com.github.vonrosen.quantlib

Class Gaussian1dFloatFloatSwaptionEngine

java.lang.Object

com.github.vonrosen.quantlib.PricingEngine

com.github.vonrosen.quantlib.Gaussian1dFloatFloatSwaptionEngine

public class Gaussian1dFloatFloatSwaptionEngine
extends PricingEngine

Field Summary

Fields

Modifier and Type	Field and Description
static _Gaussian1dFloatFloatSwaptionEngine.Probabilities	Digital
static _Gaussian1dFloatFloatSwaptionEngine.Probabilities	Naive
static _Gaussian1dFloatFloatSwaptionEngine.Probabilities	None

Fields inherited from class com.github.vonrosen.quantlib.PricingEngine

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff, boolean flatPayoffExtrapolation)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff, boolean flatPayoffExtrapolation, QuoteHandle oas)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff, boolean flatPayoffExtrapolation, QuoteHandle oas, YieldTermStructureHandle discountCurve)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff, boolean flatPayoffExtrapolation, QuoteHandle oas, YieldTermStructureHandle discountCurve, boolean includeTodaysExercise, _Gaussian1dFloatFloatSwaptionEngine.Probabilities probabilities)
	Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model, int integrationPoints, double stddevs, boolean extrapolatePayoff, boolean flatPayoffExtrapolation, QuoteHandle oas, YieldTermStructureHandle discountCurve, boolean includeTodaysExercise)
protected	Gaussian1dFloatFloatSwaptionEngine(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(Gaussian1dFloatFloatSwaptionEngine obj)

Methods inherited from class com.github.vonrosen.quantlib.PricingEngine

__deref__, getCPtr, isNull

Methods inherited from class java.lang.Object

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

Field Detail

None

public static final _Gaussian1dFloatFloatSwaptionEngine.Probabilities None

Naive

public static final _Gaussian1dFloatFloatSwaptionEngine.Probabilities Naive

Digital

public static final _Gaussian1dFloatFloatSwaptionEngine.Probabilities Digital

Constructor Detail

Gaussian1dFloatFloatSwaptionEngine

protected Gaussian1dFloatFloatSwaptionEngine(long cPtr,
                                             boolean cMemoryOwn)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff,
                                          boolean flatPayoffExtrapolation,
                                          QuoteHandle oas,
                                          YieldTermStructureHandle discountCurve,
                                          boolean includeTodaysExercise,
                                          _Gaussian1dFloatFloatSwaptionEngine.Probabilities probabilities)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff,
                                          boolean flatPayoffExtrapolation,
                                          QuoteHandle oas,
                                          YieldTermStructureHandle discountCurve,
                                          boolean includeTodaysExercise)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff,
                                          boolean flatPayoffExtrapolation,
                                          QuoteHandle oas,
                                          YieldTermStructureHandle discountCurve)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff,
                                          boolean flatPayoffExtrapolation,
                                          QuoteHandle oas)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff,
                                          boolean flatPayoffExtrapolation)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs,
                                          boolean extrapolatePayoff)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints,
                                          double stddevs)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model,
                                          int integrationPoints)

Gaussian1dFloatFloatSwaptionEngine

public Gaussian1dFloatFloatSwaptionEngine(Gaussian1dModel model)

Method Detail

getCPtr

protected static long getCPtr(Gaussian1dFloatFloatSwaptionEngine obj)

finalize

protected void finalize()

Overrides:

finalize in class PricingEngine

delete

public void delete()

Overrides:

delete in class PricingEngine