CapHelper Class Reference
calibration helper for ATM cap More...
#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>
Inheritance diagram for CapHelper:
Public Member Functions | |
| CapHelper (const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, bool includeFirstSwaplet, Handle< YieldTermStructure > termStructure, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| void | addTimesTo (std::list< Time > ×) const override |
| Real | modelValue () const override |
| returns the price of the instrument according to the model | |
| Real | blackPrice (Volatility volatility) const override |
| Black or Bachelier price given a volatility. | |
| Public Member Functions inherited from BlackCalibrationHelper | |
| BlackCalibrationHelper (Handle< Quote > volatility, 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) | |
| Real | calibrationError () override |
| 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 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 () |
Additional Inherited Members | |
| Public Types inherited from BlackCalibrationHelper | |
| enum | CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| virtual void | calculate () const |
| Protected Attributes inherited from BlackCalibrationHelper | |
| Real | marketValue_ |
| Handle< Quote > | volatility_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| const VolatilityType | volatilityType_ |
| const Real | shift_ |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
calibration helper for ATM cap
Member Function Documentation
◆ addTimesTo()
|
overridevirtual |
Implements BlackCalibrationHelper.
◆ modelValue()
|
overridevirtual |
returns the price of the instrument according to the model
Implements BlackCalibrationHelper.
◆ blackPrice()
|
overridevirtual |
Black or Bachelier price given a volatility.
Implements BlackCalibrationHelper.
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