C# Class Pelsser.Calibration.PelsserCappletOptimizationProblem

Describes the optimization problem.

Inheritance: IOptimizationProblem

Public Methods

Method	Description
G ( DVPLI x ) : DVPLI.Vector	Implements the G() function of the interface which describes a non linear inequality constraint.
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 Pelsser caps.
PelsserConstraint ( ProjectROV project, DVPLI x, double maturity ) : DVPLI.Vector	Creates a representation of the Pelsser constraints. The method is static in order to be used by other classes.

Method	Description
Assign ( ProjectROV project, Vector x ) : SquaredGaussianModel	Assigns new trial values for x in order to use it for the evaluation of the constraints and the objective function.
PelsserCappletOptimizationProblem ( ProjectROV project, Caplet caplet, Vector capMaturity, Vector fwd, Vector capK, double deltaK, Vector capMat, System.Matrix blackCaps ) : System	Constructor for the Pelsser Calibration Problem based on caps matrices.

Implements the G() function of the interface which describes a non linear inequality constraint.

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

Calibration objective function: squared difference between black caps and Pelsser caps.

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

Creates a representation of the Pelsser constraints.

The method is static in order to be used by other classes.

public static PelsserConstraint ( ProjectROV project, DVPLI x, double maturity ) : DVPLI.Vector
project	ProjectROV	The project where to evaluate the constraints.
x	DVPLI	The vector of x values.
maturity	double	The cap maturity to use to evaluate the constraints.
return	DVPLI.Vector