com.github.vonrosen.quantlib

Class Gaussian1dModel

java.lang.Object

com.github.vonrosen.quantlib.Gaussian1dModel

Direct Known Subclasses:

Gsr, MarkovFunctional

public class Gaussian1dModel
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	Gaussian1dModel()
protected	Gaussian1dModel(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
SWIGTYPE_p_Gaussian1dModel	__deref__()
void	delete()
protected void	finalize()
double	forwardRate(Date fixing)
double	forwardRate(Date fixing, Date referenceDate)
double	forwardRate(Date fixing, Date referenceDate, double y)
double	forwardRate(Date fixing, Date referenceDate, double y, SWIGTYPE_p_boost__shared_ptrT_IborIndex_t iborIdx)
protected static long	getCPtr(Gaussian1dModel obj)
boolean	isNull()
double	numeraire(Date referenceDate)
double	numeraire(Date referenceDate, double y)
double	numeraire(Date referenceDate, double y, YieldTermStructureHandle yts)
double	numeraire(double t)
double	numeraire(double t, double y)
double	numeraire(double t, double y, YieldTermStructureHandle yts)
StochasticProcess1D	stateProcess()
double	swapAnnuity(Date fixing, Period tenor)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate, double y)
double	swapAnnuity(Date fixing, Period tenor, Date referenceDate, double y, SWIGTYPE_p_boost__shared_ptrT_SwapIndex_t swapIdx)
double	swapRate(Date fixing, Period tenor)
double	swapRate(Date fixing, Period tenor, Date referenceDate)
double	swapRate(Date fixing, Period tenor, Date referenceDate, double y)
double	swapRate(Date fixing, Period tenor, Date referenceDate, double y, SWIGTYPE_p_boost__shared_ptrT_SwapIndex_t swapIdx)
double	zerobond(Date maturity)
double	zerobond(Date maturity, Date referenceDate)
double	zerobond(Date maturity, Date referenceDate, double y)
double	zerobond(Date maturity, Date referenceDate, double y, YieldTermStructureHandle yts)
double	zerobond(double T)
double	zerobond(double T, double t)
double	zerobond(double T, double t, double y)
double	zerobond(double T, double t, double y, YieldTermStructureHandle yts)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints, boolean extrapolatePayoff)
double	zerobondOption(Option.Type type, Date expiry, Date valueDate, Date maturity, double strike, Date referenceDate, double y, YieldTermStructureHandle yts, double yStdDevs, long yGridPoints, boolean extrapolatePayoff, boolean flatPayoffExtrapolation)

Methods inherited from class java.lang.Object

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

Gaussian1dModel

protected Gaussian1dModel(long cPtr,
                          boolean cMemoryOwn)

Gaussian1dModel

public Gaussian1dModel()

Method Detail

getCPtr

protected static long getCPtr(Gaussian1dModel obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

__deref__

public SWIGTYPE_p_Gaussian1dModel __deref__()

isNull

public boolean isNull()

stateProcess

public StochasticProcess1D stateProcess()

numeraire

public double numeraire(double t,
                        double y,
                        YieldTermStructureHandle yts)

numeraire

public double numeraire(double t,
                        double y)

numeraire

public double numeraire(double t)

numeraire

public double numeraire(Date referenceDate,
                        double y,
                        YieldTermStructureHandle yts)

numeraire

public double numeraire(Date referenceDate,
                        double y)

numeraire

public double numeraire(Date referenceDate)

zerobond

public double zerobond(double T,
                       double t,
                       double y,
                       YieldTermStructureHandle yts)

zerobond

public double zerobond(double T,
                       double t,
                       double y)

zerobond

public double zerobond(double T,
                       double t)

zerobond

public double zerobond(double T)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate,
                       double y,
                       YieldTermStructureHandle yts)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate,
                       double y)

zerobond

public double zerobond(Date maturity,
                       Date referenceDate)

zerobond

public double zerobond(Date maturity)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints,
                             boolean extrapolatePayoff,
                             boolean flatPayoffExtrapolation)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints,
                             boolean extrapolatePayoff)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs,
                             long yGridPoints)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts,
                             double yStdDevs)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y,
                             YieldTermStructureHandle yts)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate,
                             double y)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike,
                             Date referenceDate)

zerobondOption

public double zerobondOption(Option.Type type,
                             Date expiry,
                             Date valueDate,
                             Date maturity,
                             double strike)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate,
                          double y,
                          SWIGTYPE_p_boost__shared_ptrT_IborIndex_t iborIdx)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate,
                          double y)

forwardRate

public double forwardRate(Date fixing,
                          Date referenceDate)

forwardRate

public double forwardRate(Date fixing)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate,
                       double y,
                       SWIGTYPE_p_boost__shared_ptrT_SwapIndex_t swapIdx)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate,
                       double y)

swapRate

public double swapRate(Date fixing,
                       Period tenor,
                       Date referenceDate)

swapRate

public double swapRate(Date fixing,
                       Period tenor)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate,
                          double y,
                          SWIGTYPE_p_boost__shared_ptrT_SwapIndex_t swapIdx)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate,
                          double y)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor,
                          Date referenceDate)

swapAnnuity

public double swapAnnuity(Date fixing,
                          Period tenor)