A free/open-source library for quantitative finance
CalibrationHelper Class Referenceabstract
liquid market instrument used during calibration More...
#include <ql/models/calibrationhelper.hpp>
Inheritance diagram for CalibrationHelper:
Public Types | |
| enum | CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError } |
Public Member Functions | |
| CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError) | |
| 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 > ×) 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) |
 Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
|
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Attributes | |
| Real | marketValue_ |
| Handle< Quote > | volatility_ |
| Handle< YieldTermStructure > | termStructure_ |
| boost::shared_ptr< PricingEngine > | engine_ |
Detailed Description
liquid market instrument used during calibration