Uses of Class
org.quantlib.OptimizationMethod

Uses of OptimizationMethod in org.quantlib

Subclasses of OptimizationMethod in org.quantlib

Modifier and Type	Class	Description
class	BFGS
class	ConjugateGradient
class	DifferentialEvolution
class	GaussianSimulatedAnnealing
class	LevenbergMarquardt
class	LogNormalSimulatedAnnealing
class	MirrorGaussianSimulatedAnnealing
class	Simplex
class	SteepestDescent

Methods in org.quantlib with parameters of type OptimizationMethod

Modifier and Type	Method	Description
void	CalibratedModel.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	CalibratedModel.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	CalibratedModel.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	CalibratedModel.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	CalibratedModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	CalibratedModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	CalibratedModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	CalibratedModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	GridModelLocalVolSurface.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	GridModelLocalVolSurface.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	GridModelLocalVolSurface.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	GridModelLocalVolSurface.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	Gsr.calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria)
void	Gsr.calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	Gsr.calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	Gsr.calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	HestonModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	HestonModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	HestonModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	HestonModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	MarkovFunctional.calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria)
void	MarkovFunctional.calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	MarkovFunctional.calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	MarkovFunctional.calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	ShortRateModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	ShortRateModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	ShortRateModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	ShortRateModelHandle.calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	Gsr.calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria)
void	Gsr.calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	Gsr.calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
Array	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Array guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
protected static long	OptimizationMethod.getCPtr(OptimizationMethod obj)
Array	Optimizer.solve(CostFunctionDelegate function, Constraint c, OptimizationMethod m, EndCriteria e, Array iv)

Constructors in org.quantlib with parameters of type OptimizationMethod

Constructor	Description
AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType, long nGridPoints, double minStrike, double maxStrike, OptimizationMethod optimizationMethod)
AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType, long nGridPoints, double minStrike, double maxStrike, OptimizationMethod optimizationMethod, EndCriteria endCriteria)
NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod)
SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept)
SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError)
SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses)
SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, double shift)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, boolean backwardFlat)
SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, boolean backwardFlat, double cutoffStrike)
SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrFullFdInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrFullFdInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrFullFdInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrFullFdInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrLocalVolatilityInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrLocalVolatilityInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrLocalVolatilityInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrLocalVolatilityInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrShortMaturityLognormalInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrShortMaturityLognormalInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrShortMaturityLognormalInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrShortMaturityLognormalInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrShortMaturityNormalInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrShortMaturityNormalInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
ZabrShortMaturityNormalInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
ZabrShortMaturityNormalInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, double gamma, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean isGammaFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)