Class AbcdCalibration

constructor

• new AbcdCalibration(t: Real[], blackVols: Real[], aGuess?: Real, bGuess?: Real, cGuess?: Real, dGuess?: Real, aIsFixed?: boolean, bIsFixed?: boolean, cIsFixed?: boolean, dIsFixed?: boolean, vegaWeighted?: boolean, endCriteria?: EndCriteria, optMethod?: OptimizationMethod): AbcdCalibration

• Parameters

  • t: Real[]

  • blackVols: Real[]

  • Default value aGuess: Real = -0.06

  • Default value bGuess: Real = 0.17

  • Default value cGuess: Real = 0.54

  • Default value dGuess: Real = 0.17

  • Default value aIsFixed: boolean = false

  • Default value bIsFixed: boolean = false

  • Default value cIsFixed: boolean = false

  • Default value dIsFixed: boolean = false

  • Default value vegaWeighted: boolean = false

  • Default value endCriteria: EndCriteria = null

  • Default value optMethod: OptimizationMethod = null

  Returns AbcdCalibration