QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
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, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
 
virtual void addTimesTo (std::list< Time > &times) 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.
 
- 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< Quotevolatility () 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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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< Quotevolatility_
 
Handle< YieldTermStructuretermStructure_
 
boost::shared_ptr< PricingEngineengine_
 
const VolatilityType volatilityType_
 
const Real shift_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

calibration helper for ATM cap