Class CTSMMCapletOriginalCalibration

Hierarchy

CTSMMCapletCalibration
- CTSMMCapletOriginalCalibration

Index

Constructors

constructor

Constructors

constructor

new CTSMMCapletOriginalCalibration(evolution: EvolutionDescription, corr: PiecewiseConstantCorrelation, displacedSwapVariances: PiecewiseConstantVariance[], mktCapletVols: Volatility[], cs: CurveState, displacement: Spread, alpha: Real[], lowestRoot: boolean, useFullApprox: boolean): CTSMMCapletOriginalCalibration

Overrides CTSMMCapletCalibration.constructor
- Defined in ql/models/marketmodels/models/capletcoterminalswaptioncalibration.ts:18
Parameters
- evolution: EvolutionDescription
- corr: PiecewiseConstantCorrelation
- displacedSwapVariances: PiecewiseConstantVariance[]
- mktCapletVols: Volatility[]
- cs: CurveState
- displacement: Spread
- alpha: Real[]
- lowestRoot: boolean
- useFullApprox: boolean
Returns CTSMMCapletOriginalCalibration

Properties

Private _alpha

_alpha: Real[]

Protected _calibrated

_calibrated: boolean

Protected _capletMaxError

_capletMaxError: Real

Protected _capletRmsError

_capletRmsError: Real

Protected _corr

_corr: PiecewiseConstantCorrelation

Protected _cs

_cs: CurveState

Protected _deformationSize

_deformationSize: Real

Protected _displacedSwapVariances

_displacedSwapVariances: PiecewiseConstantVariance[]

Protected _displacement

_displacement: Spread

Protected _evolution

_evolution: EvolutionDescription

Protected _failures

_failures: Natural

Private _lowestRoot

_lowestRoot: boolean

Protected _mdlCapletVols

_mdlCapletVols: Volatility[]

Protected _mdlSwaptionVols

_mdlSwaptionVols: Volatility[]

Protected _mktCapletVols

_mktCapletVols: Volatility[]

Protected _mktSwaptionVols

_mktSwaptionVols: Volatility[]

Protected _numberOfRates

_numberOfRates: Size

Protected _swapCovariancePseudoRoots

_swapCovariancePseudoRoots: Matrix[]

Protected _swaptionMaxError

_swaptionMaxError: Real

Protected _swaptionRmsError

_swaptionRmsError: Real

Protected _timeDependentCalibratedSwaptionVols

_timeDependentCalibratedSwaptionVols: Volatility[][]

Private _useFullApprox

_useFullApprox: boolean

Protected _usedCapletVols

_usedCapletVols: Volatility[]

Methods

_calibrationImpl

_calibrationImpl(numberOfFactors: Natural, maxIterations: Natural, tolerance: Real): Natural

Overrides CTSMMCapletCalibration._calibrationImpl
- Defined in ql/models/marketmodels/models/capletcoterminalswaptioncalibration.ts:329
Parameters
- numberOfFactors: Natural
- maxIterations: Natural
- tolerance: Real
Returns Natural

calibrate

calibrate(numberOfFactors: Natural, maxIterations: Natural, capletVolTolerance: Real, innerSolvingMaxIterations?: Natural, innerSolvingTolerance?: Real): boolean

Inherited from CTSMMCapletCalibration.calibrate
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:40
Parameters
- numberOfFactors: Natural
- maxIterations: Natural
- capletVolTolerance: Real
- Default value innerSolvingMaxIterations: Natural = 100
- Default value innerSolvingTolerance: Real = 1e-8
Returns boolean

capletMaxError

capletMaxError(): Real

Inherited from CTSMMCapletCalibration.capletMaxError
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:148
Returns Real

capletRmsError

capletRmsError(): Real

Inherited from CTSMMCapletCalibration.capletRmsError
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:141
Returns Real

curveState

curveState(): CurveState

Inherited from CTSMMCapletCalibration.curveState
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:283
Returns CurveState

deformationSize

deformationSize(): Real

Inherited from CTSMMCapletCalibration.deformationSize
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:134
Returns Real

displacements

displacements(): Spread[]

