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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_markov_functional.html">MarkovFunctional</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">MarkovFunctional Class Reference</div> </div>
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<p><code>#include <ql/models/shortrate/onefactormodels/markovfunctional.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for MarkovFunctional:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>MarkovFunctional</b> (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, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> reversion, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &volstepdates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &volatilities, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > &swaptionVol, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &swaptionExpiries, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &swaptionTenors, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIndexBase, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings())</td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>MarkovFunctional</b> (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, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> reversion, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &volstepdates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &volatilities, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html">OptionletVolatilityStructure</a> > &capletVol, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &capletExpiries, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings())</td></tr>
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const ModelSettings & </td><td class="memItemRight" valign="bottom"><b>modelSettings</b> () const</td></tr>
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const ModelOutputs & </td><td class="memItemRight" valign="bottom"><b>modelOutputs</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><b>numeraireDate</b> () const</td></tr>
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const <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> & </td><td class="memItemRight" valign="bottom"><b>numeraireTime</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>volatility</b> () const</td></tr>
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<tr class="memitem:a8def3e541cf414378a0c3b20a198e588"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_markov_functional.html#a8def3e541cf414378a0c3b20a198e588">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &helpers, <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#a689f17edf70f02c42a061798e1344cc6">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> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
<tr class="memdesc:a8def3e541cf414378a0c3b20a198e588"><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (usually caps/swaptions) <a href="class_quant_lib_1_1_markov_functional.html#a8def3e541cf414378a0c3b20a198e588">More...</a><br /></td></tr>
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<tr class="memitem:a08dfbcef65e0e155f2c3146ae52d615b"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_markov_functional.html#a08dfbcef65e0e155f2c3146ae52d615b">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &helpers, <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#a689f17edf70f02c42a061798e1344cc6">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> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_markov_functional.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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std::vector< std::pair< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > > </td><td class="memItemRight" valign="bottom"><b>arbitrageIndices</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>forceArbitrageIndices</b> (const std::vector< std::pair< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > > &indices)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_gaussian1d_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_gaussian1d_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html">Gaussian1dModel</a></td></tr>
<tr class="memitem:aab8312f2c9262aa6b7998ff0a814b2b8 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="aab8312f2c9262aa6b7998ff0a814b2b8"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > </td><td class="memItemRight" valign="bottom"><b>stateProcess</b> () const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>numeraire</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, 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> > &yts=<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> >()) const</td></tr>
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<tr class="memitem:a9dee615ddc77f2b0a8e99c200ba9f179 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="a9dee615ddc77f2b0a8e99c200ba9f179"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>zerobond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t=0.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, 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> > &yts=<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> >()) const</td></tr>
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<tr class="memitem:ac4d5ea453b5840f85e2755d403487a7b inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="ac4d5ea453b5840f85e2755d403487a7b"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>numeraire</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, 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> > &yts=<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> >()) const</td></tr>
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<tr class="memitem:ae719cf1bde09d0db6de943d0f8abde2c inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="ae719cf1bde09d0db6de943d0f8abde2c"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>zerobond</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, 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> > &yts=<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> >()) const</td></tr>
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<tr class="memitem:ac87a8ea97dfd0ee469aad42a0fa81109 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="ac87a8ea97dfd0ee469aad42a0fa81109"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>zerobondOption</b> (const Option::Type &type, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &expiry, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &valueDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, 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> > &yts=<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> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> yStdDevs=7.0, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const</td></tr>
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<tr class="memitem:a825c8787212b3e2321a8ac0dc66f7543 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="a825c8787212b3e2321a8ac0dc66f7543"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixing, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIdx=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> >()) const</td></tr>
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<tr class="memitem:a7dd9064bd49b67ff24a0fb7ae67ecfd8 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="a7dd9064bd49b67ff24a0fb7ae67ecfd8"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapRate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixing, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIdx=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> >()) const</td></tr>
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<tr class="memitem:ae5d31443b2c2c3e789d69a8d2f01f6d0 inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="ae5d31443b2c2c3e789d69a8d2f01f6d0"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapAnnuity</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixing, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0.0, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIdx=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> >()) const</td></tr>
