public interface ShortRateVolatilityModelCalibrateable extends ShortRateVolatilityModel
|Modifier and Type||Method and Description|
Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
ShortRateVolatilityModelCalibrateable getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct calibrationProducts, Map<String,Object> calibrationParameters) throws CalculationException
BrownianMotionmay be provided. If so, this Brownian motion is used to build the valuation model.
calibrationModel- The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).
calibrationProducts- The array of calibration products.
calibrationParameters- A map of type Map<String, Object> specifying some (optional) calibration parameters.
thisone, but with calibrated parameters.
CalculationException- Thrown if calibration has failed.
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