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<!-- doxytag: class="QuantLib::CalibrationHelper" --><!-- doxytag: inherits="QuantLib::Observer,QuantLib::Observable" -->
<p>liquid market instrument used during calibration
<a href="class_quant_lib_1_1_calibration_helper.html#details">More...</a></p>
<p><code>#include <ql/models/calibrationhelper.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CalibrationHelper:</div>
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<map name="_calibration_helper_inherit__map" id="_calibration_helper_inherit__map">
<area shape="rect" id="node7" href="class_quant_lib_1_1_cap_helper.html" title="calibration helper for ATM cap" alt="" coords="5,166,88,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_heston_model_helper.html" title="calibration helper for Heston model" alt="" coords="112,166,245,197"/><area shape="rect" id="node11" href="class_quant_lib_1_1_swaption_helper.html" title="calibration helper for ATM swaption" alt="" coords="269,166,381,197"/><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="89,6,164,37"/><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="188,6,276,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_calibration_helper-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><b>CalibrationErrorType</b> { <b>RelativePriceError</b>,
<b>PriceError</b>,
<b>ImpliedVolError</b>
}</td></tr>
<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="a1c1f699e86af3c7d725555ee8640d319"></a><!-- doxytag: member="QuantLib::CalibrationHelper::CalibrationHelper" ref="a1c1f699e86af3c7d725555ee8640d319" args="(const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError)" -->
 </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, CalibrationErrorType calibrationErrorType=RelativePriceError)</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_calibration_helper.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa1d5a2a3e1205bdc482f59182282c426"></a><!-- doxytag: member="QuantLib::CalibrationHelper::marketValue" ref="aa1d5a2a3e1205bdc482f59182282c426" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#aa1d5a2a3e1205bdc482f59182282c426">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" align="right" valign="top"><a class="anchor" id="a573ec85444166decbaa5888155b9fa39"></a><!-- doxytag: member="QuantLib::CalibrationHelper::modelValue" ref="a573ec85444166decbaa5888155b9fa39" args="() const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#a573ec85444166decbaa5888155b9fa39">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" align="right" valign="top"><a class="anchor" id="ac9e6e106b8ad56b7bf89a48b8a004857"></a><!-- doxytag: member="QuantLib::CalibrationHelper::calibrationError" ref="ac9e6e106b8ad56b7bf89a48b8a004857" args="()" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#ac9e6e106b8ad56b7bf89a48b8a004857">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" align="right" valign="top"><a class="anchor" id="a06c670b250bcd21e9787ebc007093545"></a><!-- doxytag: member="QuantLib::CalibrationHelper::addTimesTo" ref="a06c670b250bcd21e9787ebc007093545" 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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &times) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a83cd0c8293969d49634c639a632141f0"></a><!-- doxytag: member="QuantLib::CalibrationHelper::impliedVolatility" ref="a83cd0c8293969d49634c639a632141f0" args="(Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#a83cd0c8293969d49634c639a632141f0">impliedVolatility</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> targetValue, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxEvaluations, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> minVol, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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" align="right" valign="top"><a class="anchor" id="ae916246904fe19039c315903020642ff"></a><!-- doxytag: member="QuantLib::CalibrationHelper::blackPrice" ref="ae916246904fe19039c315903020642ff" args="(Volatility volatility) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibration_helper.html#ae916246904fe19039c315903020642ff">blackPrice</a> (<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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" align="right" valign="top"><a class="anchor" id="a5ef2cc90f16cf902829ac616f7b5278c"></a><!-- doxytag: member="QuantLib::CalibrationHelper::setPricingEngine" ref="a5ef2cc90f16cf902829ac616f7b5278c" 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"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a371bd616cf2cbbac47b0e6263fd6d79f"></a><!-- doxytag: member="QuantLib::CalibrationHelper::marketValue_" ref="a371bd616cf2cbbac47b0e6263fd6d79f" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>marketValue_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a14cc04bf8608e1205f4796cbb54fd7f5"></a><!-- doxytag: member="QuantLib::CalibrationHelper::volatility_" ref="a14cc04bf8608e1205f4796cbb54fd7f5" 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" align="right" valign="top"><a class="anchor" id="accfb2e6f0d4ec3fb0789e250aa3295ca"></a><!-- doxytag: member="QuantLib::CalibrationHelper::termStructure_" ref="accfb2e6f0d4ec3fb0789e250aa3295ca" 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" align="right" valign="top"><a class="anchor" id="aec8a3d48bdab47e807560f973bfa1569"></a><!-- doxytag: member="QuantLib::CalibrationHelper::engine_" ref="aec8a3d48bdab47e807560f973bfa1569" 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/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>liquid market instrument used during calibration </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::CalibrationHelper::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_calibration_helper.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>
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