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DriftlessLmmCalibrator Class Reference

#include <LiborCalibrator.h>

Inheritance diagram for DriftlessLmmCalibrator:

List of all members.

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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)

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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" )  [inline]

Definition at line 610 of file LiborCalibrator.h.

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Member Function Documentation

Real DriftlessLmmCalibrator::capletForwardPrice (  int    i, Real    strike )  [virtual]

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

Real DriftlessLmmCalibrator::swaptionForwardPrice (  int    i, Real    strike )  [virtual]

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. Parameters: nVals  number of evaluations of the objective function.

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

• LiborCalibrator.h

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