Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class Gaussian1dModel

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructureConsistentModel

org.quantlib.Gaussian1dModel

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

Gsr, MarkovFunctional

public class Gaussian1dModel
extends TermStructureConsistentModel
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	Gaussian1dModel(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
double	forwardRate(Date fixing)
double	forwardRate(Date fixing, Date referenceDate)
double	forwardRate(Date fixing, Date referenceDate, double y)
double	forwardRate(Date fixing, Date referenceDate, double y, IborIndex iborIdx)
protected static long	getCPtr(Gaussian1dModel obj)
double	numeraire(double t)
double	numeraire(double t, double y)
double	numeraire(double t, double y, YieldTermStructureHandle yts)
double	numeraire(Date referenceDate)
double	numeraire(Date referenceDate, double y)
double	numeraire(Date referenceDate, double y, YieldTermStructureHandle yts)
StochasticProcess1D	stateProcess()
double	swapAnnuity(Date fixing, Period tenor)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate, double y)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate, double y, SwapIndex swapIdx)
double	swapRate(Date fixing, Period tenor)
double	swapRate(Date fixing, Period tenor, Date referenceDate)
double	swapRate(Date fixing, Period tenor, Date referenceDate, double y)
double	swapRate(Date fixing, Period tenor, Date referenceDate, double y, SwapIndex swapIdx)
protected void	swigSetCMemOwn(boolean own)
double	zerobond(double T)
double	zerobond(double T, double t)
double	zerobond(double T, double t, double y)
double	zerobond(double T, double t, double y, YieldTermStructureHandle yts)
double	zerobond(Date maturity)
double	zerobond(Date maturity, Date referenceDate)
double	zerobond(Date maturity, Date referenceDate, double y)
double	zerobond(Date maturity, Date referenceDate, double y, YieldTermStructureHandle yts)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints, boolean extrapolatePayoff)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints, boolean extrapolatePayoff, boolean flatPayoffExtrapolation)

Methods inherited from class org.quantlib.TermStructureConsistentModel

getCPtr, termStructure

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

Gaussian1dModel

protected Gaussian1dModel(long cPtr,
                          boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(Gaussian1dModel obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class TermStructureConsistentModel

finalize

protected void finalize()

Overrides:

finalize in class TermStructureConsistentModel

delete

public void delete()

Specified by:

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

Overrides:

delete in class TermStructureConsistentModel

stateProcess

public StochasticProcess1D stateProcess()

numeraire

public double numeraire(double t,
                        double y,
                        YieldTermStructureHandle yts)

numeraire

public double numeraire(double t,
                        double y)

numeraire

public double numeraire(double t)

zerobond

public double zerobond(double T,
                       double t,
                       double y,
                       YieldTermStructureHandle yts)

zerobond

public double zerobond(double T,
                       double t,
                       double y)

zerobond

public double zerobond(double T,
                       double t)

zerobond

public double zerobond(double T)

numeraire

public double numeraire(Date referenceDate,
                        double y,
                        YieldTermStructureHandle yts)

numeraire

public double numeraire(Date referenceDate,
                        double y)

numeraire

public double numeraire(Date referenceDate)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate,
                       double y,
                       YieldTermStructureHandle yts)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate,
                       double y)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate)

zerobond

public double zerobond(Date maturity)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints,
                             boolean extrapolatePayoff,
                             boolean flatPayoffExtrapolation)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints,
                             boolean extrapolatePayoff)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate,
                          double y,
                          IborIndex iborIdx)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate,
                          double y)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate)

forwardRate

public double forwardRate(Date fixing)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate,
                       double y,
                       SwapIndex swapIdx)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate,
                       double y)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate)

swapRate

public double swapRate(Date fixing,
                       Period tenor)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate,
                          double y,
                          SwapIndex swapIdx)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate,
                          double y)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor)