Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SabrSwaptionVolatilityCube

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.SwaptionVolatilityStructure

org.quantlib.SwaptionVolatilityDiscrete

org.quantlib.SwaptionVolatilityCube

org.quantlib.SabrSwaptionVolatilityCube

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class SabrSwaptionVolatilityCube
extends SwaptionVolatilityCube
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SabrSwaptionVolatilityCube(long cPtr, boolean cMemoryOwn)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, boolean backwardFlat)
	SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, EndCriteria endCriteria, double maxErrorTolerance, OptimizationMethod optMethod, double errorAccept, boolean useMaxError, long maxGuesses, boolean backwardFlat, double cutoffStrike)

Method Summary

Modifier and Type	Method	Description
void	delete()
Matrix	denseSabrParameters()
protected void	finalize()
protected static long	getCPtr(SabrSwaptionVolatilityCube obj)
Matrix	marketVolCube()
SabrSmileSection	smileSection(double optionTime, double swapLength)
SabrSmileSection	smileSection(double optionTime, double swapLength, boolean extr)
SabrSmileSection	smileSection(Period optionTenor, Period swapTenor)
SabrSmileSection	smileSection(Period optionTenor, Period swapTenor, boolean extr)
Matrix	sparseSabrParameters()
protected void	swigSetCMemOwn(boolean own)
Matrix	volCubeAtmCalibrated()

Methods inherited from class org.quantlib.SwaptionVolatilityCube

atmStrike, getCPtr

Methods inherited from class org.quantlib.SwaptionVolatilityDiscrete

getCPtr, optionDateFromTime, optionDates, optionTenors, optionTimes, swapLengths, swapTenors

Methods inherited from class org.quantlib.SwaptionVolatilityStructure

blackVariance, blackVariance, blackVariance, blackVariance, getCPtr, optionDateFromTenor, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, volatility, volatility, volatility, volatility

Methods inherited from class org.quantlib.VolatilityTermStructure

getCPtr, maxStrike, minStrike

Methods inherited from class org.quantlib.TermStructure

allowsExtrapolation, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, maxDate, maxTime, referenceDate, timeFromReference

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

SabrSwaptionVolatilityCube

protected SabrSwaptionVolatilityCube(long cPtr,
                                     boolean cMemoryOwn)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod,
                                  double errorAccept,
                                  boolean useMaxError,
                                  long maxGuesses,
                                  boolean backwardFlat,
                                  double cutoffStrike)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod,
                                  double errorAccept,
                                  boolean useMaxError,
                                  long maxGuesses,
                                  boolean backwardFlat)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod,
                                  double errorAccept,
                                  boolean useMaxError,
                                  long maxGuesses)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod,
                                  double errorAccept,
                                  boolean useMaxError)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod,
                                  double errorAccept)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance,
                                  OptimizationMethod optMethod)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria,
                                  double maxErrorTolerance)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated,
                                  EndCriteria endCriteria)

SabrSwaptionVolatilityCube

public SabrSwaptionVolatilityCube(SwaptionVolatilityStructureHandle atmVolStructure,
                                  PeriodVector optionTenors,
                                  PeriodVector swapTenors,
                                  DoubleVector strikeSpreads,
                                  QuoteHandleVectorVector volSpreads,
                                  SwapIndex swapIndex,
                                  SwapIndex shortSwapIndex,
                                  boolean vegaWeightedSmileFit,
                                  QuoteHandleVectorVector parametersGuess,
                                  BoolVector isParameterFixed,
                                  boolean isAtmCalibrated)

Method Detail

getCPtr

protected static long getCPtr(SabrSwaptionVolatilityCube obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class SwaptionVolatilityCube

finalize

protected void finalize()

Overrides:

finalize in class SwaptionVolatilityCube

delete

public void delete()

Specified by:

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

Overrides:

delete in class SwaptionVolatilityCube

sparseSabrParameters

public Matrix sparseSabrParameters()

denseSabrParameters

public Matrix denseSabrParameters()

marketVolCube

public Matrix marketVolCube()

volCubeAtmCalibrated

public Matrix volCubeAtmCalibrated()

smileSection

public SabrSmileSection smileSection(double optionTime,
                                     double swapLength,
                                     boolean extr)

Overrides:

smileSection in class SwaptionVolatilityStructure

smileSection

public SabrSmileSection smileSection(double optionTime,
                                     double swapLength)

Overrides:

smileSection in class SwaptionVolatilityStructure

smileSection

public SabrSmileSection smileSection(Period optionTenor,
                                     Period swapTenor,
                                     boolean extr)

Overrides:

smileSection in class SwaptionVolatilityStructure

smileSection

public SabrSmileSection smileSection(Period optionTenor,
                                     Period swapTenor)

Overrides:

smileSection in class SwaptionVolatilityStructure