C# Class CIRProcess.CapCIROptimizationProblem

Optimization problem for CIR Cap Calibration.
Inheritance: IOptimizationProblem
Show file Open project: fairmat/InterestRatesModels Class Usage Examples

Public Properties

Property Type Description
r0 double

Public Methods

Method Description
CapCIROptimizationProblem ( InterestRateMarketData irmd ) : System

Constructor for the Cox-Ingersoll-Ross Calibration Problem based on caps matrices, using an InterestRateMarketData to derive the required data.
CapCIROptimizationProblem ( System.Matrix blackCaps, Vector capMaturity, Vector capRate, double tau, double r0 ) : System

Constructor for the Cox-Ingersoll-Ross Calibration problem based on caps matrices.
G ( DVPLI x ) : DVPLI.Vector

This method is unused but part of the interface.
Grad ( DVPLI x ) : DVPLI.Vector

This method is unused but part of the interface.
Obj ( DVPLI x ) : double

Calibration objective function: squared difference between black caps and Cox-Ingersoll-Ross caps.

Method Details

CapCIROptimizationProblem() public method

Constructor for the Cox-Ingersoll-Ross Calibration Problem based on caps matrices, using an InterestRateMarketData to derive the required data.
public CapCIROptimizationProblem ( InterestRateMarketData irmd ) : System
irmd InterestRateMarketData /// An containing the /// required information for the optimization problem. ///
return System

CapCIROptimizationProblem() public method

Constructor for the Cox-Ingersoll-Ross Calibration problem based on caps matrices.
public CapCIROptimizationProblem ( System.Matrix blackCaps, Vector capMaturity, Vector capRate, double tau, double r0 ) : System
blackCaps System.Matrix A Blacks caps matrix to use.
capMaturity Vector Vector of cap maturities.
capRate Vector Vector of cap strikes.
tau double Cap tenor.
r0 double /// The starting value of the process usually the zero rate evaluated in 0. ///
return System

G() public method

This method is unused but part of the interface.
public G ( DVPLI x ) : DVPLI.Vector
x DVPLI The parameter is not used.
return DVPLI.Vector

Grad() public method

This method is unused but part of the interface.
public Grad ( DVPLI x ) : DVPLI.Vector
x DVPLI The parameter is not used.
return DVPLI.Vector

Obj() public method

Calibration objective function: squared difference between black caps and Cox-Ingersoll-Ross caps.
public Obj ( DVPLI x ) : double
x DVPLI /// The tested [kappa, theta, sigma] vector. ///
return double

Property Details

r0 public property

The starting value of the process usually the zero rate evaluated in 0.
public double r0
return double