Package jdistlib.finance

Class OptionCalibration

java.lang.Object

jdistlib.finance.OptionCalibration

public final class OptionCalibration
extends Object

Fits caller-supplied parametric terminal laws directly to European option quotes.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static interface	OptionCalibration.Family
static final class	OptionCalibration.Result

Method Summary

Modifier and Type	Method	Description
static OptionCalibration.Result	fit(double forward, double discount, OptionObservation[] observations, OptionCalibration.Family family, double[] initial, int iterations)

Methods inherited from class java.lang.Object

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

Method Details

fit

public static OptionCalibration.Result fit(double forward,
 double discount,
 OptionObservation[] observations,
 OptionCalibration.Family family,
 double[] initial,
 int iterations)