QuantLib 0.3.11
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Reference manual
ShortRateModel Class Reference
[Short-rate modelling framework]
#include <ql/ShortRateModels/model.hpp>
Inheritance diagram for ShortRateModel:
Detailed Description
Abstract short-rate model class.
Public Member Functions | |
| ShortRateModel (Size nArguments) | |
| void | update () |
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virtual boost::shared_ptr< NumericalMethod > | tree (const TimeGrid &) const =0 |
| void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const Constraint &constraint=Constraint()) |
| Calibrate to a set of market instruments (caps/swaptions). | |
| const boost::shared_ptr< Constraint > & | constraint () const |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| void | setParams (const Array ¶ms) |
Protected Member Functions | |
| virtual void | generateArguments () |
Protected Attributes | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
Friends | |
| class | CalibrationFunction |
Member Function Documentation
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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. |
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Calibrate to a set of market instruments (caps/swaptions). An additional constraint can be passed which must be satisfied in addition to the constraints of the model. |
