Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class HullWhite

java.lang.Object

org.quantlib.Observable

org.quantlib.CalibratedModel

org.quantlib.ShortRateModel

org.quantlib.OneFactorAffineModel

org.quantlib.Vasicek

org.quantlib.HullWhite

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class HullWhite
extends Vasicek
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	HullWhite(long cPtr, boolean cMemoryOwn)
	HullWhite(YieldTermStructureHandle termStructure)
	HullWhite(YieldTermStructureHandle termStructure, double a)
	HullWhite(YieldTermStructureHandle termStructure, double a, double sigma)

Method Summary

Modifier and Type	Method	Description
static double	convexityBias(double futurePrice, double t, double T, double sigma, double a)
void	delete()
protected void	finalize()
protected static long	getCPtr(HullWhite obj)
protected void	swigSetCMemOwn(boolean own)
YieldTermStructureHandle	termStructure()

Methods inherited from class org.quantlib.Vasicek

getCPtr

Methods inherited from class org.quantlib.OneFactorAffineModel

discount, discountBond, discountBond, getCPtr

Methods inherited from class org.quantlib.ShortRateModel

getCPtr

Methods inherited from class org.quantlib.CalibratedModel

calibrate, calibrate, calibrate, calibrate, constraint, endCriteria, functionEvaluation, getCPtr, params, problemValues, setParams, value

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

HullWhite

protected HullWhite(long cPtr,
                    boolean cMemoryOwn)

HullWhite

public HullWhite(YieldTermStructureHandle termStructure,
                 double a,
                 double sigma)

HullWhite

public HullWhite(YieldTermStructureHandle termStructure,
                 double a)

HullWhite

public HullWhite(YieldTermStructureHandle termStructure)

Method Detail

getCPtr

protected static long getCPtr(HullWhite obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Vasicek

finalize

protected void finalize()

Overrides:

finalize in class Vasicek

delete

public void delete()

Specified by:

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

Overrides:

delete in class Vasicek

convexityBias

public static double convexityBias(double futurePrice,
                                   double t,
                                   double T,
                                   double sigma,
                                   double a)

termStructure

public YieldTermStructureHandle termStructure()