CalibrationHelper Class Reference

#include <calibrationhelper.hpp>

Inheritance diagram for CalibrationHelper:

Inheritance graph
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List of all members.

Detailed Description

liquid market instrument used during calibration


Public Member Functions

 CalibrationHelper (const RelinkableHandle< MarketElement > &volatility, const RelinkableHandle< TermStructure > &termStructure)
void update ()
double marketValue ()
 returns the actual price of the instrument (from volatility)

virtual double modelValue ()=0
 returns the price of the instrument according to the model

virtual double calibrationError ()
 returns the error resulting from the model valuation

virtual void addTimesTo (std::list< Time > &times) const=0
double impliedVolatility (double targetValue, double accuracy, Size maxEvaluations, double minVol, double maxVol) const
 Black volatility implied by the model.

virtual double blackPrice (double volatility) const=0
 Black price given a volatility.

void setPricingEngine (const Handle< PricingEngine > &engine)

Protected Attributes

double marketValue_
RelinkableHandle< MarketElementvolatility_
RelinkableHandle< TermStructuretermStructure_
Handle< BlackModelblackModel_
Handle< PricingEngineengine_


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.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
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