BlackCalibrationHelper Class Reference

liquid Black76 market instrument used during calibration More...

#include <ql/models/calibrationhelper.hpp>

Inheritance diagram for BlackCalibrationHelper:

Public Types
enum	CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
void	performCalculations () const override
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	modelValue () const =0
	returns the price of the instrument according to the model
Real	calibrationError () override
	returns the error resulting from the model valuation
virtual void	addTimesTo (std::list< Time > &times) 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 or Bachelier price given a volatility.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Attributes
Real	marketValue_
Handle< Quote >	volatility_
ext::shared_ptr< PricingEngine >	engine_
const VolatilityType	volatilityType_
const Real	shift_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Additional Inherited Members
virtual void	calculate () const

Detailed Description

liquid Black76 market instrument used during calibration

Member Function Documentation

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Reimplemented in HestonModelHelper.

modelValue()

virtual Real modelValue ( ) const

pure virtual

returns the price of the instrument according to the model

Implemented in CapHelper, HestonModelHelper, and SwaptionHelper.

calibrationError()

Real calibrationError ( )

overridevirtual

returns the error resulting from the model valuation

Implements CalibrationHelper.

blackPrice()

virtual Real blackPrice ( Volatility volatility ) const

pure virtual

Black or Bachelier price given a volatility.

Implemented in CapHelper, HestonModelHelper, and SwaptionHelper.