Real CalibrationHelper::calibrationError() {
Real error;
switch (calibrationErrorType_) {
case RelativePriceError:
error = std::fabs(marketValue() - modelValue())/marketValue();
break;
case PriceError:
error = marketValue() - modelValue();
break;
case ImpliedVolError:
{
const Real lowerPrice = blackPrice(0.001);
const Real upperPrice = blackPrice(10);
const Real modelPrice = modelValue();
Volatility implied;
if (modelPrice <= lowerPrice)
implied = 0.001;
else
if (modelPrice >= upperPrice)
implied = 10.0;
else
implied = this->impliedVolatility(
modelPrice, 1e-12, 5000, 0.001, 10);
error = implied - volatility_->value();
}
break;
default:
QL_FAIL("unknown Calibration Error Type");
}
return error;
}
void update() {
marketValue_ = blackPrice(volatility_->value());
notifyObservers();
}
void performCalculations() const {
marketValue_ = blackPrice(volatility_->value());
}
