Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class FdBlackScholesVanillaEngine

java.lang.Object

org.quantlib.Observable

org.quantlib.PricingEngine

org.quantlib.FdBlackScholesVanillaEngine

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class FdBlackScholesVanillaEngine
extends PricingEngine
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	FdBlackScholesVanillaEngine.CashDividendModel

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	FdBlackScholesVanillaEngine(long cPtr, boolean cMemoryOwn)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
	FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(FdBlackScholesVanillaEngine obj)
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.PricingEngine

getCPtr

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

FdBlackScholesVanillaEngine

protected FdBlackScholesVanillaEngine(long cPtr,
                                      boolean cMemoryOwn)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite,
                                   FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid,
                                   long xGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   long tGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite,
                                   FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   FdmQuantoHelper quantoHelper)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite,
                                   FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid,
                                   long xGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends,
                                   long tGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process,
                                   DividendSchedule dividends)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite,
                                   FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol,
                                   double illegalLocalVolOverwrite)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc,
                                   boolean localVol)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps,
                                   FdmSchemeDesc schemeDesc)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid,
                                   long dampingSteps)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid,
                                   long xGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper,
                                   long tGrid)

FdBlackScholesVanillaEngine

public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0,
                                   DividendSchedule dividends,
                                   FdmQuantoHelper quantoHelper)

Method Detail

getCPtr

protected static long getCPtr(FdBlackScholesVanillaEngine obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class PricingEngine

finalize

protected void finalize()

Overrides:

finalize in class PricingEngine

delete

public void delete()

Specified by:

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

Overrides:

delete in class PricingEngine