org.jquantlib.model

Class CalibratedModel

java.lang.Object

org.jquantlib.model.CalibratedModel

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

HestonModel, ShortRateModel

public abstract class CalibratedModel
extends java.lang.Object
implements Observer, Observable

Calibrated model class

Constructor Summary

Constructors

Constructor and Description
CalibratedModel(int nArguments)

Method Summary

Modifier and Type	Method and Description
void	addObserver(Observer observer) Attaches a observer to the Observable.
void	calibrate(java.util.List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint additionalConstraint, double[] weights) Calibrate to a set of market instruments (caps/swaptions).
Constraint	constraint()
int	countObservers() Counts how many Observers were attached to this class.
void	deleteObserver(Observer observer) Detaches a previously attached observer to the observable.
void	deleteObservers() Detaches all previously attached observer to the observable.
EndCriteria.Type	endCriteria() returns end criteria result
java.util.List<Observer>	getObservers() Returns list of observers registered with the Observable.
void	notifyObservers() Notifies all attached observers about changes in the observable.
void	notifyObservers(java.lang.Object arg) Notifies all attached observers about changes in the observable.
Array	params() Returns array of arguments on which calibration is done.
void	setParams(Array params)
void	update() This method must be implemented in derived classes.
double	value(Array params, java.util.List<CalibrationHelper> instruments)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CalibratedModel

public CalibratedModel(int nArguments)

Method Detail

calibrate

public void calibrate(java.util.List<CalibrationHelper> instruments,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint additionalConstraint,
                      double[] weights)

Calibrate to a set of market instruments (caps/swaptions).

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

value

public double value(Array params,
                    java.util.List<CalibrationHelper> instruments)

constraint

public final Constraint constraint()

endCriteria

public EndCriteria.Type endCriteria()

returns end criteria result

params

public Array params()

Returns array of arguments on which calibration is done.

setParams

public void setParams(Array params)

update

public void update()

This method must be implemented in derived classes.

An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Specified by:

update in interface Observer

addObserver

public void addObserver(Observer observer)

Description copied from interface: Observable

Attaches a observer to the Observable. After attachment the observer gets informed about changes in the Observable.

Specified by:

addObserver in interface Observable

Parameters:

observer - The observer to attach to the observable

countObservers

public int countObservers()

Description copied from interface: Observable

Counts how many Observers were attached to this class.

Specified by:

countObservers in interface Observable

Returns:

the number of Observers

See Also:

Observer

deleteObserver

public void deleteObserver(Observer observer)

Description copied from interface: Observable

Detaches a previously attached observer to the observable. After detachment the observer does no longer receive change notifications from the observable.

Specified by:

deleteObserver in interface Observable

Parameters:

observer - The observer to detach from the observable

deleteObservers

public void deleteObservers()

Description copied from interface: Observable

Detaches all previously attached observer to the observable. After detachment observers do not longer receive change notifications from the observable.

Specified by:

deleteObservers in interface Observable

getObservers

public java.util.List<Observer> getObservers()

Description copied from interface: Observable

Returns list of observers registered with the Observable. List returned is unmodifiable list.

Specified by:

getObservers in interface Observable

Returns:

list of observers

notifyObservers

public void notifyObservers()

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

notifyObservers

public void notifyObservers(java.lang.Object arg)

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

Parameters:

arg - an arbitrary Object to be passed to the Observer