org.jquantlib.model

Class CalibrationHelper

java.lang.Object

org.jquantlib.model.CalibrationHelper

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

CapHelper, SwaptionHelper

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

Liquid market instrument used during calibration

Constructor Summary

Constructors

Constructor and Description
CalibrationHelper(Handle<Quote> volatility, Handle<YieldTermStructure> termStructure, boolean calibrateVolatility)

Method Summary

Modifier and Type	Method and Description
void	addObserver(Observer observer) Attaches a observer to the Observable.
abstract void	addTimesTo(java.util.ArrayList<Time> times)
abstract double	blackPrice(double volatility)
double	calibrationError()
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.
java.util.List<Observer>	getObservers() Returns list of observers registered with the Observable.
double	impliedVolatility(double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
abstract double	modelValue()
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.
void	setPricingEngine(PricingEngine engine)
void	update() This method is called whenever the observed object is changed.

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibrationHelper

public CalibrationHelper(Handle<Quote> volatility,
                         Handle<YieldTermStructure> termStructure,
                         boolean calibrateVolatility)

Method Detail

modelValue

public abstract double modelValue()

calibrationError

public double calibrationError()

impliedVolatility

public double impliedVolatility(double targetValue,
                                double accuracy,
                                int maxEvaluations,
                                double minVol,
                                double maxVol)

setPricingEngine

public void setPricingEngine(PricingEngine engine)

addTimesTo

public abstract void addTimesTo(java.util.ArrayList<Time> times)

blackPrice

public abstract double blackPrice(double volatility)

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

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