CalibratedModel Class Reference

#include <ql/models/model.hpp>

Inheritance diagram for CalibratedModel:

Inheritance graph
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List of all members.

Detailed Description

Calibrated model class.


Public Member Functions

 CalibratedModel (Size nArguments)
void update ()
void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
 Calibrate to a set of market instruments (caps/swaptions).
const boost::shared_ptr< Constraint > & constraint () const
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
virtual void setParams (const Array &params)

Protected Member Functions

virtual void generateArguments ()

Protected Attributes

std::vector< Parameterarguments_
boost::shared_ptr< Constraintconstraint_

Friends

class CalibrationFunction


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.

void calibrate ( const std::vector< boost::shared_ptr< CalibrationHelper > > &  ,
OptimizationMethod method,
const EndCriteria endCriteria,
const Constraint constraint = Constraint(),
const std::vector< Real > &  weights = std::vector< Real >() 
)

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.