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<tr class="memitem:ad39fc4725dc4412c478a09cd33c66c0d inherit pub_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><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_gaussian1d_model.html#ad39fc4725dc4412c478a09cd33c66c0d">yGrid</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> yStdDevs, int gridPoints, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> T=1.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> t=0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y=0) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_term_structure_consistent_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_term_structure_consistent_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure_consistent_model.html">TermStructureConsistentModel</a></td></tr>
<tr class="memitem:abc88328a9ce3013c5c8689ee87a0205c inherit pub_methods_class_quant_lib_1_1_term_structure_consistent_model"><td class="memItemLeft" align="right" valign="top"><a id="abc88328a9ce3013c5c8689ee87a0205c"></a>
 </td><td class="memItemRight" valign="bottom"><b>TermStructureConsistentModel</b> (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)</td></tr>
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<tr class="memitem:a8a05762901cb5fa1d585c21609d460f5 inherit pub_methods_class_quant_lib_1_1_term_structure_consistent_model"><td class="memItemLeft" align="right" valign="top"><a id="a8a05762901cb5fa1d585c21609d460f5"></a>
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> > & </td><td class="memItemRight" valign="bottom"><b>termStructure</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="memitem:a467a786be42a2165aa15a26709674547 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a467a786be42a2165aa15a26709674547">recalculate</a> ()</td></tr>
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<tr class="memitem:abd8698b462ce90fe56b15ce7a0192d3e inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#abd8698b462ce90fe56b15ce7a0192d3e">freeze</a> ()</td></tr>
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<tr class="memitem:a26c02da24a82bc72024a8e8d48af0fca inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a26c02da24a82bc72024a8e8d48af0fca">unfreeze</a> ()</td></tr>
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<tr class="memitem:a2ee394ca135f85485023ce3dc037149c inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a2ee394ca135f85485023ce3dc037149c">alwaysForwardNotifications</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="ab43067bd779206b1a734151bd62e9c5f"></a>
 </td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
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<tr class="memitem:a6c2fb01b68f90892cc39a5c6c12d4e09 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a6c2fb01b68f90892cc39a5c6c12d4e09"></a>
<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#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &)</td></tr>
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<tr class="memitem:ab6af309e095da49d254389268b488373 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">QL_DEPRECATED <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_calibrated_model.html#ab6af309e095da49d254389268b488373">value</a> (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#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &)</td></tr>
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const ext::shared_ptr< <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>
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<tr class="memitem:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a689f17edf70f02c42a061798e1344cc6"></a>
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a> () const</td></tr>
<tr class="memdesc:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns end criteria result. <br /></td></tr>
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<tr class="memitem:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="aacc31e5f4aa4d15a3f33fd81b916897a"></a>
const <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#aacc31e5f4aa4d15a3f33fd81b916897a">problemValues</a> () const</td></tr>
<tr class="memdesc:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns the problem values. <br /></td></tr>
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<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#ac8c77215168957e035ff1f8eba542910">params</a> () const</td></tr>
<tr class="memdesc:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns array of arguments on which calibration is done. <br /></td></tr>
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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#ac8c77215168957e035ff1f8eba542910">params</a>)</td></tr>
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<tr class="memitem:a82ee0985ecccbdc973ccd4ac78d82497 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a82ee0985ecccbdc973ccd4ac78d82497"></a>
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation</b> () const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:a47d8f44cd2434e0f176ee2027ff88316"><td class="memItemLeft" align="right" valign="top"><a id="a47d8f44cd2434e0f176ee2027ff88316"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>numeraireImpl</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y, 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> > &yts) const</td></tr>
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<tr class="memitem:ab5a0387dc995191fa1f1c77709172c99"><td class="memItemLeft" align="right" valign="top"><a id="ab5a0387dc995191fa1f1c77709172c99"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>zerobondImpl</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y, 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> > &yts) const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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<tr class="memitem:a33f04fb3ac37abe7c9c6032cff611745"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_markov_functional.html#a33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
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<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< std::vector< bool > > </td><td class="memItemRight" valign="bottom"><b>FixedFirstVolatility</b> () const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_gaussian1d_model"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_gaussian1d_model')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html">Gaussian1dModel</a></td></tr>
<tr class="memitem:aeff8d9741be68c9195eacfde4a15ef68 inherit pro_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="aeff8d9741be68c9195eacfde4a15ef68"></a>
 </td><td class="memItemRight" valign="bottom"><b>Gaussian1dModel</b> (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> > &yieldTermStructure)</td></tr>
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<tr class="memitem:a4d8a7e8e132cf1dd8d1d9eac02f2bfae inherit pro_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top"><a id="a4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a>
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> > </td><td class="memItemRight" valign="bottom"><b>underlyingSwap</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &index, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &expiry, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor) const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:a082ff96da379d5e17436372ccb3c0972 inherit pro_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a082ff96da379d5e17436372ccb3c0972">calculate</a> () const</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="friends"></a>
Friends</h2></td></tr>
<tr class="memitem:ad7681419a2ce7cf74bb5951962a5d574"><td class="memItemLeft" align="right" valign="top"><a id="ad7681419a2ce7cf74bb5951962a5d574"></a>
