Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SabrSmileSection

java.lang.Object

org.quantlib.Observable

org.quantlib.SmileSection

org.quantlib.SabrSmileSection

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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

Constructor Summary

Constructors

Modifier	Constructor	Description
	SabrSmileSection(double timeToExpiry, double forward, DoubleVector sabrParameters)
	SabrSmileSection(double timeToExpiry, double forward, DoubleVector sabrParameters, double shift)
	SabrSmileSection(double timeToExpiry, double forward, DoubleVector sabrParameters, double shift, VolatilityType volatilityType)
protected	SabrSmileSection(long cPtr, boolean cMemoryOwn)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, Date referenceDate)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, Date referenceDate, DayCounter dc)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, Date referenceDate, DayCounter dc, double shift)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, Date referenceDate, DayCounter dc, double shift, VolatilityType volatilityType)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, DayCounter dc)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, DayCounter dc, double shift)
	SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, DayCounter dc, double shift, VolatilityType volatilityType)

Method Summary

Modifier and Type	Method	Description
double	alpha()
double	beta()
void	delete()
protected void	finalize()
protected static long	getCPtr(SabrSmileSection obj)
double	nu()
double	rho()
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

SabrSmileSection

protected SabrSmileSection(long cPtr,
                           boolean cMemoryOwn)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        Date referenceDate,
                        DayCounter dc,
                        double shift,
                        VolatilityType volatilityType)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        Date referenceDate,
                        DayCounter dc,
                        double shift)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        Date referenceDate,
                        DayCounter dc)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        Date referenceDate)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        DayCounter dc,
                        double shift,
                        VolatilityType volatilityType)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        DayCounter dc,
                        double shift)

SabrSmileSection

public SabrSmileSection(Date d,
                        double forward,
                        DoubleVector sabrParameters,
                        DayCounter dc)

SabrSmileSection

public SabrSmileSection(double timeToExpiry,
                        double forward,
                        DoubleVector sabrParameters,
                        double shift,
                        VolatilityType volatilityType)

SabrSmileSection

public SabrSmileSection(double timeToExpiry,
                        double forward,
                        DoubleVector sabrParameters,
                        double shift)

SabrSmileSection

public SabrSmileSection(double timeToExpiry,
                        double forward,
                        DoubleVector sabrParameters)

Method Detail

getCPtr

protected static long getCPtr(SabrSmileSection 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()