com.github.vonrosen.quantlib

Class VannaVolgaDoubleBarrierEngine

java.lang.Object

com.github.vonrosen.quantlib.PricingEngine

com.github.vonrosen.quantlib.VannaVolgaDoubleBarrierEngine

public class VannaVolgaDoubleBarrierEngine
extends PricingEngine

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol, DeltaVolQuoteHandle vol25Put, DeltaVolQuoteHandle vol25Call, QuoteHandle spotFX, YieldTermStructureHandle domesticTS, YieldTermStructureHandle foreignTS)
	VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol, DeltaVolQuoteHandle vol25Put, DeltaVolQuoteHandle vol25Call, QuoteHandle spotFX, YieldTermStructureHandle domesticTS, YieldTermStructureHandle foreignTS, String type)
	VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol, DeltaVolQuoteHandle vol25Put, DeltaVolQuoteHandle vol25Call, QuoteHandle spotFX, YieldTermStructureHandle domesticTS, YieldTermStructureHandle foreignTS, String type, boolean adaptVanDelta)
	VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol, DeltaVolQuoteHandle vol25Put, DeltaVolQuoteHandle vol25Call, QuoteHandle spotFX, YieldTermStructureHandle domesticTS, YieldTermStructureHandle foreignTS, String type, boolean adaptVanDelta, double bsPriceWithSmile)
	VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol, DeltaVolQuoteHandle vol25Put, DeltaVolQuoteHandle vol25Call, QuoteHandle spotFX, YieldTermStructureHandle domesticTS, YieldTermStructureHandle foreignTS, String type, boolean adaptVanDelta, double bsPriceWithSmile, int series)
protected	VannaVolgaDoubleBarrierEngine(long cPtr, boolean cMemoryOwn)

Method Summary

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

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

__deref__, getCPtr, isNull

Methods inherited from class java.lang.Object

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

Constructor Detail

VannaVolgaDoubleBarrierEngine

protected VannaVolgaDoubleBarrierEngine(long cPtr,
                                        boolean cMemoryOwn)

VannaVolgaDoubleBarrierEngine

public VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol,
                                     DeltaVolQuoteHandle vol25Put,
                                     DeltaVolQuoteHandle vol25Call,
                                     QuoteHandle spotFX,
                                     YieldTermStructureHandle domesticTS,
                                     YieldTermStructureHandle foreignTS,
                                     String type,
                                     boolean adaptVanDelta,
                                     double bsPriceWithSmile,
                                     int series)

VannaVolgaDoubleBarrierEngine

public VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol,
                                     DeltaVolQuoteHandle vol25Put,
                                     DeltaVolQuoteHandle vol25Call,
                                     QuoteHandle spotFX,
                                     YieldTermStructureHandle domesticTS,
                                     YieldTermStructureHandle foreignTS,
                                     String type,
                                     boolean adaptVanDelta,
                                     double bsPriceWithSmile)

VannaVolgaDoubleBarrierEngine

public VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol,
                                     DeltaVolQuoteHandle vol25Put,
                                     DeltaVolQuoteHandle vol25Call,
                                     QuoteHandle spotFX,
                                     YieldTermStructureHandle domesticTS,
                                     YieldTermStructureHandle foreignTS,
                                     String type,
                                     boolean adaptVanDelta)

VannaVolgaDoubleBarrierEngine

public VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol,
                                     DeltaVolQuoteHandle vol25Put,
                                     DeltaVolQuoteHandle vol25Call,
                                     QuoteHandle spotFX,
                                     YieldTermStructureHandle domesticTS,
                                     YieldTermStructureHandle foreignTS,
                                     String type)

VannaVolgaDoubleBarrierEngine

public VannaVolgaDoubleBarrierEngine(DeltaVolQuoteHandle atmVol,
                                     DeltaVolQuoteHandle vol25Put,
                                     DeltaVolQuoteHandle vol25Call,
                                     QuoteHandle spotFX,
                                     YieldTermStructureHandle domesticTS,
                                     YieldTermStructureHandle foreignTS)

Method Detail

getCPtr

protected static long getCPtr(VannaVolgaDoubleBarrierEngine obj)

finalize

protected void finalize()

Overrides:

finalize in class PricingEngine

delete

public void delete()

Overrides:

delete in class PricingEngine