class </td><td class="memItemRight" valign="bottom"><b>ZeroHelper</b></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pub_static_methods_class_quant_lib_1_1_gaussian1d_model"><td colspan="2" onclick="javascript:toggleInherit('pub_static_methods_class_quant_lib_1_1_gaussian1d_model')"><img src="closed.png" alt="-"/> Static Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html">Gaussian1dModel</a></td></tr>
<tr class="memitem:a596fdf372b452b22766abf34329a3bf8 inherit pub_static_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top">static <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_gaussian1d_model.html#a596fdf372b452b22766abf34329a3bf8">gaussianPolynomialIntegral</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> c, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> e, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x1)</td></tr>
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<tr class="memitem:a1f894bcf23828c9eb2bd871c2be0df97 inherit pub_static_methods_class_quant_lib_1_1_gaussian1d_model"><td class="memItemLeft" align="right" valign="top">static <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_gaussian1d_model.html#a1f894bcf23828c9eb2bd871c2be0df97">gaussianShiftedPolynomialIntegral</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> c, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> e, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> h, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x1)</td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > </td><td class="memItemRight" valign="bottom"><b>stateProcess_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>evaluationDate_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>enforcesTodaysHistoricFixings_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>calculated_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>frozen_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>alwaysForward_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
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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>
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ext::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>
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EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>problemValues_</b></td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>One factor Markov Functional model class. Some documentation is available here <a href="http://ssrn.com/abstract_id=2183721">http://ssrn.com/abstract_id=2183721</a> <a href="http://quantlib.org/slides/qlws13/caspers.pdf">http://quantlib.org/slides/qlws13/caspers.pdf</a></p>
<p>The model requires a suitable input smile which means it should be arbitrage free, smooth (at least implying a C^1 call price function) and with a call price function not decreasing too slow in strike direction.</p>
<p>A method for arbitrage free extra- and interpolation due to Kahale is provided and may be used to improve an input smile. Alternatively a <a class="el" href="class_quant_lib_1_1_s_a_b_r.html" title="SABR interpolation factory and traits">SABR</a> smile with arbitrage free wings can be fitted to the input smile to provide an appropriate input smile.</p>
<p>If you use the Kahale or <a class="el" href="class_quant_lib_1_1_s_a_b_r.html" title="SABR interpolation factory and traits">SABR</a> method for smile pretreatment then this implies zero density for underlying rates below minus the displacement parameter. This means that in this case the market yield term structure must imply underlying atm forward rates greater than minus displacement.</p>
<p>If you do not use a smile pretreatment you should ensure that the input smileSection is arbitrage free and that the input smileSection covers the strikes from lowerRateBound to upperRateBound.</p>
<p>During calibration a monocurve setup is assumed with the given yield term structure determining the rates throughout, no matter what curves are linked to the indices in the volatility term structures. The yield term structure should therefore be the main risk curve, i.e. the forwarding curve for the respective swaption or cap underlyings.</p>
<p>The model uses a simplified formula for the npv of a swaps floating leg namely $P(t,T_0)-P(t,T_1)$ with $T_0$ being the start date of the leg and $T_1$ being the last payment date, which is an approximation to the true npv.</p>
<p>The model calibrates to slightly modified market options in the sense that the start date is set equal to the fixing date, i.e. there is no delay. The model diagnostic outputs refer to this modified instrument. In general the actual market instrument including the delay is still matched very well though the calibration is done on a slightly different instrument.</p>
<p>AdjustYts and AdjustDigitals are experimental options. Specifying AdjustYts may have a negative impact on the volatility smile match, so it should be used with special care. For long term calibration it seems an interesting option though.</p>
<p>A bad fit to the initial yield term structure may be due to a non suitable input smile or accumulating numerical errors in very long term calibrations. The former point is adressed by smile pretreatment options. The latter point may be tackled by higher values for the numerical parameters possibly together with NTL high precision computing.</p>
<p>When using a shifted lognormal smile input the lower rate bound is adjusted by the shift so that a lower bound of 0.0 always corresponds to the lower bound of the shifted distribution.</p>
<p>If a custom smile is used, this will take full responsibility of inverting digital prices to market rates, so digitalGap, marketRateAccuracy, lowerRateBound, upperRateBound are irrelavant and the smile moneyness checkpoints are only used for the debug model output in this setup. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
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<td class="memname">void calibrate </td>
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<td class="paramtype">const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > & </td>
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<td class="paramtype"><a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> & </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> & </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> & </td>
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<p>Calibrate to a set of market instruments (usually caps/swaptions) </p>
<p>An additional constraint can be passed which must be satisfied in addition to the constraints of the model. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">CalibratedModel</a>.</p>
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<td class="memname">void calibrate </td>
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<dl class="deprecated"><dt><b><a class="el" href="deprecated.html#_deprecated000015">Deprecated:</a></b></dt><dd>Use the other overload. Deprecated in version 1.18. </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac664da62fe7dddfe57529764aaca5187">CalibratedModel</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#ac5c54df7ed3b930268c8d7752c101725">◆ </a></span>update()</h2>
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<td class="memname">void update </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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">CalibratedModel</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a33f04fb3ac37abe7c9c6032cff611745">◆ </a></span>performCalculations()</h2>
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<td class="memname">void performCalculations </td>
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<p>This method must implement any calculations which must be (re)done in order to calculate the desired results. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html#a33f04fb3ac37abe7c9c6032cff611745">Gaussian1dModel</a>.</p>
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