Class CalibrationResults<TModel>

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A calibration's result: the calibrated model, and QuantLib's record of the calibration that produced it, which QuantLib's CalibratedModel keeps in the model it calibrates.

public sealed class CalibrationResults<TModel> where TModel : ICalibratedModel

Type Parameters

TModel

The model's type.

Inheritance

object

CalibrationResults<TModel>

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable, and compared by reference, as the model it holds is. QuantLib's record is unset before a calibration (its evaluation count has no initial value); here it exists only once a calibration has run.

Properties

EndCriteria

Gets the criterion that ended the optimization: QuantLib's endCriteria().

public EndCriteriaType EndCriteria { get; }

Property Value

EndCriteriaType

FunctionEvaluation

Gets the number of evaluations of the cost function: QuantLib's functionEvaluation(), which counts the evaluation of the problem values after the optimization.

public int FunctionEvaluation { get; }

Property Value

int

Model

Gets the calibrated model: the receiver's type, with the parameters the optimization found.

public TModel Model { get; }

Property Value

TModel

ProblemValues

Gets the cost function's values at the calibrated parameters, each helper's calibration error times the square root of its weight: QuantLib's problemValues().

public ImmutableArray<double> ProblemValues { get; }

Property Value

ImmutableArray<double>