CalibrationHelper Class Reference
#include <ql/models/calibrationhelper.hpp>
Inheritance diagram for CalibrationHelper:

Detailed Description
liquid market instrument used during calibrationPublic Member Functions | |
| CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) | |
| 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_ |
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.