Class ObjectiveFunction3

Hierarchy

ObjectiveFunction
- ObjectiveFunction3

Index

Constructors

constructor

Properties

Accessors

isDisposed

Methods

Constructors

constructor

new ObjectiveFunction3(smileAndCms: CmsMarketCalibration): ObjectiveFunction3

Overrides ObjectiveFunction.constructor
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:454
Parameters
- smileAndCms: CmsMarketCalibration
Returns ObjectiveFunction3

Properties

Protected _calibrationType

_calibrationType: CalibrationType

Protected _cmsMarket

_cmsMarket: CmsMarket

_isDisposed

_isDisposed: boolean = false

Protected _smileAndCms

_smileAndCms: CmsMarketCalibration

Protected _volCube

_volCube: Handle<SwaptionVolatilityStructure>

Protected _weights

_weights: Matrix

Accessors

isDisposed

get isDisposed(): boolean

Inherited from CostFunction.isDisposed
- Defined in ql/math/optimization/costfunction.ts:85
Returns boolean

Methods

dispose

dispose(): void

Inherited from CostFunction.dispose
- Defined in ql/math/optimization/costfunction.ts:89
Returns void

finiteDifferenceEpsilon

finiteDifferenceEpsilon(): Real

Inherited from CostFunction.finiteDifferenceEpsilon
- Defined in ql/math/optimization/costfunction.ts:81
Default epsilon for finite difference method

Returns Real

gradient

gradient(grad: Real[], x: Real[]): void

Inherited from CostFunction.gradient
- Defined in ql/math/optimization/costfunction.ts:28
method to overload to compute grad_f, the first derivative of the cost function with respect to x

Parameters
- grad: Real[]
- x: Real[]
Returns void

jacobian

jacobian(jac: Matrix, x: Real[]): void

Inherited from CostFunction.jacobian
- Defined in ql/math/optimization/costfunction.ts:55
method to overload to compute J_f, the jacobian of the cost function with respect to x

Parameters
- jac: Matrix
- x: Real[]
Returns void

Protected switchErrorFunctionOnCalibrationType

switchErrorFunctionOnCalibrationType(): Real

Inherited from ObjectiveFunction.switchErrorFunctionOnCalibrationType
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:375
Returns Real

Protected switchErrorsFunctionOnCalibrationType

switchErrorsFunctionOnCalibrationType(): Real[]

Inherited from ObjectiveFunction.switchErrorsFunctionOnCalibrationType
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:388
Returns Real[]

updateVolatilityCubeAndCmsMarket

updateVolatilityCubeAndCmsMarket(x: Real[]): void

Overrides ObjectiveFunction.updateVolatilityCubeAndCmsMarket
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:459
Parameters
- x: Real[]
Returns void

value

value(x: Real[]): Real

Inherited from ObjectiveFunction.value

Overrides CostFunction.value
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:365
Parameters
- x: Real[]
Returns Real

valueAndGradient

valueAndGradient(grad: Real[], x: Real[]): Real

Inherited from CostFunction.valueAndGradient
- Defined in ql/math/optimization/costfunction.ts:46
method to overload to compute grad_f, the first derivative of the cost function with respect to x and also the cost function

Parameters
- grad: Real[]
- x: Real[]
Returns Real

values

values(x: Real[]): Real[]

Inherited from ObjectiveFunction.values

Overrides CostFunction.values
- Defined in ql/termstructures/volatility/swaption/cmsmarketcalibration.ts:370
Parameters
- x: Real[]
Returns Real[]

valuesAndJacobian

valuesAndJacobian(jac: Matrix, x: Real[]): Real[]

Inherited from CostFunction.valuesAndJacobian
- Defined in ql/math/optimization/costfunction.ts:75
method to overload to compute J_f, the jacobian of the cost function with respect to x and also the cost function

Parameters
- jac: Matrix
- x: Real[]
Returns Real[]