Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class BlackCalibrationHelper

java.lang.Object

org.quantlib.CalibrationHelper

org.quantlib.BlackCalibrationHelper

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

CapHelper, HestonModelHelper, SwaptionHelper

public class BlackCalibrationHelper
extends CalibrationHelper
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	BlackCalibrationHelper.CalibrationErrorType

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	BlackCalibrationHelper(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method	Description
double	blackPrice(double volatility)
double	calibrationError()
void	delete()
protected void	finalize()
protected static long	getCPtr(BlackCalibrationHelper obj)
double	impliedVolatility(double targetValue, double accuracy, long maxEvaluations, double minVol, double maxVol)
double	marketValue()
double	modelValue()
void	setPricingEngine(PricingEngine engine)
protected void	swigSetCMemOwn(boolean own)
QuoteHandle	volatility()
VolatilityType	volatilityType()

Methods inherited from class org.quantlib.CalibrationHelper

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

BlackCalibrationHelper

protected BlackCalibrationHelper(long cPtr,
                                 boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(BlackCalibrationHelper obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class CalibrationHelper

finalize

protected void finalize()

Overrides:

finalize in class CalibrationHelper

delete

public void delete()

Specified by:

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

Overrides:

delete in class CalibrationHelper

setPricingEngine

public void setPricingEngine(PricingEngine engine)

marketValue

public double marketValue()

modelValue

public double modelValue()

impliedVolatility

public double impliedVolatility(double targetValue,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

blackPrice

public double blackPrice(double volatility)

volatility

public QuoteHandle volatility()

volatilityType

public VolatilityType volatilityType()

calibrationError

public double calibrationError()

Overrides:

calibrationError in class CalibrationHelper