Calibrated model class. More...
#include <ql/models/model.hpp>
 Inheritance diagram for CalibratedModel:
 Inheritance diagram for CalibratedModel:| Public Member Functions | |
| CalibratedModel (Size nArguments) | |
| void | update () | 
| virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | 
| Calibrate to a set of market instruments (usually caps/swaptions)  More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr< Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () const | 
| Returns end criteria result. | |
| const Array & | problemValues () const | 
| Returns the problem values. | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Integer | functionEvaluation () const | 
|  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 () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Protected Member Functions | |
| virtual void | generateArguments () | 
| Protected Attributes | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Array | problemValues_ | 
| Integer | functionEvaluation_ | 
| Friends | |
| class | CalibrationFunction | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
Calibrated model class.
| 
 | 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.
Reimplemented in MarkovFunctional, and Gsr.
| 
 | virtual | 
Calibrate to a set of market instruments (usually caps/swaptions)
An additional constraint can be passed which must be satisfied in addition to the constraints of the model.
Reimplemented in MarkovFunctional.