org.jquantlib.model.shortrate.calibrationhelpers

Class SwaptionHelper

java.lang.Object

org.jquantlib.model.CalibrationHelper

org.jquantlib.model.shortrate.calibrationhelpers.SwaptionHelper

All Implemented Interfaces:

Observable, Observer

public class SwaptionHelper
extends CalibrationHelper

Constructor Summary

Constructors

Constructor and Description
SwaptionHelper(Handle<Quote> volatility, Handle<YieldTermStructure> termStructure, boolean calibrateVolatility)

Method Summary

Modifier and Type	Method and Description
void	addTimesTo(java.util.ArrayList<Time> times)
double	blackPrice(double volatility)
double	calibrationError()
double	impliedVolatility(double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
double	modelValue()

Methods inherited from class org.jquantlib.model.CalibrationHelper

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers, setPricingEngine, update

Methods inherited from class java.lang.Object

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

Constructor Detail

SwaptionHelper

public SwaptionHelper(Handle<Quote> volatility,
                      Handle<YieldTermStructure> termStructure,
                      boolean calibrateVolatility)

Method Detail

addTimesTo

public void addTimesTo(java.util.ArrayList<Time> times)

Specified by:

addTimesTo in class CalibrationHelper

blackPrice

public double blackPrice(double volatility)

Specified by:

blackPrice in class CalibrationHelper

calibrationError

public double calibrationError()

Overrides:

calibrationError in class CalibrationHelper

impliedVolatility

public double impliedVolatility(double targetValue,
                                double accuracy,
                                int maxEvaluations,
                                double minVol,
                                double maxVol)

Overrides:

impliedVolatility in class CalibrationHelper

modelValue

public double modelValue()

Specified by:

modelValue in class CalibrationHelper