Class CmsMarketCalibration

Hierarchy

CmsMarketCalibration

Index

Enumerations

CalibrationType

Constructors

constructor

Properties

Methods

Constructors

constructor

new CmsMarketCalibration(volCube: Handle<SwaptionVolatilityStructure>, cmsMarket: CmsMarket, weights: Matrix, calibrationType: CalibrationType): CmsMarketCalibration

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:20
Parameters
- volCube: Handle<SwaptionVolatilityStructure>
- cmsMarket: CmsMarket
- weights: Matrix
- calibrationType: CalibrationType
Returns CmsMarketCalibration

Properties

_browseCmsMarket

_browseCmsMarket: Matrix

_calibrationType

_calibrationType: CalibrationType

_cmsMarket

_cmsMarket: CmsMarket

_denseSabrParameters

_denseSabrParameters: Matrix

Private _endCriteria

_endCriteria: Type

Private _error

_error: Real

_sparseSabrParameters

_sparseSabrParameters: Matrix

_volCube

_volCube: Handle<SwaptionVolatilityStructure>

_weights

_weights: Matrix

Methods

compute1

compute1(endCriteria: EndCriteria, method: OptimizationMethod, guess: Real[], isMeanReversionFixed: boolean): Real[]

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:43
Parameters
- endCriteria: EndCriteria
- method: OptimizationMethod
- guess: Real[]
- isMeanReversionFixed: boolean
Returns Real[]

compute2

compute2(endCriteria: EndCriteria, method: OptimizationMethod, guess: Matrix, isMeanReversionFixed: boolean, meanReversionGuess?: Real): Matrix

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:117
Parameters
- endCriteria: EndCriteria
- method: OptimizationMethod
- guess: Matrix
- isMeanReversionFixed: boolean
- Default value meanReversionGuess: Real = QL_NULL_REAL
Returns Matrix

computeParametric

computeParametric(endCriteria: EndCriteria, method: OptimizationMethod, guess: Matrix, isMeanReversionFixed: boolean, meanReversionGuess?: Real): Matrix

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:212
Parameters
- endCriteria: EndCriteria
- method: OptimizationMethod
- guess: Matrix
- isMeanReversionFixed: boolean
- Default value meanReversionGuess: Real = QL_NULL_REAL
Returns Matrix

endCriteria

endCriteria(): Type

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:317
Returns Type

error

error(): Real

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:313
Returns Real

Static betaTransformDirect

betaTransformDirect(y: Real): Real

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:325
Parameters
- y: Real
Returns Real

Static betaTransformInverse

betaTransformInverse(beta: Real): Real

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:321
Parameters
- beta: Real
Returns Real

Static reversionTransformDirect

reversionTransformDirect(y: Real): Real

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:335
Parameters
- y: Real
Returns Real

Static reversionTransformInverse

reversionTransformInverse(reversion: Real): Real

- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:331
Parameters
- reversion: Real
Returns Real