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PredictorCorrectorLmmCalibrator Class Reference

#include <LiborCalibrator.h>

Inheritance diagram for PredictorCorrectorLmmCalibrator:

StandardLmmCalibrator LmmCalibrator List of all members.

Detailed Description

Calibrator for a PredictorCorrectorLMM.

Definition at line 672 of file LiborCalibrator.h.

Public Member Functions

 PredictorCorrectorLmmCalibrator (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 testCalibration (int nVals)


Constructor & Destructor Documentation

PredictorCorrectorLmmCalibrator::PredictorCorrectorLmmCalibrator 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 678 of file LiborCalibrator.h.


Member Function Documentation

Real PredictorCorrectorLmmCalibrator::capletForwardPrice int    i,
Real    strike
[virtual]
 

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

Implements StandardLmmCalibrator.

Real PredictorCorrectorLmmCalibrator::swaptionForwardPrice int    i,
Real    strike
[virtual]
 

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

Implements StandardLmmCalibrator.

void PredictorCorrectorLmmCalibrator::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 PredictorCorrectorLmmCalibrator::testCalibration int    nVals [static]
 

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

Parameters:
nVals number of evaluations of the objective function.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3