Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CmsMarket

java.lang.Object

org.quantlib.CmsMarket

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class CmsMarket
extends Object
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CmsMarket(long cPtr, boolean cMemoryOwn)
	CmsMarket(PeriodVector swapLengths, SwapIndexVector swapIndexes, IborIndex iborIndex, QuoteHandleVectorVector bidAskSpreads, CmsCouponPricerVector pricers, YieldTermStructureHandle discountingTS)

Method Summary

Modifier and Type	Method	Description
Matrix	browse()
void	delete()
protected void	finalize()
protected static long	getCPtr(CmsMarket obj)
Matrix	impliedCmsSpreads()
void	reprice(SwaptionVolatilityStructureHandle volStructure, double meanReversion)
Matrix	spreadErrors()
PeriodVector	swapLengths()
PeriodVector	swapTenors()
protected void	swigSetCMemOwn(boolean own)
double	weightedFwdNpvError(Matrix weights)
Array	weightedFwdNpvErrors(Matrix weights)
double	weightedSpotNpvError(Matrix weights)
Array	weightedSpotNpvErrors(Matrix weights)
double	weightedSpreadError(Matrix weights)
Array	weightedSpreadErrors(Matrix weights)

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

CmsMarket

protected CmsMarket(long cPtr,
                    boolean cMemoryOwn)

CmsMarket

public CmsMarket(PeriodVector swapLengths,
                 SwapIndexVector swapIndexes,
                 IborIndex iborIndex,
                 QuoteHandleVectorVector bidAskSpreads,
                 CmsCouponPricerVector pricers,
                 YieldTermStructureHandle discountingTS)

Method Detail

getCPtr

protected static long getCPtr(CmsMarket obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

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

reprice

public void reprice(SwaptionVolatilityStructureHandle volStructure,
                    double meanReversion)

swapTenors

public PeriodVector swapTenors()

swapLengths

public PeriodVector swapLengths()

impliedCmsSpreads

public Matrix impliedCmsSpreads()

spreadErrors

public Matrix spreadErrors()

browse

public Matrix browse()

weightedSpreadError

public double weightedSpreadError(Matrix weights)

weightedSpotNpvError

public double weightedSpotNpvError(Matrix weights)

weightedFwdNpvError

public double weightedFwdNpvError(Matrix weights)

weightedSpreadErrors

public Array weightedSpreadErrors(Matrix weights)

weightedSpotNpvErrors

public Array weightedSpotNpvErrors(Matrix weights)

weightedFwdNpvErrors

public Array weightedFwdNpvErrors(Matrix weights)