com.illumon.modelfarm.fitterfarm.FitterFarmFactory

public class FitterFarmFactory
extends Object

Factory methods to create multithreaded resources to fit a derivative model's parameters.

Method Summary

Modifier and Type	Method	Description
`static ModelFarm`	`newEquityFitterOptionPriceHistorical(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, int queueSize, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks.
`static ModelFarm`	`newEquityFitterOptionPriceHistorical(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks.
`static ModelFarm`	`newEquityFitterOptionPriceRealTime(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve)`	Create a multithreaded resource to fit a derivative model's parameters for equities in real time.
`static ModelFarm`	`newEquityFitterOptionPriceRealTime(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, EquityPrioritizer<EquityFitDataOptionPrices> prioritizer)`	Create a multithreaded resource to fit a derivative model's parameters for equities in real time.
`static ModelFarm`	`newEquityFitterVolSurfaceHistorical(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, int queueSize, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks.
`static ModelFarm`	`newEquityFitterVolSurfaceHistorical(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks.
`static ModelFarm`	`newEquityFitterVolSurfaceRealTime(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve)`	Create a multithreaded resource to fit a derivative model's parameters for equities in real time.
`static ModelFarm`	`newEquityFitterVolSurfaceRealTime(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, EquityPrioritizer<EquityFitDataVolSurface> prioritizer)`	Create a multithreaded resource to fit a derivative model's parameters for equities in real time.
`static ModelFarm`	`newFuturesFitterOptionPriceHistorical(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, int queueSize, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks.
`static ModelFarm`	`newFuturesFitterOptionPriceHistorical(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks.
`static ModelFarm`	`newFuturesFitterOptionPriceRealTime(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve)`	Create a multithreaded resource to fit a derivative model's parameters for futures in real time.
`static ModelFarm`	`newFuturesFitterOptionPriceRealTime(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, FuturesPrioritizer<FuturesFitDataOptionPrices> prioritizer)`	Create a multithreaded resource to fit a derivative model's parameters for futures in real time.
`static ModelFarm`	`newFuturesFitterVolSurfaceHistorical(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, int queueSize, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks.
`static ModelFarm`	`newFuturesFitterVolSurfaceHistorical(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, Table snapshotTrigger)`	Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks.
`static ModelFarm`	`newFuturesFitterVolSurfaceRealTime(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve)`	Create a multithreaded resource to fit a derivative model's parameters for futures in real time.
`static ModelFarm`	`newFuturesFitterVolSurfaceRealTime(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, FuturesPrioritizer<FuturesFitDataVolSurface> prioritizer)`	Create a multithreaded resource to fit a derivative model's parameters for futures in real time.

Methods inherited from class java.lang.Object

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

Method Details
- newEquityFitterOptionPriceRealTime
  
  public static ModelFarm newEquityFitterOptionPriceRealTime(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve)
  Create a multithreaded resource to fit a derivative model's parameters for equities in real time. The model is fit directly from option prices.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  Returns:
  
  real-time fitter for equities
- newEquityFitterOptionPriceRealTime
  
  public static ModelFarm newEquityFitterOptionPriceRealTime(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, EquityPrioritizer<EquityFitDataOptionPrices> prioritizer)
  Create a multithreaded resource to fit a derivative model's parameters for equities in real time. The model is fit directly from option prices.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  prioritizer - utility for computing the priority for performing a fit.
  
  Returns:
  
  real-time fitter for equities
- newEquityFitterOptionPriceHistorical
  
  public static ModelFarm newEquityFitterOptionPriceHistorical(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks. The model is fit directly from option prices. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newEquityFitterOptionPriceHistorical
  
  public static ModelFarm newEquityFitterOptionPriceHistorical(int nThreads, Model<EquityFitDataOptionPrices> model, Table underlying, Table options, Table dividends, Table yieldCurve, Table carryCurve, int queueSize, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks. The model is fit directly from option prices. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  queueSize - number of elements in the work queue backlog before the blocking new updates.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newEquityFitterVolSurfaceRealTime
  
  public static ModelFarm newEquityFitterVolSurfaceRealTime(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve)
  Create a multithreaded resource to fit a derivative model's parameters for equities in real time. The model is fit from a vol surface.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  Returns:
  
  real-time fitter for equities
- newEquityFitterVolSurfaceRealTime
  
  public static ModelFarm newEquityFitterVolSurfaceRealTime(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, EquityPrioritizer<EquityFitDataVolSurface> prioritizer)
  Create a multithreaded resource to fit a derivative model's parameters for equities in real time. The model is fit from a vol surface.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  prioritizer - utility for computing the priority for performing a fit.
  
