Calibrated model class.
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#include <ql/models/model.hpp>
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| CalibratedModel (Size nArguments) |
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| void | update () |
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| virtual void | calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
| | Calibrate to a set of market instruments (usually caps/swaptions) More...
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| virtual QL_DEPRECATED void | calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
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Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
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| QL_DEPRECATED Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &) |
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const ext::shared_ptr< Constraint > & | constraint () const |
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EndCriteria::Type | endCriteria () const |
| | Returns end criteria result.
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const Array & | problemValues () const |
| | Returns the problem values.
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Disposable< Array > | params () const |
| | Returns array of arguments on which calibration is done.
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virtual void | setParams (const Array ¶ms) |
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Integer | functionEvaluation () const |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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| virtual void | deepUpdate () |
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| Observable (const Observable &) |
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| Observable & | operator= (const Observable &) |
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| void | notifyObservers () |
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virtual void | generateArguments () |
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std::vector< Parameter > | arguments_ |
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ext::shared_ptr< Constraint > | constraint_ |
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EndCriteria::Type | shortRateEndCriteria_ |
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Array | problemValues_ |
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Integer | functionEvaluation_ |
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class | CalibrationFunction |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
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typedef set_type::iterator | iterator |
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◆ update()
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.
Implements Observer.
Reimplemented in MarkovFunctional, and Gsr.
◆ calibrate() [1/2]
Calibrate to a set of market instruments (usually caps/swaptions)
An additional constraint can be passed which must be satisfied in addition to the constraints of the model.
Reimplemented in MarkovFunctional.
◆ calibrate() [2/2]
◆ value()
- Deprecated:
- Use the other overload. Deprecated in version 1.18.