QuantLibAddin::CmsMarketCalibration Class Reference

#include <qlo/cmsmarketcalibration.hpp>

Inheritance diagram for QuantLibAddin::CmsMarketCalibration:

Collaboration diagram for QuantLibAddin::CmsMarketCalibration:

Public Member Functions
	CmsMarketCalibration (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, QuantLib::Handle< QuantLib::SwaptionVolatilityStructure > &volCube, boost::shared_ptr< QuantLib::CmsMarket > &cmsMarket, const QuantLib::Matrix &weights, QuantLib::CmsMarketCalibration::CalibrationType calibrationType, bool permanent)
std::vector< std::vector< ObjectHandler::property_t > >	getSparseSabrParameters ()
std::vector< std::vector< ObjectHandler::property_t > >	getDenseSabrParameters ()
std::vector< std::vector< ObjectHandler::property_t > >	getCmsMarket ()
QuantLib::Real	elapsed ()
QuantLib::Array	compute (const boost::shared_ptr< QuantLib::EndCriteria > &endCriteria, const boost::shared_ptr< QuantLib::OptimizationMethod > &method, const QuantLib::Array &guess, bool isMeanReversionFixed)

Constructor & Destructor Documentation

CmsMarketCalibration()

QuantLibAddin::CmsMarketCalibration::CmsMarketCalibration	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		QuantLib::Handle< QuantLib::SwaptionVolatilityStructure > &	volCube,
		boost::shared_ptr< QuantLib::CmsMarket > &	cmsMarket,
		const QuantLib::Matrix &	weights,
		QuantLib::CmsMarketCalibration::CalibrationType	calibrationType,
		bool	permanent
	)

Member Function Documentation

compute()

QuantLib::Array QuantLibAddin::CmsMarketCalibration::compute	(	const boost::shared_ptr< QuantLib::EndCriteria > &	endCriteria,
		const boost::shared_ptr< QuantLib::OptimizationMethod > &	method,
		const QuantLib::Array &	guess,
		bool	isMeanReversionFixed
	)

elapsed()

QuantLib::Real QuantLibAddin::CmsMarketCalibration::elapsed ( )

inline

getCmsMarket()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::CmsMarketCalibration::getCmsMarket

(

)

getDenseSabrParameters()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::CmsMarketCalibration::getDenseSabrParameters

(

)

getSparseSabrParameters()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::CmsMarketCalibration::getSparseSabrParameters

(

)

---

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

• cmsmarketcalibration.hpp