Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

SobolLiborCalibrationOptimizer Class Reference

#include <LiborCalibrator.h>

Inheritance diagram for SobolLiborCalibrationOptimizer:

SobolSearch Optimizer List of all members.

Detailed Description

SobolSearch optimizer to calibrate a LiborFactorLoading.

Definition at line 71 of file LiborCalibrator.h.

Public Member Functions

 SobolLiborCalibrationOptimizer (LmmCalibrator *clbr, const RealArray1D &x0, int nVals, const RealArray1D &delta)
bool isInDomain (const RealArray1D &x) const
Real f (const RealArray1D &x)

Protected Attributes


Constructor & Destructor Documentation

SobolLiborCalibrationOptimizer::SobolLiborCalibrationOptimizer LmmCalibrator   clbr,
const RealArray1D   x0,
int    nVals,
const RealArray1D   delta

7 parameters for volsurface and correlations.

clbr the LMM calibrator.
x0 initial guess for the parameter vector.
nVals number of evaluations of the objective function.
delta initial width of sliding search window.

Definition at line 87 of file LiborCalibrator.h.

Member Function Documentation

bool SobolLiborCalibrationOptimizer::isInDomain const RealArray1D   x const [virtual]

Wether or not the vector u is in the search domain. This is the default implementation (true, unconstrained search).

Reimplemented from SobolSearch.

Real SobolLiborCalibrationOptimizer::f const RealArray1D   x [virtual]

The objective function.

Implements Optimizer.

Member Data Documentation

LmmCalibrator* SobolLiborCalibrationOptimizer::cal [protected]

Definition at line 75 of file LiborCalibrator.h.

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