Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class MarkovFunctional

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructureConsistentModel

org.quantlib.Gaussian1dModel

org.quantlib.MarkovFunctional

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	MarkovFunctional(long cPtr, boolean cMemoryOwn)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, OptionletVolatilityStructureHandle capletVol, DateVector capletExpiries, IborIndex iborIndex)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, OptionletVolatilityStructureHandle capletVol, DateVector capletExpiries, IborIndex iborIndex, MarkovFunctionalSettings modelSettings)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, MarkovFunctionalSettings modelSettings)

Method Summary

Modifier and Type	Method	Description
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
Constraint	constraint()
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
int	functionEvaluation()
protected static long	getCPtr(MarkovFunctional obj)
Array	params()
Array	problemValues()
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

MarkovFunctional

protected MarkovFunctional(long cPtr,
                           boolean cMemoryOwn)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        MarkovFunctionalSettings modelSettings)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        OptionletVolatilityStructureHandle capletVol,
                        DateVector capletExpiries,
                        IborIndex iborIndex,
                        MarkovFunctionalSettings modelSettings)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        OptionletVolatilityStructureHandle capletVol,
                        DateVector capletExpiries,
                        IborIndex iborIndex)

Method Detail

getCPtr

protected static long getCPtr(MarkovFunctional 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

volatility

public Array volatility()

calibrate

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

calibrate

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

calibrate

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

calibrate

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

params

public Array params()

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()