com.github.vonrosen.quantlib

Class MarkovFunctional

java.lang.Object

com.github.vonrosen.quantlib.Gaussian1dModel

com.github.vonrosen.quantlib.MarkovFunctional

public class MarkovFunctional
extends Gaussian1dModel

Field Summary

Fields

Modifier and Type	Field and Description
static MarkovFunctionalSettings.Adjustments	AdjustDigitals
static MarkovFunctionalSettings.Adjustments	AdjustNone
static MarkovFunctionalSettings.Adjustments	AdjustYts
static MarkovFunctionalSettings.Adjustments	ExtrapolatePayoffFlat
static MarkovFunctionalSettings.Adjustments	KahaleInterpolation
static MarkovFunctionalSettings.Adjustments	KahaleSmile
static MarkovFunctionalSettings.Adjustments	NoPayoffExtrapolation
static MarkovFunctionalSettings.Adjustments	SabrSmile
static MarkovFunctionalSettings.Adjustments	SmileDeleteArbitragePoints
static MarkovFunctionalSettings.Adjustments	SmileExponentialExtrapolation

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	MarkovFunctional(long cPtr, boolean cMemoryOwn)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap, double marketRateAccuracy)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap, double marketRateAccuracy, double lowerRateBound)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap, double marketRateAccuracy, double lowerRateBound, double upperRateBound)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap, double marketRateAccuracy, double lowerRateBound, double upperRateBound, int adjustments)
	MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, long yGridPoints, double yStdDevs, long gaussHermitePoints, double digitalGap, double marketRateAccuracy, double lowerRateBound, double upperRateBound, int adjustments, DoubleVector smileMoneyCheckpoints)

Method Summary

Modifier and Type	Method and Description
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights)
void	calibrate(CalibrationHelperVector helper, OptimizationMethod method, EndCriteria endCriteria, Constraint constraint, DoubleVector weights, BoolVector fixParameters)
void	delete()
protected void	finalize()
protected static long	getCPtr(MarkovFunctional obj)
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

Field Detail

AdjustNone

public static final MarkovFunctionalSettings.Adjustments AdjustNone

AdjustDigitals

public static final MarkovFunctionalSettings.Adjustments AdjustDigitals

AdjustYts

public static final MarkovFunctionalSettings.Adjustments AdjustYts

ExtrapolatePayoffFlat

public static final MarkovFunctionalSettings.Adjustments ExtrapolatePayoffFlat

NoPayoffExtrapolation

public static final MarkovFunctionalSettings.Adjustments NoPayoffExtrapolation

KahaleSmile

public static final MarkovFunctionalSettings.Adjustments KahaleSmile

SmileExponentialExtrapolation

public static final MarkovFunctionalSettings.Adjustments SmileExponentialExtrapolation

KahaleInterpolation

public static final MarkovFunctionalSettings.Adjustments KahaleInterpolation

SmileDeleteArbitragePoints

public static final MarkovFunctionalSettings.Adjustments SmileDeleteArbitragePoints

SabrSmile

public static final MarkovFunctionalSettings.Adjustments SabrSmile

Constructor Detail

MarkovFunctional

protected MarkovFunctional(long cPtr,
                           boolean cMemoryOwn)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap,
                        double marketRateAccuracy,
                        double lowerRateBound,
                        double upperRateBound,
                        int adjustments,
                        DoubleVector smileMoneyCheckpoints)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap,
                        double marketRateAccuracy,
                        double lowerRateBound,
                        double upperRateBound,
                        int adjustments)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap,
                        double marketRateAccuracy,
                        double lowerRateBound,
                        double upperRateBound)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap,
                        double marketRateAccuracy,
                        double lowerRateBound)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap,
                        double marketRateAccuracy)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints,
                        double digitalGap)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs,
                        long gaussHermitePoints)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints,
                        double yStdDevs)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase,
                        long yGridPoints)

MarkovFunctional

public MarkovFunctional(YieldTermStructureHandle termStructure,
                        double reversion,
                        DateVector volstepdates,
                        DoubleVector volatilities,
                        SwaptionVolatilityStructureHandle swaptionVol,
                        DateVector swaptionExpiries,
                        PeriodVector swaptionTenors,
                        SwapIndex swapIndexBase)

Method Detail

getCPtr

protected static long getCPtr(MarkovFunctional obj)

finalize

protected void finalize()

Overrides:

finalize in class Gaussian1dModel

delete

public void delete()

Overrides:

delete in class Gaussian1dModel

calibrate

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

calibrate

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

calibrate

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

calibrate

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

volatility

public Array volatility()