com.github.vonrosen.quantlib

Class SwaptionVolCube1

java.lang.Object

com.github.vonrosen.quantlib.SwaptionVolatilityStructure

com.github.vonrosen.quantlib.SwaptionVolCube1

public class SwaptionVolCube1
extends SwaptionVolatilityStructure

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	SwaptionVolCube1(long cPtr, boolean cMemoryOwn)
	SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated)
	SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria)
	SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria, double maxErrorTolerance)
	SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, boolean vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, boolean isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria, double maxErrorTolerance, SWIGTYPE_p_boost__shared_ptrT_OptimizationMethod_t optMethod)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionVolCube1 obj)

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

__deref__, allowsExtrapolation, asObservable, blackVariance, blackVariance, blackVariance, blackVariance, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, isNull, maxStrike, maxSwapLength, maxSwapTenor, minStrike, optionDateFromTenor, referenceDate, volatility, volatility, volatility, volatility

Methods inherited from class java.lang.Object

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

Constructor Detail

SwaptionVolCube1

protected SwaptionVolCube1(long cPtr,
                           boolean cMemoryOwn)

SwaptionVolCube1

public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure,
                        PeriodVector optionTenors,
                        PeriodVector swapTenors,
                        DoubleVector strikeSpreads,
                        QuoteHandleVectorVector volSpreads,
                        SwapIndex swapIndexBase,
                        SwapIndex shortSwapIndexBase,
                        boolean vegaWeightedSmileFit,
                        QuoteHandleVectorVector parametersGuess,
                        BoolVector isParameterFixed,
                        boolean isAtmCalibrated,
                        SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria,
                        double maxErrorTolerance,
                        SWIGTYPE_p_boost__shared_ptrT_OptimizationMethod_t optMethod)

SwaptionVolCube1

public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure,
                        PeriodVector optionTenors,
                        PeriodVector swapTenors,
                        DoubleVector strikeSpreads,
                        QuoteHandleVectorVector volSpreads,
                        SwapIndex swapIndexBase,
                        SwapIndex shortSwapIndexBase,
                        boolean vegaWeightedSmileFit,
                        QuoteHandleVectorVector parametersGuess,
                        BoolVector isParameterFixed,
                        boolean isAtmCalibrated,
                        SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria,
                        double maxErrorTolerance)

SwaptionVolCube1

public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure,
                        PeriodVector optionTenors,
                        PeriodVector swapTenors,
                        DoubleVector strikeSpreads,
                        QuoteHandleVectorVector volSpreads,
                        SwapIndex swapIndexBase,
                        SwapIndex shortSwapIndexBase,
                        boolean vegaWeightedSmileFit,
                        QuoteHandleVectorVector parametersGuess,
                        BoolVector isParameterFixed,
                        boolean isAtmCalibrated,
                        SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria)

SwaptionVolCube1

public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure,
                        PeriodVector optionTenors,
                        PeriodVector swapTenors,
                        DoubleVector strikeSpreads,
                        QuoteHandleVectorVector volSpreads,
                        SwapIndex swapIndexBase,
                        SwapIndex shortSwapIndexBase,
                        boolean vegaWeightedSmileFit,
                        QuoteHandleVectorVector parametersGuess,
                        BoolVector isParameterFixed,
                        boolean isAtmCalibrated)

Method Detail

getCPtr

protected static long getCPtr(SwaptionVolCube1 obj)

finalize

protected void finalize()

Overrides:

finalize in class SwaptionVolatilityStructure

delete

public void delete()

Overrides:

delete in class SwaptionVolatilityStructure