/// <summary> /// Default constructor /// </summary> public CalibrationSettings() { CascadeParam = new CascadeParameters(); HSmoothWeight = 0.001; VSmoothWeight = 0.001; SwaptionWeight = 1; CapletWeight = 1; ExponentialForm = true; ThreadCount = 2; MaxIteration = 100; }
/// <summary> /// Custom constructor /// </summary> /// <param name="hWeight">horizontal weight</param> /// <param name="vWeight">vertical weight</param> /// <param name="sWeight">swaption weight</param> /// <param name="cWeight">caplet weight</param> /// <param name="expForm">whether to use exponential form for input vector</param> /// <param name="threads">number of threads used</param> /// <param name="maxIterations">maximum number of iterations</param> /// <param name="cascadeParam">cascade specifications</param> public CalibrationSettings(double hWeight, double vWeight, double sWeight, double cWeight, bool expForm, int threads, int maxIterations, CascadeParameters cascadeParam) { CascadeParam = cascadeParam; HSmoothWeight = hWeight; VSmoothWeight = vWeight; SwaptionWeight = sWeight; CapletWeight = cWeight; ExponentialForm = expForm; ThreadCount = threads; MaxIteration = maxIterations; }
public override bool TryParsePrefab(string text, out CascadeParameters value) { throw new System.NotImplementedException(); }