calibration helper for ATM swaption More...
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
 Inheritance diagram for SwaptionHelper:
 Inheritance diagram for SwaptionHelper:| Public Member Functions | |
| SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| virtual void | addTimesTo (std::list< Time > ×) const | 
| virtual Real | modelValue () const | 
| returns the price of the instrument according to the model | |
| virtual Real | blackPrice (Volatility volatility) const | 
| Black or Bachelier price given a volatility. | |
| boost::shared_ptr< VanillaSwap > | underlyingSwap () const | 
| boost::shared_ptr< Swaption > | swaption () const | 
|  Public Member Functions inherited from CalibrationHelper | |
| CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| Handle< Quote > | volatility () const | 
| returns the volatility Handle | |
| VolatilityType | volatilityType () const | 
| returns the volatility type | |
| Real | marketValue () const | 
| returns the actual price of the instrument (from volatility) | |
| virtual Real | calibrationError () | 
| returns the error resulting from the model valuation | |
| Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const | 
| Black volatility implied by the model. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &engine) | 
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Public Types inherited from CalibrationHelper | |
| enum | CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError } | 
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const | 
|  Protected Attributes inherited from CalibrationHelper | |
| Real | marketValue_ | 
| Handle< Quote > | volatility_ | 
| Handle< YieldTermStructure > | termStructure_ | 
| boost::shared_ptr< PricingEngine > | engine_ | 
| const VolatilityType | volatilityType_ | 
| const Real | shift_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
calibration helper for ATM swaption