Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class AndreasenHugeVolatilityInterpl

java.lang.Object

org.quantlib.Observable

org.quantlib.AndreasenHugeVolatilityInterpl

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class AndreasenHugeVolatilityInterpl
extends Observable
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	AndreasenHugeVolatilityInterpl.CalibrationType
static class	AndreasenHugeVolatilityInterpl.InterpolationType

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	AndreasenHugeVolatilityInterpl(long cPtr, boolean cMemoryOwn)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType, long nGridPoints)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType, long nGridPoints, double minStrike)
	AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet, QuoteHandle spot, YieldTermStructureHandle rTS, YieldTermStructureHandle qTS, AndreasenHugeVolatilityInterpl.InterpolationType interpolationType, AndreasenHugeVolatilityInterpl.CalibrationType calibrationType, long nGridPoints, double minStrike, double maxStrike)
	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)

Method Summary

Modifier and Type	Method	Description
CalibrationErrorTuple	calibrationError()
void	delete()
protected void	finalize()
double	fwd(double t)
protected static long	getCPtr(AndreasenHugeVolatilityInterpl obj)
double	localVol(double t, double strike)
Date	maxDate()
double	maxStrike()
double	minStrike()
double	optionPrice(double t, double strike, Option.Type optionType)
YieldTermStructureHandle	riskFreeRate()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.Observable

getCPtr

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

AndreasenHugeVolatilityInterpl

protected AndreasenHugeVolatilityInterpl(long cPtr,
                                         boolean cMemoryOwn)

AndreasenHugeVolatilityInterpl

public 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)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType,
                                      AndreasenHugeVolatilityInterpl.CalibrationType calibrationType,
                                      long nGridPoints,
                                      double minStrike,
                                      double maxStrike,
                                      OptimizationMethod optimizationMethod)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType,
                                      AndreasenHugeVolatilityInterpl.CalibrationType calibrationType,
                                      long nGridPoints,
                                      double minStrike,
                                      double maxStrike)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType,
                                      AndreasenHugeVolatilityInterpl.CalibrationType calibrationType,
                                      long nGridPoints,
                                      double minStrike)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType,
                                      AndreasenHugeVolatilityInterpl.CalibrationType calibrationType,
                                      long nGridPoints)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType,
                                      AndreasenHugeVolatilityInterpl.CalibrationType calibrationType)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS,
                                      AndreasenHugeVolatilityInterpl.InterpolationType interpolationType)

AndreasenHugeVolatilityInterpl

public AndreasenHugeVolatilityInterpl(CalibrationSet calibrationSet,
                                      QuoteHandle spot,
                                      YieldTermStructureHandle rTS,
                                      YieldTermStructureHandle qTS)

Method Detail

getCPtr

protected static long getCPtr(AndreasenHugeVolatilityInterpl obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Observable

finalize

protected void finalize()

Overrides:

finalize in class Observable

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Overrides:

delete in class Observable

maxDate

public Date maxDate()

minStrike

public double minStrike()

maxStrike

public double maxStrike()

fwd

public double fwd(double t)

riskFreeRate

public YieldTermStructureHandle riskFreeRate()

calibrationError

public CalibrationErrorTuple calibrationError()

optionPrice

public double optionPrice(double t,
                          double strike,
                          Option.Type optionType)

localVol

public double localVol(double t,
                       double strike)