CalibrationHelper Class Reference

#include <ql/ShortRateModels/calibrationhelper.hpp>

Inheritance diagram for CalibrationHelper:

Inheritance graph
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List of all members.

Detailed Description

liquid market instrument used during calibration


Public Member Functions

 CalibrationHelper (const RelinkableHandle< Quote > &volatility, const RelinkableHandle< TermStructure > &termStructure)
void update ()
Real marketValue () const
 returns the actual price of the instrument (from volatility)

virtual Real modelValue () const =0
 returns the price of the instrument according to the model

virtual Real calibrationError ()
 returns the error resulting from the model valuation

virtual void addTimesTo (std::list< Time > &times) const =0
Volatility impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
 Black volatility implied by the model.

virtual Real blackPrice (Volatility volatility) const =0
 Black price given a volatility.

void setPricingEngine (const boost::shared_ptr< PricingEngine > &engine)

Protected Attributes

Real marketValue_
RelinkableHandle< Quotevolatility_
RelinkableHandle< TermStructuretermStructure_
boost::shared_ptr< BlackModelblackModel_
boost::shared_ptr< PricingEngineengine_


Member Function Documentation

void update  )  [virtual]
 

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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