- QuantLib
- CalibratedModel
 
Calibrated model class. More...
#include <ql/models/model.hpp>

| 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) | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr < Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () | 
| returns end criteria result | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Protected Member Functions | |
| virtual void | generateArguments () | 
| Protected Attributes | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Friends | |
| class | CalibrationFunction | 
Calibrated model class.
| 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.