com.github.vonrosen.quantlib

Class SwaptionHelper

java.lang.Object

com.github.vonrosen.quantlib.CalibrationHelper

com.github.vonrosen.quantlib.SwaptionHelper

public class SwaptionHelper
extends CalibrationHelper

Field Summary

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

ImpliedVolError, PriceError, RelativePriceError, swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
	SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
	SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)
protected	SwaptionHelper(long cPtr, boolean cMemoryOwn)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, _CalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
	SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionHelper obj)
DoubleVector	times()

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

SwaptionHelper

protected SwaptionHelper(long cPtr,
                         boolean cMemoryOwn)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Period maturity,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Period length,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type,
                      double shift)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal,
                      VolatilityType type)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike,
                      double nominal)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType,
                      double strike)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure,
                      _CalibrationHelper.CalibrationErrorType errorType)

SwaptionHelper

public SwaptionHelper(Date exerciseDate,
                      Date endDate,
                      QuoteHandle volatility,
                      IborIndex index,
                      Period fixedLegTenor,
                      DayCounter fixedLegDayCounter,
                      DayCounter floatingLegDayCounter,
                      YieldTermStructureHandle termStructure)

Method Detail

getCPtr

protected static long getCPtr(SwaptionHelper obj)

finalize

protected void finalize()

Overrides:

finalize in class CalibrationHelper

delete

public void delete()

Overrides:

delete in class CalibrationHelper

times

public DoubleVector times()