Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class NoArbSabrInterpolatedSmileSection

java.lang.Object

org.quantlib.Observable

org.quantlib.SmileSection

org.quantlib.NoArbSabrInterpolatedSmileSection

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class NoArbSabrInterpolatedSmileSection
extends SmileSection
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	NoArbSabrInterpolatedSmileSection(long cPtr, boolean cMemoryOwn)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
	NoArbSabrInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
	NoArbSabrInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double alpha, double beta, double nu, double rho, boolean isAlphaFixed, boolean isBetaFixed, boolean isNuFixed, boolean isRhoFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)

Method Summary

Modifier and Type	Method	Description
double	alpha()
double	beta()
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
protected static long	getCPtr(NoArbSabrInterpolatedSmileSection obj)
double	maxError()
double	nu()
double	rho()
double	rmsError()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.SmileSection

atmLevel, dayCounter, density, density, density, digitalOptionPrice, digitalOptionPrice, digitalOptionPrice, digitalOptionPrice, exerciseDate, exerciseTime, getCPtr, maxStrike, minStrike, optionPrice, optionPrice, optionPrice, referenceDate, shift, variance, vega, vega, volatility, volatility, volatility, volatilityType

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

NoArbSabrInterpolatedSmileSection

protected NoArbSabrInterpolatedSmileSection(long cPtr,
                                            boolean cMemoryOwn)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria,
                                         OptimizationMethod method,
                                         DayCounter dc)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria,
                                         OptimizationMethod method)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         QuoteHandle forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         QuoteHandle atmVolatility,
                                         QuoteHandleVector volHandles,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria,
                                         OptimizationMethod method,
                                         DayCounter dc)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria,
                                         OptimizationMethod method)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted,
                                         EndCriteria endCriteria)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed,
                                         boolean vegaWeighted)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed,
                                         boolean isRhoFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed,
                                         boolean isNuFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed,
                                         boolean isBetaFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho,
                                         boolean isAlphaFixed)

NoArbSabrInterpolatedSmileSection

public NoArbSabrInterpolatedSmileSection(Date optionDate,
                                         double forward,
                                         DoubleVector strikes,
                                         boolean hasFloatingStrikes,
                                         double atmVolatility,
                                         DoubleVector vols,
                                         double alpha,
                                         double beta,
                                         double nu,
                                         double rho)

Method Detail

getCPtr

protected static long getCPtr(NoArbSabrInterpolatedSmileSection obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class SmileSection

finalize

protected void finalize()

Overrides:

finalize in class SmileSection

delete

public void delete()

Specified by:

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

Overrides:

delete in class SmileSection

alpha

public double alpha()

beta

public double beta()

nu

public double nu()

rho

public double rho()

rmsError

public double rmsError()

maxError

public double maxError()

endCriteria

public EndCriteria.Type endCriteria()