B_i0(int i) | LmmCalibrator | |
B_pq0(int p, int q) | LmmCalibrator | |
Bn0 | LmmCalibrator | [protected] |
calibrate(int nVals) | StandardLmmCalibrator | [virtual] |
capletForwardPrice(int i, Real strike)=0 | StandardLmmCalibrator | [pure virtual] |
LmmCalibrator::capletForwardPrice(int i, Real strike, Real Sigma) | LmmCalibrator | |
capletImpliedSigma | StandardLmmCalibrator | [protected] |
caplets | LmmCalibrator | [protected] |
capletsIn | LmmCalibrator | [protected] |
capletsOut | LmmCalibrator | [protected] |
capletVol | StandardLmmCalibrator | [protected] |
cvMatrix | StandardLmmCalibrator | [protected] |
delta | LmmCalibrator | [protected] |
factorLoading | LmmCalibrator | [protected] |
getCaplets() | LmmCalibrator | [inline] |
getFactorLoading() | LmmCalibrator | [inline] |
getSwaptions() | LmmCalibrator | [inline] |
H0 | LmmCalibrator | [protected] |
H_i0(int i) | LmmCalibrator | |
H_pq0(int p, int q) | LmmCalibrator | |
L_i0(int i) | LmmCalibrator | |
LmmCalibrator(LiborFactorLoading *fl, const char *capletsInFile="CapletsIn.txt", const char *swaptionsInFile="SwaptionsIn.txt", const char *capletsOutFile="CapletsOut.txt", const char *swaptionsOutFile="SwaptionsOut.txt") | LmmCalibrator | |
logFile | LmmCalibrator | [protected] |
meanRelativeCalibrationError() | LmmCalibrator | |
n | LmmCalibrator | [protected] |
objectiveFunction(const RealArray1D &x) | StandardLmmCalibrator | [virtual] |
objectiveFunction() | StandardLmmCalibrator | [virtual] |
read(istream &is, Array1D< Instrument * > &instruments) | LmmCalibrator | [inline] |
readCaplets() | LmmCalibrator | |
readSwaptions() | LmmCalibrator | |
rho(int i, int j) | LmmCalibrator | |
root_xCx(int i) | StandardLmmCalibrator | [protected] |
S_pq0 | LmmCalibrator | [protected] |
setScalingFactors()=0 | StandardLmmCalibrator | [pure virtual] |
StandardLmmCalibrator(LiborFactorLoading *fl, const char *capletsInFile="CapletsIn.txt", const char *swaptionsInFile="SwaptionsIn.txt", const char *capletsOutFile="CapletsOut.txt", const char *swaptionsOutFile="SwaptionsOut.txt") | StandardLmmCalibrator | |
swapRate(int p, int q) | LmmCalibrator | |
swaptionForwardPrice(int i, Real strike)=0 | StandardLmmCalibrator | [pure virtual] |
LmmCalibrator::swaptionForwardPrice(int i, Real strike, Real Sigma) | LmmCalibrator | |
swaptions | LmmCalibrator | [protected] |
swaptionsIn | LmmCalibrator | [protected] |
swaptionsOut | LmmCalibrator | [protected] |
swaptionVol | StandardLmmCalibrator | [protected] |
testCalibration(int nVals, int dim, int dataLmmType, int dataVolSurfaceType, int dataCorrelationType, int lmmType, int volSurfaceType, int correlationType) | StandardLmmCalibrator | [static] |
U0 | LmmCalibrator | [protected] |
write(ostream &os, const Array1D< Instrument * > &instruments) | LmmCalibrator | [inline] |
writeCaplets() | LmmCalibrator | |
writeCovariationMatrix(int p, int q) | StandardLmmCalibrator | |
writeSwaptions() | LmmCalibrator | |
writeSyntheticData() | LmmCalibrator | |
writeSyntheticDataSample(int n, int volType=VolSurface::JR, int corrType=Correlations::CS) | StandardLmmCalibrator | [static] |
writeSyntheticDataSample() | StandardLmmCalibrator | [static] |
x | StandardLmmCalibrator | [protected] |
X0 | LmmCalibrator | [protected] |
~LmmCalibrator() | LmmCalibrator | [inline, virtual] |