Inherited from CTSMMCapletCalibration.displacements
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:287
Returns Spread[]

failures

failures(): Natural

Inherited from CTSMMCapletCalibration.failures
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:127
Returns Natural

mdlCapletVols

mdlCapletVols(): Volatility[]

Inherited from CTSMMCapletCalibration.mdlCapletVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:192
Returns Volatility[]

mdlSwaptionVols

mdlSwaptionVols(): Volatility[]

Inherited from CTSMMCapletCalibration.mdlSwaptionVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:203
Returns Volatility[]

mktCapletVols

mktCapletVols(): Volatility[]

Inherited from CTSMMCapletCalibration.mktCapletVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:188
Returns Volatility[]

mktSwaptionVols

mktSwaptionVols(): Volatility[]

Inherited from CTSMMCapletCalibration.mktSwaptionVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:199
Returns Volatility[]

swapPseudoRoot

swapPseudoRoot(i: Size): Matrix

Inherited from CTSMMCapletCalibration.swapPseudoRoot
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:176
Parameters
- i: Size
Returns Matrix

swapPseudoRoots

swapPseudoRoots(): Matrix[]

Inherited from CTSMMCapletCalibration.swapPseudoRoots
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:169
Returns Matrix[]

swaptionMaxError

swaptionMaxError(): Real

Inherited from CTSMMCapletCalibration.swaptionMaxError
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:162
Returns Real

swaptionRmsError

swaptionRmsError(): Real

Inherited from CTSMMCapletCalibration.swaptionRmsError
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:155
Returns Real

timeDependentCalibratedSwaptionVols

timeDependentCalibratedSwaptionVols(i: Size): Volatility[]

Inherited from CTSMMCapletCalibration.timeDependentCalibratedSwaptionVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:210
Parameters
- i: Size
Returns Volatility[]

timeDependentUnCalibratedSwaptionVols

timeDependentUnCalibratedSwaptionVols(i: Size): Volatility[]

Inherited from CTSMMCapletCalibration.timeDependentUnCalibratedSwaptionVols
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:218
Parameters
- i: Size
Returns Volatility[]

Static calibrationFunction

calibrationFunction(evolution: EvolutionDescription, corr: PiecewiseConstantCorrelation, displacedSwapVariances: PiecewiseConstantVariance[], capletVols: Volatility[], cs: CurveState, displacement: Spread, alpha: Real[], lowestRoot: boolean, useFullAprox: boolean, numberOfFactors: Size, swapCovariancePseudoRoots: Matrix[]): Natural

- Defined in ql/models/marketmodels/models/capletcoterminalswaptioncalibration.ts:38
Parameters
- evolution: EvolutionDescription
- corr: PiecewiseConstantCorrelation
- displacedSwapVariances: PiecewiseConstantVariance[]
- capletVols: Volatility[]
- cs: CurveState
- displacement: Spread
- alpha: Real[]
- lowestRoot: boolean
- useFullAprox: boolean
- numberOfFactors: Size
- swapCovariancePseudoRoots: Matrix[]
Returns Natural

Static performChecks

performChecks(evolution: EvolutionDescription, corr: PiecewiseConstantCorrelation, displacedSwapVariances: PiecewiseConstantVariance[], mktCapletVols: Volatility[], cs: CurveState): void

Inherited from CTSMMCapletCalibration.performChecks
- Defined in ql/models/marketmodels/models/ctsmmcapletcalibration.ts:226
Parameters
- evolution: EvolutionDescription
- corr: PiecewiseConstantCorrelation
- displacedSwapVariances: PiecewiseConstantVariance[]
- mktCapletVols: Volatility[]
- cs: CurveState
Returns void