Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SABRInterpolation

java.lang.Object

org.quantlib.SABRInterpolation

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class SABRInterpolation
extends Object
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Field Summary

Fields

Modifier and Type	Field	Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SABRInterpolation(long cPtr, boolean cMemoryOwn)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses)
	SABRInterpolation(Array x, Array y, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, double shift)

Method Summary

Modifier and Type	Method	Description
double	alpha()
double	beta()
void	delete()
protected void	finalize()
protected static long	getCPtr(SABRInterpolation obj)
double	getValue(double x)
double	getValue(double x, boolean allowExtrapolation)
double	nu()
double	rho()
protected static long	swigRelease(SABRInterpolation obj)

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

SABRInterpolation

protected SABRInterpolation(long cPtr,
                            boolean cMemoryOwn)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod,
                         double errorAccept,
                         boolean useMaxError,
                         long maxGuesses,
                         double shift)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod,
                         double errorAccept,
                         boolean useMaxError,
                         long maxGuesses)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod,
                         double errorAccept,
                         boolean useMaxError)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod,
                         double errorAccept)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed)

SABRInterpolation

public SABRInterpolation(Array x,
                         Array y,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho)

Method Detail

getCPtr

protected static long getCPtr(SABRInterpolation obj)

swigRelease

protected static long swigRelease(SABRInterpolation obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

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

getValue

public double getValue(double x,
                       boolean allowExtrapolation)

getValue

public double getValue(double x)

alpha

public double alpha()

beta

public double beta()

rho

public double rho()

nu

public double nu()