C# Class CIRProcess.CapCIREstimator

Inheritance: IEstimator, IMenuItemDescription
Show file Open project: fairmat/InterestRatesModels

Public Methods

Method Description
Estimate ( List data, IEstimationSettings settings = null, IController controller = null, object>.Dictionary properties = null ) : EstimationResult

Attempts a calibration through CapsCIROptimizationProblem using caps matrices.
GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]

Gets the types required by the estimator in order to work: InterestRateMarketData is the only required type for this estimator.

Method Details

Estimate() public method

Attempts a calibration through CapsCIROptimizationProblem using caps matrices.
public Estimate ( List data, IEstimationSettings settings = null, IController controller = null, object>.Dictionary properties = null ) : EstimationResult
data List The data to be used in order to perform the calibration.
settings IEstimationSettings The parameter is not used.
controller IController A controller used for the optimization process.
properties object>.Dictionary
return EstimationResult

GetRequirements() public method

Gets the types required by the estimator in order to work: InterestRateMarketData is the only required type for this estimator.
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings IEstimationSettings The parameter is not used.
query EstimateQuery The parameter is not used.
return EstimateRequirement[]