#include <ql/ShortRateModels/model.hpp>
Inheritance diagram for ShortRateModel:
[legend]List of all members.
Detailed Description
Abstract short-rate model class.
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Public Member Functions |
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| ShortRateModel (Size nArguments) |
| void | update () |
virtual boost::shared_ptr<
Lattice > | tree (const TimeGrid &) const =0 |
| void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const Constraint &constraint=Constraint()) |
| | Calibrate to a set of market instruments (caps/swaptions).
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const boost::shared_ptr< Constraint > & | constraint () const |
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Disposable< Array > | params () const |
| | Returns array of arguments on which calibration is done.
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void | setParams (const Array ¶ms) |
Protected Member Functions |
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virtual void | generateArguments () |
Protected Attributes |
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std::vector< Parameter > | arguments_ |
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boost::shared_ptr< Constraint > | constraint_ |
Friends |
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class | CalibrationFunction |
Member Function Documentation
| void update |
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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. |
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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. |
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