/usr/include/ql/models/calibrationhelper.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file calibrationhelper.hpp
\brief Calibration helper class
*/
#ifndef quantlib_interest_rate_modelling_calibration_helper_h
#define quantlib_interest_rate_modelling_calibration_helper_h
#include <ql/quote.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <list>
namespace QuantLib {
class PricingEngine;
//! liquid market instrument used during calibration
class CalibrationHelper : public LazyObject {
public:
enum CalibrationErrorType {
RelativePriceError, PriceError, ImpliedVolError};
CalibrationHelper(const Handle<Quote>& volatility,
const Handle<YieldTermStructure>& termStructure,
CalibrationErrorType calibrationErrorType
= RelativePriceError)
: volatility_(volatility), termStructure_(termStructure),
calibrationErrorType_(calibrationErrorType) {
registerWith(volatility_);
registerWith(termStructure_);
}
void performCalculations() const {
marketValue_ = blackPrice(volatility_->value());
}
//! returns the volatility Handle
Handle<Quote> volatility() { return volatility_; }
//! returns the actual price of the instrument (from volatility)
Real marketValue() const { calculate(); return marketValue_; }
//! returns the price of the instrument according to the model
virtual Real modelValue() const = 0;
//! returns the error resulting from the model valuation
virtual Real calibrationError();
virtual void addTimesTo(std::list<Time>& times) const = 0;
//! Black volatility implied by the model
Volatility impliedVolatility(Real targetValue,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const;
//! Black price given a volatility
virtual Real blackPrice(Volatility volatility) const = 0;
void setPricingEngine(const boost::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
}
protected:
mutable Real marketValue_;
Handle<Quote> volatility_;
Handle<YieldTermStructure> termStructure_;
boost::shared_ptr<PricingEngine> engine_;
private:
class ImpliedVolatilityHelper;
const CalibrationErrorType calibrationErrorType_;
};
}
#endif
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