com.github.vonrosen.quantlib

Class CalibrationHelper

java.lang.Object

com.github.vonrosen.quantlib.CalibrationHelper

Direct Known Subclasses:

CapHelper, HestonModelHelper, SwaptionHelper

public class CalibrationHelper
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
static _CalibrationHelper.CalibrationErrorType	ImpliedVolError
static _CalibrationHelper.CalibrationErrorType	PriceError
static _CalibrationHelper.CalibrationErrorType	RelativePriceError
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	CalibrationHelper()
protected	CalibrationHelper(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
_CalibrationHelper	__deref__()
double	blackPrice(double volatility)
double	calibrationError()
void	delete()
protected void	finalize()
protected static long	getCPtr(CalibrationHelper obj)
double	impliedVolatility(double targetValue, double accuracy, long maxEvaluations, double minVol, double maxVol)
boolean	isNull()
double	marketValue()
double	modelValue()
void	setPricingEngine(PricingEngine engine)
Date	swaptionExpiryDate()
Date	swaptionMaturityDate()
double	swaptionNominal()
double	swaptionStrike()
QuoteHandle	volatility()
VolatilityType	volatilityType()

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

RelativePriceError

public static final _CalibrationHelper.CalibrationErrorType RelativePriceError

PriceError

public static final _CalibrationHelper.CalibrationErrorType PriceError

ImpliedVolError

public static final _CalibrationHelper.CalibrationErrorType ImpliedVolError

Constructor Detail

CalibrationHelper

protected CalibrationHelper(long cPtr,
                            boolean cMemoryOwn)

CalibrationHelper

public CalibrationHelper()

Method Detail

getCPtr

protected static long getCPtr(CalibrationHelper obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

__deref__

public _CalibrationHelper __deref__()

isNull

public boolean isNull()

swaptionExpiryDate

public Date swaptionExpiryDate()

swaptionStrike

public double swaptionStrike()

swaptionNominal

public double swaptionNominal()

swaptionMaturityDate

public Date swaptionMaturityDate()

setPricingEngine

public void setPricingEngine(PricingEngine engine)

marketValue

public double marketValue()

modelValue

public double modelValue()

calibrationError

public double calibrationError()

impliedVolatility

public double impliedVolatility(double targetValue,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

blackPrice

public double blackPrice(double volatility)

volatility

public QuoteHandle volatility()

volatilityType

public VolatilityType volatilityType()