Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class GridModelLocalVolSurface

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.LocalVolTermStructure

org.quantlib.GridModelLocalVolSurface

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class GridModelLocalVolSurface
extends LocalVolTermStructure
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	GridModelLocalVolSurface(long cPtr, boolean cMemoryOwn)
	GridModelLocalVolSurface(Date referenceDate, DateVector dates, DoubleVectorVector strikes, DayCounter dayCounter)
	GridModelLocalVolSurface(Date referenceDate, DateVector dates, DoubleVectorVector strikes, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation)
	GridModelLocalVolSurface(Date referenceDate, DateVector dates, DoubleVectorVector strikes, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation, FixedLocalVolSurface.Extrapolation upperExtrapolation)

Method Summary

Modifier and Type	Method	Description
void	calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2)
void	calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint)
void	calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights)
void	calibrate(CalibrationHelperVector arg0, OptimizationMethod arg1, EndCriteria arg2, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
protected static long	getCPtr(GridModelLocalVolSurface obj)
Array	params()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.LocalVolTermStructure

getCPtr, localVol, localVol, localVol, localVol

Methods inherited from class org.quantlib.VolatilityTermStructure

getCPtr, maxStrike, minStrike

Methods inherited from class org.quantlib.TermStructure

allowsExtrapolation, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, maxDate, maxTime, referenceDate, timeFromReference

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

GridModelLocalVolSurface

protected GridModelLocalVolSurface(long cPtr,
                                   boolean cMemoryOwn)

GridModelLocalVolSurface

public GridModelLocalVolSurface(Date referenceDate,
                                DateVector dates,
                                DoubleVectorVector strikes,
                                DayCounter dayCounter,
                                FixedLocalVolSurface.Extrapolation lowerExtrapolation,
                                FixedLocalVolSurface.Extrapolation upperExtrapolation)

GridModelLocalVolSurface

public GridModelLocalVolSurface(Date referenceDate,
                                DateVector dates,
                                DoubleVectorVector strikes,
                                DayCounter dayCounter,
                                FixedLocalVolSurface.Extrapolation lowerExtrapolation)

GridModelLocalVolSurface

public GridModelLocalVolSurface(Date referenceDate,
                                DateVector dates,
                                DoubleVectorVector strikes,
                                DayCounter dayCounter)

Method Detail

getCPtr

protected static long getCPtr(GridModelLocalVolSurface obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class LocalVolTermStructure

finalize

protected void finalize()

Overrides:

finalize in class LocalVolTermStructure

delete

public void delete()

Specified by:

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

Overrides:

delete in class LocalVolTermStructure

params

public Array params()

calibrate

public void calibrate(CalibrationHelperVector arg0,
                      OptimizationMethod arg1,
                      EndCriteria arg2,
                      Constraint constraint,
                      DoubleVector weights,
                      BoolVector fixParameters)

calibrate

public void calibrate(CalibrationHelperVector arg0,
                      OptimizationMethod arg1,
                      EndCriteria arg2,
                      Constraint constraint,
                      DoubleVector weights)

calibrate

public void calibrate(CalibrationHelperVector arg0,
                      OptimizationMethod arg1,
                      EndCriteria arg2,
                      Constraint constraint)

calibrate

public void calibrate(CalibrationHelperVector arg0,
                      OptimizationMethod arg1,
                      EndCriteria arg2)

endCriteria

public EndCriteria.Type endCriteria()