functions to construct and use ctsmmcapletcalibration objects.
The first step is to load the QuantLib package.
In[1]:=
Needs["QuantLib`"]
Within the Ctsmmcapletcalibration part there are several constructors and member functions available
In[2]:=
Select[Category[Ctsmmcapletcalibration],QLConstructor[#]&]
Out[2]=
In[3]:=
Select[Category[Ctsmmcapletcalibration],QLMember[#]&]
Out[3]=
CTSMMCapletOriginalCalibration
obj=CTSMMCapletOriginalCalibration[Evolution,Correlations,SwapPiecewiseConstantVariances,CapletVols,CurveState,Alphas,UseFullApprox]
CTSMMCapletAlphaFormCalibration
obj=CTSMMCapletAlphaFormCalibration[Evolution,Correlations,SwapPiecewiseConstantVariances,CapletVols,CurveState,AlphaInitial]
CTSMMCapletMaxHomogeneityCalibration
obj=CTSMMCapletMaxHomogeneityCalibration[Evolution,Correlations,SwapPiecewiseConstantVariances,CapletVols,CurveState]
CTSMMCapletCalibrationCalibrate
CTSMMCapletCalibrationCalibrate[obj,NumberOfFactors]
CTSMMCapletCalibrationFailures
CTSMMCapletCalibrationFailures[obj]
CTSMMCapletCalibrationDeformationSize
CTSMMCapletCalibrationDeformationSize[obj]
CTSMMCapletCalibrationMarketCapletVols
CTSMMCapletCalibrationMarketCapletVols[obj]
CTSMMCapletCalibrationModelCapletVols
CTSMMCapletCalibrationModelCapletVols[obj]
CTSMMCapletCalibrationCapletRmsError
CTSMMCapletCalibrationCapletRmsError[obj]
CTSMMCapletCalibrationCapletMaxError
CTSMMCapletCalibrationCapletMaxError[obj]
CTSMMCapletCalibrationMarketSwaptionVols
CTSMMCapletCalibrationMarketSwaptionVols[obj]
CTSMMCapletCalibrationModelSwaptionVols
CTSMMCapletCalibrationModelSwaptionVols[obj]
CTSMMCapletCalibrationSwaptionRmsError
CTSMMCapletCalibrationSwaptionRmsError[obj]
CTSMMCapletCalibrationSwaptionMaxError
CTSMMCapletCalibrationSwaptionMaxError[obj]
CTSMMCapletCalibrationSwapPseudoRoot
CTSMMCapletCalibrationSwapPseudoRoot[obj,Index]
CTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols
CTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols[obj,Index]
CTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols
CTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols[obj,Index]
CTSMMCapletAlphaFormCalibrationAlpha
CTSMMCapletAlphaFormCalibrationAlpha[obj]
