Package org.jquantlib.model

Examples of org.jquantlib.model.ConstantParameter


        super(4);
        theta_ = (arguments_.get(0));
        k_ = arguments_.get(1);
        sigma_ = arguments_.get(2);
        r0_ = arguments_.get(3);
        theta_ = new ConstantParameter(theta, new PositiveConstraint());
        k_ = new ConstantParameter(k, new PositiveConstraint());
        sigma_ = new ConstantParameter(sigma, new VolatilityConstraint(k, theta));
        r0_ = new ConstantParameter(r0, new PositiveConstraint());
    }
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        this.sigma_ = arguments_.get(2);
        this.lambda_ = arguments_.get(3);

        // TODO: code review :: please verify against QL/C++ code :: Seems to be non-sense!

        this.a_ = new ConstantParameter(a, new PositiveConstraint());
        this.b_ = new ConstantParameter(b, new NoConstraint());
        this.sigma_ = new ConstantParameter(sigma, new PositiveConstraint());
        this.lambda_ = new ConstantParameter(lambda, new NoConstraint());
    }
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        super(4);
        theta_ = (arguments_.get(0));
        k_ = arguments_.get(1);
        sigma_ = arguments_.get(2);
        r0_ = arguments_.get(3);
        theta_ = new ConstantParameter(theta, new PositiveConstraint());
        k_ = new ConstantParameter(k, new PositiveConstraint());
        sigma_ = new ConstantParameter(sigma, new VolatilityConstraint(k, theta));
        r0_ = new ConstantParameter(r0, new PositiveConstraint());
    }
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        termstructureConsistentModel = new TermStructureConsistentModelClass(termStructure);
        this.a_ = arguments_.get(0);
        this.sigma_ = arguments_.get(1);
        //FIXME: bug?
        this.a_ = new ConstantParameter(a, new PositiveConstraint());
        this.sigma_ = new ConstantParameter(sigma, new PositiveConstraint());

        // TODO: code review :: please verify against QL/C++ code
        // seems like we should have this.termStructure

        termStructure.addObserver(this);
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        this.v0_ = process.v0();
        this.kappa_ = process.kappa();
        this.theta_ = process.theta();
        this.sigma_ = process.sigma();
        this.rho_ = process.rho();
        arguments_.set(0, new ConstantParameter(process.theta().currentLink().value(), new PositiveConstraint()));
        arguments_.set(1, new ConstantParameter(process.kappa().currentLink().value(), new PositiveConstraint()));
        arguments_.set(2, new ConstantParameter(process.sigma().currentLink().value(), new PositiveConstraint()));
        arguments_.set(3, new ConstantParameter(process.rho().currentLink().value(), new PositiveConstraint()));
        arguments_.set(4, new ConstantParameter(process.v0().currentLink().value(), new PositiveConstraint()));

        if (System.getProperty("EXPERIMENTAL") == null) {
            throw new UnsupportedOperationException("Work in progress");
        }
    }
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        this(process, 0.1, 0.1, 0.1, 0.5);
    }

    public BatesDoubleExpModel(final HestonProcess process, final double lambda, final double nuUp, final double nuDown, final double p) {
        super(process);
        arguments_.set(5, new ConstantParameter(p, new BoundaryConstraint(0.0, 1.0)));
        arguments_.set(6, new ConstantParameter(nuDown, new PositiveConstraint()));
        arguments_.set(7, new ConstantParameter(nuUp, new PositiveConstraint()));
        arguments_.set(8, new ConstantParameter(lambda, new PositiveConstraint()));

        if (System.getProperty("EXPERIMENTAL") == null) {
            throw new UnsupportedOperationException("Work in progress");
        }
    }
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    public static class BatesDoubleExpDetJumpModel extends BatesDoubleExpModel {
        public BatesDoubleExpDetJumpModel(final HestonProcess process, final double lambda, final double nuUp, final double nuDown, final double p,
                final double kappaLambda, final double thetaLambda) {
            super(process);
            arguments_.set(9, new ConstantParameter(kappaLambda, new PositiveConstraint()));
            arguments_.set(10, new ConstantParameter(thetaLambda, new PositiveConstraint()));

        }
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*/
public class BatesModel extends HestonModel {

    public BatesModel(final HestonProcess process, final double lambda, final double nu, final double delta) {
        super(process);
        arguments_.set(5, new ConstantParameter(nu, new NoConstraint()));
        arguments_.set(6, new ConstantParameter(delta, new PositiveConstraint()));
        arguments_.set(7, new ConstantParameter(lambda, new PositiveConstraint()));

        if (System.getProperty("EXPERIMENTAL") == null) {
            throw new UnsupportedOperationException("Work in progress");
        }
    }
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        }

        public BatesDetJumpModel(final HestonProcess process, final double lambda, final double nu, final double delta, final double kappaLambda,
                final double thetaLambda) {
            super(process);
            arguments_.set(8, new ConstantParameter(kappaLambda, new PositiveConstraint()));
            arguments_.set(9, new ConstantParameter(thetaLambda, new PositiveConstraint()));
        }
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        if (System.getProperty("EXPERIMENTAL") == null) {
            throw new UnsupportedOperationException("Work in progress");
        }

        this.fixingTimes_ = fixingTimes;
        arguments_.set(0, new ConstantParameter(a, new PositiveConstraint()));
        arguments_.set(1, new ConstantParameter(b, new PositiveConstraint()));
        arguments_.set(2, new ConstantParameter(c, new PositiveConstraint()));
        arguments_.set(3, new ConstantParameter(d, new PositiveConstraint()));
    }
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