Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class Gsr

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructureConsistentModel

org.quantlib.Gaussian1dModel

org.quantlib.Gsr

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	Gsr(long cPtr, boolean cMemoryOwn)
	Gsr(YieldTermStructureHandle termStructure, DateVector volstepdates, QuoteHandleVector volatilities, QuoteHandleVector reversions)
	Gsr(YieldTermStructureHandle termStructure, DateVector volstepdates, QuoteHandleVector volatilities, QuoteHandleVector reversions, double T)

Method Summary

Modifier and Type	Method	Description
void	calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria)
void	calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	calibrate(CalibrationHelperVector instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria)
void	calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
Constraint	constraint()
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
int	functionEvaluation()
protected static long	getCPtr(Gsr obj)
Array	params()
Array	problemValues()
Array	reversion()
void	setParams(Array params)
protected void	swigSetCMemOwn(boolean own)
double	value(Array params, CalibrationHelperVector instruments)
Array	volatility()

Methods inherited from class org.quantlib.Gaussian1dModel

forwardRate, forwardRate, forwardRate, forwardRate, getCPtr, numeraire, numeraire, numeraire, numeraire, numeraire, numeraire, stateProcess, swapAnnuity, swapAnnuity, swapAnnuity, swapAnnuity, swapRate, swapRate, swapRate, swapRate, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption

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

Gsr

protected Gsr(long cPtr,
              boolean cMemoryOwn)

Gsr

public Gsr(YieldTermStructureHandle termStructure,
           DateVector volstepdates,
           QuoteHandleVector volatilities,
           QuoteHandleVector reversions,
           double T)

Gsr

public Gsr(YieldTermStructureHandle termStructure,
           DateVector volstepdates,
           QuoteHandleVector volatilities,
           QuoteHandleVector reversions)

Method Detail

getCPtr

protected static long getCPtr(Gsr obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Gaussian1dModel

finalize

protected void finalize()

Overrides:

finalize in class Gaussian1dModel

delete

public void delete()

Specified by:

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

Overrides:

delete in class Gaussian1dModel

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria,
                                           Constraint constraint,
                                           DoubleVector weights)

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria,
                                           Constraint constraint)

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(BlackCalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria)

reversion

public Array reversion()

volatility

public Array volatility()

params

public Array params()

calibrate

public void calibrate(CalibrationHelperVector instruments,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint,
                      DoubleVector weights,
                      BoolVector fixParameters)

calibrate

public void calibrate(CalibrationHelperVector instruments,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint,
                      DoubleVector weights)

calibrate

public void calibrate(CalibrationHelperVector instruments,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint)

calibrate

public void calibrate(CalibrationHelperVector instruments,
                      OptimizationMethod method,
                      EndCriteria endCriteria)

setParams

public void setParams(Array params)

value

public double value(Array params,
                    CalibrationHelperVector instruments)

constraint

public Constraint constraint()

endCriteria

public EndCriteria.Type endCriteria()

problemValues

public Array problemValues()

functionEvaluation

public int functionEvaluation()