External module "ql/models/marketmodels/models/capletcoterminalperiodic"

capletSwaptionPeriodicCalibration

• capletSwaptionPeriodicCalibration(evolution: EvolutionDescription, corr: PiecewiseConstantCorrelation, displacedSwapVariances: VolatilityInterpolationSpecifier, capletVols: Volatility[], cs: CurveState, displacement: Spread, caplet0Swaption1Priority: Real, numberOfFactors: Size, period: Size, max1dIterations: Size, tolerance1d: Real, maxUnperiodicIterations: Size, toleranceUnperiodic: Real, maxPeriodIterations: Size, periodTolerance: Real, byref: byRef, swapCovariancePseudoRoots: Matrix[], finalScales: Real[], modelSwaptionVolsMatrix: Matrix): Integer

• Parameters

  • evolution: EvolutionDescription

  • corr: PiecewiseConstantCorrelation

  • displacedSwapVariances: VolatilityInterpolationSpecifier

  • capletVols: Volatility[]

  • cs: CurveState

  • displacement: Spread

  • caplet0Swaption1Priority: Real

  • numberOfFactors: Size

  • period: Size

  • max1dIterations: Size

  • tolerance1d: Real

  • maxUnperiodicIterations: Size

  • toleranceUnperiodic: Real

  • maxPeriodIterations: Size

  • periodTolerance: Real

  • byref: byRef

  • swapCovariancePseudoRoots: Matrix[]

  • finalScales: Real[]

  • modelSwaptionVolsMatrix: Matrix

  Returns Integer