Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class PiecewiseTimeDependentHestonModel

java.lang.Object

org.quantlib.Observable

org.quantlib.CalibratedModel

org.quantlib.PiecewiseTimeDependentHestonModel

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class PiecewiseTimeDependentHestonModel
extends CalibratedModel
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	PiecewiseTimeDependentHestonModel(long cPtr, boolean cMemoryOwn)
	PiecewiseTimeDependentHestonModel(YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, QuoteHandle s0, double v0, Parameter theta, Parameter kappa, Parameter sigma, Parameter rho, TimeGrid timeGrid)

Method Summary

Modifier and Type	Method	Description
void	delete()
YieldTermStructureHandle	dividendYield()
protected void	finalize()
protected static long	getCPtr(PiecewiseTimeDependentHestonModel obj)
double	kappa(double t)
double	rho(double t)
YieldTermStructureHandle	riskFreeRate()
double	s0()
double	sigma(double t)
protected void	swigSetCMemOwn(boolean own)
double	theta(double t)
TimeGrid	timeGrid()
double	v0()

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

PiecewiseTimeDependentHestonModel

protected PiecewiseTimeDependentHestonModel(long cPtr,
                                            boolean cMemoryOwn)

PiecewiseTimeDependentHestonModel

public PiecewiseTimeDependentHestonModel(YieldTermStructureHandle riskFreeRate,
                                         YieldTermStructureHandle dividendYield,
                                         QuoteHandle s0,
                                         double v0,
                                         Parameter theta,
                                         Parameter kappa,
                                         Parameter sigma,
                                         Parameter rho,
                                         TimeGrid timeGrid)

Method Detail

getCPtr

protected static long getCPtr(PiecewiseTimeDependentHestonModel obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class CalibratedModel

finalize

protected void finalize()

Overrides:

finalize in class CalibratedModel

delete

public void delete()

Specified by:

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

Overrides:

delete in class CalibratedModel

theta

public double theta(double t)

kappa

public double kappa(double t)

sigma

public double sigma(double t)

rho

public double rho(double t)

v0

public double v0()

s0

public double s0()

timeGrid

public TimeGrid timeGrid()

dividendYield

public YieldTermStructureHandle dividendYield()

riskFreeRate

public YieldTermStructureHandle riskFreeRate()