functions to construct and use CmsMarketCalibration objects.
The first step is to load the QuantLib package.
Needs["QuantLib`"]
Within the CmsMarketCalibration part there are several constructors and member functions available
In[170]:=
Select[Category[CmsMarketCalibration],QLConstructor[#]&]
Out[170]=
In[171]:=
Select[Category[CmsMarketCalibration],QLMember[#]&]
Out[171]=
obj=CmsMarketCalibration[VolCube,CmsMarket,Weights,CalibrationType]
CmsMarketCalibrationCompute[obj,EndCriteria,OptimizationMethod,Guess,IsMeanRevFixed]
CmsMarketCalibrationError
No Parameters
CmsMarketCalibrationError[obj,]
CmsMarketCalibrationEndCriteria
No Parameters
CmsMarketCalibrationEndCriteria[obj]
CmsMarketCalibrationElapsed
No Parameters
CmsMarketCalibrationElapsed[obj]
CmsMarketCalibrationSparseSabrParameters
No Parameters
CmsMarketCalibrationSparseSabrParameters[obj]
CmsMarketCalibrationDenseSabrParameters
No Parameters
CmsMarketCalibrationDenseSabrParameters[obj]
SimultaneousCalibrationBrowseCmsMarket
No Parameters
SimultaneousCalibrationBrowseCmsMarket[obj]