com.github.vonrosen.quantlib

Class BlackVarianceSurface

java.lang.Object

com.github.vonrosen.quantlib.BlackVolTermStructure

com.github.vonrosen.quantlib.BlackVarianceSurface

public class BlackVarianceSurface
extends BlackVolTermStructure

Field Summary

Fields

Modifier and Type	Field and Description
static _BlackVarianceSurface.Extrapolation	ConstantExtrapolation
static _BlackVarianceSurface.Extrapolation	InterpolatorDefaultExtrapolation

Fields inherited from class com.github.vonrosen.quantlib.BlackVolTermStructure

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, _BlackVarianceSurface.Extrapolation lower, _BlackVarianceSurface.Extrapolation upper)
	BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, _BlackVarianceSurface.Extrapolation lower, _BlackVarianceSurface.Extrapolation upper, String interpolator)
	BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, _BlackVarianceSurface.Extrapolation lower)
	BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter)
protected	BlackVarianceSurface(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(BlackVarianceSurface obj)
void	setInterpolation()
void	setInterpolation(String interpolator)

Methods inherited from class com.github.vonrosen.quantlib.BlackVolTermStructure

__deref__, allowsExtrapolation, asObservable, blackForwardVariance, blackForwardVariance, blackForwardVariance, blackForwardVariance, blackForwardVol, blackForwardVol, blackForwardVol, blackForwardVol, blackVariance, blackVariance, blackVariance, blackVariance, blackVol, blackVol, blackVol, blackVol, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, isNull, maxDate, maxStrike, maxTime, minStrike, referenceDate

Methods inherited from class java.lang.Object

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

Field Detail

ConstantExtrapolation

public static final _BlackVarianceSurface.Extrapolation ConstantExtrapolation

InterpolatorDefaultExtrapolation

public static final _BlackVarianceSurface.Extrapolation InterpolatorDefaultExtrapolation

Constructor Detail

BlackVarianceSurface

protected BlackVarianceSurface(long cPtr,
                               boolean cMemoryOwn)

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Calendar cal,
                            DateVector dates,
                            DoubleVector strikes,
                            Matrix blackVols,
                            DayCounter dayCounter,
                            _BlackVarianceSurface.Extrapolation lower,
                            _BlackVarianceSurface.Extrapolation upper,
                            String interpolator)

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Calendar cal,
                            DateVector dates,
                            DoubleVector strikes,
                            Matrix blackVols,
                            DayCounter dayCounter,
                            _BlackVarianceSurface.Extrapolation lower,
                            _BlackVarianceSurface.Extrapolation upper)

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Calendar cal,
                            DateVector dates,
                            DoubleVector strikes,
                            Matrix blackVols,
                            DayCounter dayCounter,
                            _BlackVarianceSurface.Extrapolation lower)

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Calendar cal,
                            DateVector dates,
                            DoubleVector strikes,
                            Matrix blackVols,
                            DayCounter dayCounter)

Method Detail

getCPtr

protected static long getCPtr(BlackVarianceSurface obj)

finalize

protected void finalize()

Overrides:

finalize in class BlackVolTermStructure

delete

public void delete()

Overrides:

delete in class BlackVolTermStructure

setInterpolation

public void setInterpolation(String interpolator)

setInterpolation

public void setInterpolation()