Package org.jquantlib.math.interpolations

Examples of org.jquantlib.math.interpolations.SABRInterpolation.update()

1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
                            alphaGuess, betaGuess, nuGuess, rhoGuess,
                            isAlphaFixed[k_a], isBetaFixed[k_b],
                            isNuFixed[k_n], isRhoFixed[k_r],
                            vegaWeighted[i],
                            endCriteria, methods[j]);
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final boolean failed = false;
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta  = sabrInterpolation.beta();
View Full Code Here
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
                            alphaGuess, betaGuess, nuGuess, rhoGuess,
                            isAlphaFixed[k_a], isBetaFixed[k_b],
                            isNuFixed[k_n], isRhoFixed[k_r],
                            vegaWeighted[i],
                            endCriteria, methods[j]);
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final boolean failed = false;
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta  = sabrInterpolation.beta();
View Full Code Here
142
143
144
145
146
147
148
149
150
151
152
                                         alphaGuess, betaGuess, nuGuess, rhoGuess,
                                         isAlphaFixed[k_a], isBetaFixed[k_b],
                                         isNuFixed[k_n], isRhoFixed[k_r],
                                         vegaWeighted[i],
                                         endCriteria, methods_.get(j));
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta = sabrInterpolation.beta();
                    final double calibratedNu = sabrInterpolation.nu();
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.