Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SwaptionHelper

java.lang.Object

org.quantlib.CalibrationHelper

org.quantlib.BlackCalibrationHelper

org.quantlib.SwaptionHelper

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class SwaptionHelper
extends BlackCalibrationHelper
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested classes/interfaces inherited from class org.quantlib.BlackCalibrationHelper

BlackCalibrationHelper.CalibrationErrorType

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SwaptionHelper(long cPtr, boolean cMemoryOwn)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionHelper obj)
SWIGTYPE_p_ext__shared_ptrT_Swaption_t	swaption()
Date	swaptionExpiryDate()
Date	swaptionMaturityDate()
double	swaptionNominal()
double	swaptionStrike()
protected void	swigSetCMemOwn(boolean own)
DoubleVector	times()
VanillaSwap	underlyingSwap()

Methods inherited from class org.quantlib.BlackCalibrationHelper

blackPrice, calibrationError, getCPtr, impliedVolatility, marketValue, modelValue, setPricingEngine, volatility, volatilityType

Methods inherited from class org.quantlib.CalibrationHelper

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

SwaptionHelper

protected SwaptionHelper(long cPtr,
                         boolean cMemoryOwn)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      BlackCalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

Method Detail

getCPtr

protected static long getCPtr(SwaptionHelper obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class BlackCalibrationHelper

finalize

protected void finalize()

Overrides:

finalize in class BlackCalibrationHelper

delete

public void delete()

Specified by:

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

Overrides:

delete in class BlackCalibrationHelper

underlyingSwap

public VanillaSwap underlyingSwap()

swaption

public SWIGTYPE_p_ext__shared_ptrT_Swaption_t swaption()

times

public DoubleVector times()

swaptionExpiryDate

public Date swaptionExpiryDate()

swaptionStrike

public double swaptionStrike()

swaptionNominal

public double swaptionNominal()

swaptionMaturityDate

public Date swaptionMaturityDate()