CalibrationHelper Class Reference
#include <ql/models/calibrationhelper.hpp>
Inheritance diagram for CalibrationHelper:

Detailed Description
liquid market instrument used during calibration
Public Member Functions | |
CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) | |
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) |
Protected Attributes | |
Real | marketValue_ |
Handle< Quote > | volatility_ |
Handle< YieldTermStructure > | termStructure_ |
boost::shared_ptr< PricingEngine > | engine_ |
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.