  Returns:
  
  real-time fitter for equities
- newEquityFitterVolSurfaceHistorical
  
  public static ModelFarm newEquityFitterVolSurfaceHistorical(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks. The model is fit from a vol surface. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newEquityFitterVolSurfaceHistorical
  
  public static ModelFarm newEquityFitterVolSurfaceHistorical(int nThreads, Model<EquityFitDataVolSurface> model, Table underlying, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table dividends, Table yieldCurve, Table carryCurve, int queueSize, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for equities when a snapshot table ticks. The model is fit from a vol surface. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: underlying:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  Id, long
  
  Sym, String
  
  Type, String
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  dividends:
  
  FitGroup, String (optional)
  
  Id, long
  
  DivExDate, DBDateTime
  
  DivCashAmount, double
  
  DivProportionalAmount, double
  
  Timestamp, DBDateTime (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  
  carryCurve:
  
  FitGroup, String (optional)
  
  Id, long
  
  CarryCurveDate, DBDateTime
  
  CarryCurveRate, double
  
  CarryCurveError, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  underlying - data on the underlying securities.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  dividends - dividends on the underlying securities.
  
  yieldCurve - yield curve description.
  
  carryCurve - cost-of-carry curve description.
  
  queueSize - number of elements in the work queue backlog before the blocking new updates.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newFuturesFitterOptionPriceRealTime
  
  public static ModelFarm newFuturesFitterOptionPriceRealTime(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve)
  Create a multithreaded resource to fit a derivative model's parameters for futures in real time. The model is fit directly from option prices.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  yieldCurve - yield curve description.
  
  Returns:
  
  real-time fitter for equities
- newFuturesFitterOptionPriceRealTime
  
  public static ModelFarm newFuturesFitterOptionPriceRealTime(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, FuturesPrioritizer<FuturesFitDataOptionPrices> prioritizer)
  Create a multithreaded resource to fit a derivative model's parameters for futures in real time. The model is fit directly from option prices.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  yieldCurve - yield curve description.
  
  prioritizer - utility for computing the priority for performing a fit.
  
  Returns:
  
  real-time fitter for equities
- newFuturesFitterOptionPriceHistorical
  
  public static ModelFarm newFuturesFitterOptionPriceHistorical(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks. The model is fit directly from option prices. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  yieldCurve - yield curve description.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newFuturesFitterOptionPriceHistorical
  
  public static ModelFarm newFuturesFitterOptionPriceHistorical(int nThreads, Model<FuturesFitDataOptionPrices> model, Table futures, Table options, Table yieldCurve, int queueSize, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks. The model is fit directly from option prices. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  yieldCurve - yield curve description.
  
  queueSize - number of elements in the work queue backlog before the blocking new updates.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newFuturesFitterVolSurfaceRealTime
  
  public static ModelFarm newFuturesFitterVolSurfaceRealTime(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve)
  Create a multithreaded resource to fit a derivative model's parameters for futures in real time. The model is fit from a vol surface.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  yieldCurve - yield curve description.
  
  Returns:
  
  real-time fitter for equities
- newFuturesFitterVolSurfaceRealTime
  
  public static ModelFarm newFuturesFitterVolSurfaceRealTime(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, FuturesPrioritizer<FuturesFitDataVolSurface> prioritizer)
  Create a multithreaded resource to fit a derivative model's parameters for futures in real time. The model is fit from a vol surface.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  yieldCurve - yield curve description.
  
  prioritizer - utility for computing the priority for performing a fit.
  
  Returns:
  
  real-time fitter for equities
- newFuturesFitterVolSurfaceHistorical
  
  public static ModelFarm newFuturesFitterVolSurfaceHistorical(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks. The model is fit from a vol surface. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  yieldCurve - yield curve description.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities
- newFuturesFitterVolSurfaceHistorical
  
  public static ModelFarm newFuturesFitterVolSurfaceHistorical(int nThreads, Model<FuturesFitDataVolSurface> model, Table futures, Table options, Table volSurfaceForwards, Table volSurfaceVols, Table yieldCurve, int queueSize, Table snapshotTrigger)
  Create a multithreaded resource to fit a derivative model's parameters for futures when a snapshot table ticks. The model is fit from a vol surface. Because this blocks when the backlog fills, it is most applicable to fitting replayed historical data.
  Tables must have the following columns: futures:
  
  Timestamp, DBDateTime
  
  FitGroup, String (optional)
  
  UId, long
  
  USym, String
  
  Id, long
  
  Sym, String
  
  Expiration, DBDateTime
  
  Bid, double
  
  Ask, double
  
  Last, double (optional)
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  options:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  UCId, long
  
  Id, long
  
  Sym, String
  
  OptionRoot, String (optional)
  
  PayoffType, String
  
  ExerciseType, String
  
  SettlementType, String
  
  Expiration, DBDateTime
  
  Strike, double
  
  Bid, double
  
  Ask, double
  
  BidSize, double (optional)
  
  AskSize, double (optional)
  
  BidGap, double (optional)
  
  AskGap, double (optional)
  
  volSurfaceForwards:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  ForwardPrice, double
  
  ForwardError, double
  
  volSurfaceVols:
  
  Timestamp, DBDateTime
  
  FitGroup, String
  
  UId, long
  
  Expiration, DBDateTime
  
  Strike, double
  
  ImpliedVol, double
  
  ImpliedVolError, double
  
  yieldCurve:
  
  FitGroup, String (optional)
  
  Id, long (optional)
  
  YieldCurveDate, DBDateTime
  
  YieldCurveRate, double
  
  Timestamp, DBDateTime (optional)
  Parameters:
  
  nThreads - number of worker threads.
  
  model - model to fit.
  
  futures - data on the underlying futures.
  
  options - data on the options.
  
  volSurfaceForwards - forwards used in computing the vol surface.
  
  volSurfaceVols - vol surface vols.
  
  yieldCurve - yield curve description.
  
  queueSize - number of elements in the work queue backlog before the blocking new updates.
  
  snapshotTrigger - table used to trigger new fits
  
  Returns:
  
  historical fitter for equities

Class FitterFarmFactory

Method Summary

Methods inherited from class java.lang.Object

Method Details