modelValue (3) - Linux Man Pages
modelValue: liquid market instrument used during calibration
QuantLib::CalibrationHelper - liquid market instrument used during calibration
Inherits QuantLib::Observer, and QuantLib::Observable.
Inherited by CapHelper, HestonModelHelper, and SwaptionHelper.
Public 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)
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.
Generated automatically by Doxygen for QuantLib from the source code.