Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CmsMarketCalibration

java.lang.Object

org.quantlib.CmsMarketCalibration

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CmsMarketCalibration.CalibrationType

Field Summary

Fields

Modifier and Type	Field	Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CmsMarketCalibration(long cPtr, boolean cMemoryOwn)
	CmsMarketCalibration(SwaptionVolatilityStructureHandle volCube, CmsMarket cmsMarket, Matrix weights, CmsMarketCalibration.CalibrationType calibrationType)

Method Summary

Modifier and Type	Method	Description
Array	compute(EndCriteria endCriteria, OptimizationMethod method, Array guess, boolean isMeanReversionFixed)
Matrix	compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
Matrix	computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
void	delete()
EndCriteria.Type	endCriteria()
double	error()
protected void	finalize()
protected static long	getCPtr(CmsMarketCalibration obj)
protected static long	swigRelease(CmsMarketCalibration obj)

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

CmsMarketCalibration

protected CmsMarketCalibration(long cPtr,
                               boolean cMemoryOwn)

CmsMarketCalibration

public CmsMarketCalibration(SwaptionVolatilityStructureHandle volCube,
                            CmsMarket cmsMarket,
                            Matrix weights,
                            CmsMarketCalibration.CalibrationType calibrationType)

Method Detail

getCPtr

protected static long getCPtr(CmsMarketCalibration obj)

swigRelease

protected static long swigRelease(CmsMarketCalibration obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

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

compute

public Array compute(EndCriteria endCriteria,
                     OptimizationMethod method,
                     Array guess,
                     boolean isMeanReversionFixed)

compute

public Matrix compute(EndCriteria endCriteria,
                      OptimizationMethod method,
                      Matrix guess,
                      boolean isMeanReversionFixed,
                      double meanReversionGuess)

compute

public Matrix compute(EndCriteria endCriteria,
                      OptimizationMethod method,
                      Matrix guess,
                      boolean isMeanReversionFixed)

computeParametric

public Matrix computeParametric(EndCriteria endCriteria,
                                OptimizationMethod method,
                                Matrix guess,
                                boolean isMeanReversionFixed,
                                double meanReversionGuess)

computeParametric

public Matrix computeParametric(EndCriteria endCriteria,
                                OptimizationMethod method,
                                Matrix guess,
                                boolean isMeanReversionFixed)

error

public double error()

endCriteria

public EndCriteria.Type endCriteria()