Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SviInterpolatedSmileSection

java.lang.Object

org.quantlib.Observable

org.quantlib.SmileSection

org.quantlib.SviInterpolatedSmileSection

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SviInterpolatedSmileSection(long cPtr, boolean cMemoryOwn)
	SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed)
	SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted)
	SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted, EndCriteria endCriteria)
	SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
	SviInterpolatedSmileSection(Date optionDate, double forward, DoubleVector strikes, boolean hasFloatingStrikes, double atmVolatility, DoubleVector vols, double a, double b, double sigma, double rho, double m, boolean isAFixed, boolean isBFixed, boolean isSigmaFixed, boolean isRhoFixed, boolean isMFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)
	SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed)
	SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted)
	SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted, EndCriteria endCriteria)
	SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method)
	SviInterpolatedSmileSection(Date optionDate, QuoteHandle forward, DoubleVector strikes, boolean hasFloatingStrikes, QuoteHandle atmVolatility, QuoteHandleVector volHandles, double a, double b, double sigma, double rho, double m, boolean aIsFixed, boolean bIsFixed, boolean sigmaIsFixed, boolean rhoIsFixed, boolean mIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod method, DayCounter dc)

Method Summary

Modifier and Type	Method	Description
double	a()
double	b()
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
protected static long	getCPtr(SviInterpolatedSmileSection obj)
double	m()
double	maxError()
double	rho()
double	rmsError()
double	sigma()
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

SviInterpolatedSmileSection

protected SviInterpolatedSmileSection(long cPtr,
                                      boolean cMemoryOwn)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   QuoteHandle forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   QuoteHandle atmVolatility,
                                   QuoteHandleVector volHandles,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean aIsFixed,
                                   boolean bIsFixed,
                                   boolean sigmaIsFixed,
                                   boolean rhoIsFixed,
                                   boolean mIsFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria,
                                   OptimizationMethod method,
                                   DayCounter dc)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   QuoteHandle forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   QuoteHandle atmVolatility,
                                   QuoteHandleVector volHandles,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean aIsFixed,
                                   boolean bIsFixed,
                                   boolean sigmaIsFixed,
                                   boolean rhoIsFixed,
                                   boolean mIsFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria,
                                   OptimizationMethod method)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   QuoteHandle forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   QuoteHandle atmVolatility,
                                   QuoteHandleVector volHandles,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean aIsFixed,
                                   boolean bIsFixed,
                                   boolean sigmaIsFixed,
                                   boolean rhoIsFixed,
                                   boolean mIsFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   QuoteHandle forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   QuoteHandle atmVolatility,
                                   QuoteHandleVector volHandles,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean aIsFixed,
                                   boolean bIsFixed,
                                   boolean sigmaIsFixed,
                                   boolean rhoIsFixed,
                                   boolean mIsFixed,
                                   boolean vegaWeighted)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   QuoteHandle forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   QuoteHandle atmVolatility,
                                   QuoteHandleVector volHandles,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean aIsFixed,
                                   boolean bIsFixed,
                                   boolean sigmaIsFixed,
                                   boolean rhoIsFixed,
                                   boolean mIsFixed)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   double forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   double atmVolatility,
                                   DoubleVector vols,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean isAFixed,
                                   boolean isBFixed,
                                   boolean isSigmaFixed,
                                   boolean isRhoFixed,
                                   boolean isMFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria,
                                   OptimizationMethod method,
                                   DayCounter dc)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   double forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   double atmVolatility,
                                   DoubleVector vols,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean isAFixed,
                                   boolean isBFixed,
                                   boolean isSigmaFixed,
                                   boolean isRhoFixed,
                                   boolean isMFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria,
                                   OptimizationMethod method)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   double forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   double atmVolatility,
                                   DoubleVector vols,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean isAFixed,
                                   boolean isBFixed,
                                   boolean isSigmaFixed,
                                   boolean isRhoFixed,
                                   boolean isMFixed,
                                   boolean vegaWeighted,
                                   EndCriteria endCriteria)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   double forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   double atmVolatility,
                                   DoubleVector vols,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean isAFixed,
                                   boolean isBFixed,
                                   boolean isSigmaFixed,
                                   boolean isRhoFixed,
                                   boolean isMFixed,
                                   boolean vegaWeighted)

SviInterpolatedSmileSection

public SviInterpolatedSmileSection(Date optionDate,
                                   double forward,
                                   DoubleVector strikes,
                                   boolean hasFloatingStrikes,
                                   double atmVolatility,
                                   DoubleVector vols,
                                   double a,
                                   double b,
                                   double sigma,
                                   double rho,
                                   double m,
                                   boolean isAFixed,
                                   boolean isBFixed,
                                   boolean isSigmaFixed,
                                   boolean isRhoFixed,
                                   boolean isMFixed)

Method Detail

getCPtr

protected static long getCPtr(SviInterpolatedSmileSection 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

a

public double a()

b

public double b()

sigma

public double sigma()

rho

public double rho()

m

public double m()

rmsError

public double rmsError()

maxError

public double maxError()

endCriteria

public EndCriteria.Type endCriteria()