com.github.vonrosen.quantlib

Class HestonModelHelper

java.lang.Object

com.github.vonrosen.quantlib.CalibrationHelper

com.github.vonrosen.quantlib.HestonModelHelper

public class HestonModelHelper
extends CalibrationHelper

Field Summary

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

ImpliedVolError, PriceError, RelativePriceError, swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	HestonModelHelper(long cPtr, boolean cMemoryOwn)
	HestonModelHelper(Period maturity, Calendar calendar, double s0, double strikePrice, QuoteHandle volatility, YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, _CalibrationHelper.CalibrationErrorType errorType)
	HestonModelHelper(Period maturity, Calendar calendar, double s0, double strikePrice, QuoteHandle volatility, YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield)

Method Summary

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

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

__deref__, blackPrice, calibrationError, getCPtr, impliedVolatility, isNull, marketValue, modelValue, setPricingEngine, swaptionExpiryDate, swaptionMaturityDate, swaptionNominal, swaptionStrike, volatility, volatilityType

Methods inherited from class java.lang.Object

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

Constructor Detail

HestonModelHelper

protected HestonModelHelper(long cPtr,
                            boolean cMemoryOwn)

HestonModelHelper

public HestonModelHelper(Period maturity,
                         Calendar calendar,
                         double s0,
                         double strikePrice,
                         QuoteHandle volatility,
                         YieldTermStructureHandle riskFreeRate,
                         YieldTermStructureHandle dividendYield,
                         _CalibrationHelper.CalibrationErrorType errorType)

HestonModelHelper

public HestonModelHelper(Period maturity,
                         Calendar calendar,
                         double s0,
                         double strikePrice,
                         QuoteHandle volatility,
                         YieldTermStructureHandle riskFreeRate,
                         YieldTermStructureHandle dividendYield)

Method Detail

getCPtr

protected static long getCPtr(HestonModelHelper obj)

finalize

protected void finalize()

Overrides:

finalize in class CalibrationHelper

delete

public void delete()

Overrides:

delete in class CalibrationHelper