- QuantLib
- CalibrationHelper
 
liquid market instrument used during calibration More...
#include <ql/models/calibrationhelper.hpp>

| 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) | 
| Protected Attributes | |
| Real | marketValue_ | 
| Handle< Quote > | volatility_ | 
| Handle< YieldTermStructure > | termStructure_ | 
| boost::shared_ptr< PricingEngine > | engine_ | 
liquid market instrument used during calibration