C# Class Pelsser.Calibration.CapletRealWordEstimator

Inheritance: IEstimatorEx, IMenuItemDescription
显示文件 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 SwaptionHW1OptimizationProblem using swaption matrices.
GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]

Gets the types required by the estimator in order to work: InterestRateMarketData and zero rate curve historical serie are required for this estimator.

Method Details

Estimate() public method

Attempts a calibration through SwaptionHW1OptimizationProblem using swaption 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 The controller which may be used to cancel the process.
properties object>.Dictionary
return EstimationResult

GetRequirements() public method

Gets the types required by the estimator in order to work: InterestRateMarketData and zero rate curve historical serie are required for this estimator.
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings IEstimationSettings The parameter is not used.
query EstimateQuery
return EstimateRequirement[]