CmsMarketCalibration.HTML_1.gif

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]=

CmsMarketCalibration.HTML_2.gif

In[171]:=

Select[Category[CmsMarketCalibration],QLMember[#]&]

Out[171]=

CmsMarketCalibration.HTML_3.gif

CmsMarketCalibration

CmsMarketCalibration.HTML_4.gif

CmsMarketCalibration.HTML_5.gif

obj=CmsMarketCalibration[VolCube,CmsMarket,Weights,CalibrationType]

CmsMarketCalibrationCompute

CmsMarketCalibration.HTML_6.gif

CmsMarketCalibration.HTML_7.gif

CmsMarketCalibrationCompute[obj,EndCriteria,OptimizationMethod,Guess,IsMeanRevFixed]

CmsMarketCalibrationError

No Parameters

CmsMarketCalibration.HTML_8.gif

CmsMarketCalibrationError[obj,]

CmsMarketCalibrationEndCriteria

No Parameters

CmsMarketCalibration.HTML_9.gif

CmsMarketCalibrationEndCriteria[obj]

CmsMarketCalibrationElapsed

No Parameters

CmsMarketCalibration.HTML_10.gif

CmsMarketCalibrationElapsed[obj]

CmsMarketCalibrationSparseSabrParameters

No Parameters

CmsMarketCalibration.HTML_11.gif

CmsMarketCalibrationSparseSabrParameters[obj]

CmsMarketCalibrationDenseSabrParameters

No Parameters

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CmsMarketCalibrationDenseSabrParameters[obj]

SimultaneousCalibrationBrowseCmsMarket

No Parameters

CmsMarketCalibration.HTML_13.gif

SimultaneousCalibrationBrowseCmsMarket[obj]

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