com.github.vonrosen.quantlib

Class Gsr

java.lang.Object

com.github.vonrosen.quantlib.Gaussian1dModel

com.github.vonrosen.quantlib.Gsr

public class Gsr
extends Gaussian1dModel

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Gaussian1dModel

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	Gsr(long cPtr, boolean cMemoryOwn)
	Gsr(YieldTermStructureHandle termStructure, DateVector volstepdates, QuoteHandleVector volatilities, QuoteHandleVector reversions)
	Gsr(YieldTermStructureHandle termStructure, DateVector volstepdates, QuoteHandleVector volatilities, QuoteHandleVector reversions, double T)

Method Summary

Modifier and Type	Method and Description
void	calibrate(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria)
void	calibrate(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrate(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	calibrate(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	calibrateVolatilitiesIterative(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria)
void	calibrateVolatilitiesIterative(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrateVolatilitiesIterative(CalibrationHelperVector helpers, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	delete()
EndCriteria.Type	endCriteria()
protected void	finalize()
int	functionEvaluation()
protected static long	getCPtr(Gsr obj)
Array	params()
Array	reversion()
void	setParams(Array params)
double	value(Array params, CalibrationHelperVector helpers)
Array	volatility()

Methods inherited from class com.github.vonrosen.quantlib.Gaussian1dModel

__deref__, forwardRate, forwardRate, forwardRate, forwardRate, getCPtr, isNull, numeraire, numeraire, numeraire, numeraire, numeraire, numeraire, stateProcess, swapAnnuity, swapAnnuity, swapAnnuity, swapAnnuity, swapRate, swapRate, swapRate, swapRate, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobond, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption, zerobondOption

Methods inherited from class java.lang.Object

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

Constructor Detail

Gsr

protected Gsr(long cPtr,
              boolean cMemoryOwn)

Gsr

public Gsr(YieldTermStructureHandle termStructure,
           DateVector volstepdates,
           QuoteHandleVector volatilities,
           QuoteHandleVector reversions,
           double T)

Gsr

public Gsr(YieldTermStructureHandle termStructure,
           DateVector volstepdates,
           QuoteHandleVector volatilities,
           QuoteHandleVector reversions)

Method Detail

getCPtr

protected static long getCPtr(Gsr obj)

finalize

protected void finalize()

Overrides:

finalize in class Gaussian1dModel

delete

public void delete()

Overrides:

delete in class Gaussian1dModel

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(CalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria,
                                           Constraint constraint,
                                           DoubleVector weights)

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(CalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria,
                                           Constraint constraint)

calibrateVolatilitiesIterative

public void calibrateVolatilitiesIterative(CalibrationHelperVector helpers,
                                           OptimizationMethod method,
                                           EndCriteria endCriteria)

calibrate

public void calibrate(CalibrationHelperVector helpers,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint,
                      DoubleVector weights,
                      BoolVector fixParameters)

calibrate

public void calibrate(CalibrationHelperVector helpers,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint,
                      DoubleVector weights)

calibrate

public void calibrate(CalibrationHelperVector helpers,
                      OptimizationMethod method,
                      EndCriteria endCriteria,
                      Constraint constraint)

calibrate

public void calibrate(CalibrationHelperVector helpers,
                      OptimizationMethod method,
                      EndCriteria endCriteria)

params

public Array params()

value

public double value(Array params,
                    CalibrationHelperVector helpers)

endCriteria

public EndCriteria.Type endCriteria()

setParams

public void setParams(Array params)

functionEvaluation

public int functionEvaluation()

reversion

public Array reversion()

volatility

public Array volatility()