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>CalibrationFunction</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Calibrated model class. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::CalibratedModel::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<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>
<p>Implements <a class="el" href="class_quant_lib_1_1_observer.html#a99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
</div>
</div>
<a class="anchor" id="a4660051913f0c11b1f10fbe3320d894f"></a><!-- doxytag: member="QuantLib::CalibratedModel::calibrate" ref="a4660051913f0c11b1f10fbe3320d894f" 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">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_calibrated_model.html#a4660051913f0c11b1f10fbe3320d894f">calibrate</a> </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>
<tr>
<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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>weights</em> = <code>std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >()</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Calibrate to a set of market instruments (caps/swaptions) </p>
<p>An additional constraint can be passed which must be satisfied in addition to the constraints of the model. </p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
