C# Class HullAndWhiteOneFactor.SwaptionHW1OptimizationProblem

Implementation of HW1 Calibration Problem (Swaption matrix based).
Inheritance: IOptimizationProblem
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Public Methods

Method Description
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 swaptions and HW swaptions.

Private Methods

Method Description
SwaptionHW1OptimizationProblem ( SwaptionHW1 shw1, System.Matrix blackSwaption, Vector swaptionMaturity, Vector swapDuration, double deltaK ) : System

Constructor for the HW1 Calibration Problem based on swaption matrices.

Method Details

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 swaptions and HW swaptions.
public Obj ( DVPLI x ) : double
x DVPLI /// The tested [alpha, sigma] vector. ///
return double