![]() QuantLib 0.3.7Getting startedReference manual |
ShortRateModel Class Reference |
Public Member Functions | |
ShortRateModel (Size nArguments) | |
void | update () |
virtual boost::shared_ptr< Lattice > | tree (const TimeGrid &) const =0 |
void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const Constraint &constraint=Constraint()) |
Calibrate to a set of market instruments (caps/swaptions). | |
const boost::shared_ptr< Constraint > & | constraint () const |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
void | setParams (const Array ¶ms) |
Protected Member Functions | |
virtual void | generateArguments () |
Protected Attributes | |
std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
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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. |
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Calibrate to a set of market instruments (caps/swaptions). An additional constraint can be passed which must be satisfied in addition to the constraints of the model. |
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