Class CalibratedModel

  • public class CalibratedModel
    extends Object
    This class solves a calibration problem. The problem is defined in terms of:
    • a generic container of market data OptionSurfaceData.
    • a generic pricing model.
    • a generic calibration algorithm.
    • a generic pricer for claims.
    The class supports both calibration in terms of:
    • Prices
    • Log-normal implied volatilities.
    • Normal implied volatilities.
    To change the calibration entity please change the convention in the option surface. The calibration entity (i.e. price/vol/normal vol) is directly detected from market data.
    Alessandro Gnoatto
    • Constructor Detail

      • CalibratedModel

        public CalibratedModel​(OptionSurfaceData surface,
                               CalibratableProcess model,
                               OptimizerFactory optimizerFactory,
                               EuropeanOptionSmile pricer,
                               double[] initialParameters,
                               double[] parameterStep)
        Create the calibration from data.
        surface - The target calibration instruments. They dictate the calibration entity: vol/price.
        model - The model to calibrate.
        optimizerFactory - Factory providing the optimizer to use.
        pricer - How do we compute prices: Carr Madan, Cos, Conv, Lewis...
        initialParameters - Initial parameters
        parameterStep - Parameter steps.