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LiborCalibrator.h File Reference


Detailed Description

Calibration of the various LMM types to caplet and coterminal swaption prices (swaps ending at the horizon).

Definition in file LiborCalibrator.h.

#include "TypedefsMacros.h"
#include "Utils.h"
#include "FinMath.h"
#include "Matrix.h"
#include "Optimizer.h"
#include "VolatilityAndCorrelation.h"
#include <fstream>

Go to the source code of this file.

Compounds

class  SobolLiborCalibrationOptimizer
struct  SwaptionData
struct  CapletData
class  LmmCalibrator
class  StandardLmmCalibrator
class  DriftlessLmmCalibrator
class  PredictorCorrectorLmmCalibrator

Functions

std::ostream & operator<< (std::ostream &os, const SwaptionData &swpn)
std::istream & operator>> (std::istream &is, SwaptionData &swpn)
std::ostream & operator<< (std::ostream &os, const CapletData &cplt)
std::istream & operator>> (std::istream &is, CapletData &cplt)


Function Documentation

std::ostream& operator<< std::ostream &    os,
const SwaptionData   swpn
 

Write swaption data to stream: p, q, strike, forward price. We don't write the fields calibratedForwardPrice and error since we wan to use this function to write synthetic calibration data.

std::istream& operator>> std::istream &    is,
SwaptionData   swpn
 

Read swaption data from stream: p, q, strike, forward price.

std::ostream& operator<< std::ostream &    os,
const CapletData   cplt
 

Write caplet data to stream: i, strike, forward price.

std::istream& operator>> std::istream &    is,
CapletData   cplt
 

Read caplet data from stream: i, strike, forward price.


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