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DriftlessLmmCalibrator Class Reference

#include <LiborCalibrator.h>

Inheritance diagram for DriftlessLmmCalibrator:

StandardLmmCalibrator LmmCalibrator List of all members.

Detailed Description

Calibrator for a DriftlessLMM.

Definition at line 605 of file LiborCalibrator.h.

Public Member Functions

 DriftlessLmmCalibrator (LiborFactorLoading *fl, const char *capletsInFile="CapletsIn.txt", const char *swaptionsInFile="SwaptionsIn.txt", const char *capletsOutFile="CapletsOut.txt", const char *swaptionsOutFile="SwaptionsOut.txt")
Real capletForwardPrice (int i, Real strike)
Real swaptionForwardPrice (int i, Real strike)
void setScalingFactors ()

Static Public Member Functions

void testIO ()
void testCalibration (int nVals)

Constructor & Destructor Documentation

DriftlessLmmCalibrator::DriftlessLmmCalibrator LiborFactorLoading   fl,
const char *    capletsInFile = "CapletsIn.txt",
const char *    swaptionsInFile = "SwaptionsIn.txt",
const char *    capletsOutFile = "CapletsOut.txt",
const char *    swaptionsOutFile = "SwaptionsOut.txt"

Definition at line 610 of file LiborCalibrator.h.

Member Function Documentation

Real DriftlessLmmCalibrator::capletForwardPrice int    i,
Real    strike

Caplet on . Forward price computed from current parameters of the factorloading.

Implements StandardLmmCalibrator.

Real DriftlessLmmCalibrator::swaptionForwardPrice int    i,
Real    strike

Swaption on , expires at . Forward price computed from current parameters of the factorloading.

Implements StandardLmmCalibrator.

void DriftlessLmmCalibrator::setScalingFactors   [virtual]

From the current parameters for the volatility surface and correlations set the scaling factors of the factor loading to the values which reproduce the caplet prices exactly. See book, 6.11.3.

Implements StandardLmmCalibrator.

void DriftlessLmmCalibrator::testIO   [static]

Reads caplets and swaptions in dimension 50 from the files "CapletsIn-dim50-DL-JR-CS.txt" and "SwaptionsIn-dim50-DL-JR-CS.txt" in the current directory and writes them to the files "CapletsOut.txt" and "SwaptionsOut.txt".

void DriftlessLmmCalibrator::testCalibration int    nVals [static]

Test in dimension 50. Calibrates DriftlessLMM to synthetic data produced by PredictorCorrectorLMM.

nVals number of evaluations of the objective function.

The documentation for this class was generated from the following file:
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