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 Details

    • 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.
  • Method Details