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Hierarchy

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Constructors

constructor

Properties

Private _alpha

_alpha: Real[]

Protected _calibrated

_calibrated: boolean

Protected _capletMaxError

_capletMaxError: Real

Protected _capletRmsError

_capletRmsError: Real

Protected _corr

Protected _cs

Protected _deformationSize

_deformationSize: Real

Protected _displacedSwapVariances

_displacedSwapVariances: PiecewiseConstantVariance[]

Protected _displacement

_displacement: Spread

Protected _evolution

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

calibrate

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

    • numberOfFactors: Natural
    • maxIterations: Natural
    • capletVolTolerance: Real
    • Default value innerSolvingMaxIterations: Natural = 100
    • Default value innerSolvingTolerance: Real = 1e-8

    Returns boolean

capletMaxError

  • capletMaxError(): Real

capletRmsError

  • capletRmsError(): Real

curveState

deformationSize

  • deformationSize(): Real

displacements

failures

mdlCapletVols

mdlSwaptionVols

mktCapletVols

mktSwaptionVols

swapPseudoRoot

swapPseudoRoots

swaptionMaxError

  • swaptionMaxError(): Real

swaptionRmsError

  • swaptionRmsError(): Real

timeDependentCalibratedSwaptionVols

timeDependentUnCalibratedSwaptionVols

Static calibrationFunction

Static performChecks