Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class LocalVolRNDCalculator

java.lang.Object

org.quantlib.RiskNeutralDensityCalculator

org.quantlib.LocalVolRNDCalculator

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class LocalVolRNDCalculator
extends RiskNeutralDensityCalculator
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	LocalVolRNDCalculator(long cPtr, boolean cMemoryOwn)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid, long tGrid)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid, long tGrid, double x0Density)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid, long tGrid, double x0Density, double localVolProbEps)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid, long tGrid, double x0Density, double localVolProbEps, long maxIter)
	LocalVolRNDCalculator(Quote spot, YieldTermStructure rTS, YieldTermStructure qTS, LocalVolTermStructure localVol, long xGrid, long tGrid, double x0Density, double localVolProbEps, long maxIter, double gaussianStepSize)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(LocalVolRNDCalculator obj)
Fdm1dMesher	mesher(double t)
UnsignedIntVector	rescaleTimeSteps()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.RiskNeutralDensityCalculator

cdf, getCPtr, invcdf, pdf

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

LocalVolRNDCalculator

protected LocalVolRNDCalculator(long cPtr,
                                boolean cMemoryOwn)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid,
                             long tGrid,
                             double x0Density,
                             double localVolProbEps,
                             long maxIter,
                             double gaussianStepSize)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid,
                             long tGrid,
                             double x0Density,
                             double localVolProbEps,
                             long maxIter)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid,
                             long tGrid,
                             double x0Density,
                             double localVolProbEps)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid,
                             long tGrid,
                             double x0Density)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid,
                             long tGrid)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol,
                             long xGrid)

LocalVolRNDCalculator

public LocalVolRNDCalculator(Quote spot,
                             YieldTermStructure rTS,
                             YieldTermStructure qTS,
                             LocalVolTermStructure localVol)

Method Detail

getCPtr

protected static long getCPtr(LocalVolRNDCalculator obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class RiskNeutralDensityCalculator

finalize

protected void finalize()

Overrides:

finalize in class RiskNeutralDensityCalculator

delete

public void delete()

Specified by:

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

Overrides:

delete in class RiskNeutralDensityCalculator

mesher

public Fdm1dMesher mesher(double t)

rescaleTimeSteps

public UnsignedIntVector rescaleTimeSteps()