com.github.vonrosen.quantlib

Class BlackVolTermStructure

java.lang.Object

com.github.vonrosen.quantlib.BlackVolTermStructure

Direct Known Subclasses:

BlackConstantVol, BlackVarianceCurve, BlackVarianceSurface

public class BlackVolTermStructure
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	BlackVolTermStructure()
protected	BlackVolTermStructure(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
SWIGTYPE_p_BlackVolTermStructure	__deref__()
boolean	allowsExtrapolation()
Observable	asObservable()
double	blackForwardVariance(Date arg0, Date arg1, double strike)
double	blackForwardVariance(Date arg0, Date arg1, double strike, boolean extrapolate)
double	blackForwardVariance(double arg0, double arg1, double strike)
double	blackForwardVariance(double arg0, double arg1, double strike, boolean extrapolate)
double	blackForwardVol(Date arg0, Date arg1, double strike)
double	blackForwardVol(Date arg0, Date arg1, double strike, boolean extrapolate)
double	blackForwardVol(double arg0, double arg1, double strike)
double	blackForwardVol(double arg0, double arg1, double strike, boolean extrapolate)
double	blackVariance(Date arg0, double strike)
double	blackVariance(Date arg0, double strike, boolean extrapolate)
double	blackVariance(double arg0, double strike)
double	blackVariance(double arg0, double strike, boolean extrapolate)
double	blackVol(Date arg0, double strike)
double	blackVol(Date arg0, double strike, boolean extrapolate)
double	blackVol(double arg0, double strike)
double	blackVol(double arg0, double strike, boolean extrapolate)
Calendar	calendar()
DayCounter	dayCounter()
void	delete()
void	disableExtrapolation()
void	enableExtrapolation()
protected void	finalize()
protected static long	getCPtr(BlackVolTermStructure obj)
boolean	isNull()
Date	maxDate()
double	maxStrike()
double	maxTime()
double	minStrike()
Date	referenceDate()

Methods inherited from class java.lang.Object

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

BlackVolTermStructure

protected BlackVolTermStructure(long cPtr,
                                boolean cMemoryOwn)

BlackVolTermStructure

public BlackVolTermStructure()

Method Detail

getCPtr

protected static long getCPtr(BlackVolTermStructure obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

__deref__

public SWIGTYPE_p_BlackVolTermStructure __deref__()

isNull

public boolean isNull()

asObservable

public Observable asObservable()

referenceDate

public Date referenceDate()

dayCounter

public DayCounter dayCounter()

calendar

public Calendar calendar()

maxDate

public Date maxDate()

maxTime

public double maxTime()

minStrike

public double minStrike()

maxStrike

public double maxStrike()

blackVol

public double blackVol(Date arg0,
                       double strike,
                       boolean extrapolate)

blackVol

public double blackVol(Date arg0,
                       double strike)

blackVol

public double blackVol(double arg0,
                       double strike,
                       boolean extrapolate)

blackVol

public double blackVol(double arg0,
                       double strike)

blackVariance

public double blackVariance(Date arg0,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(Date arg0,
                            double strike)

blackVariance

public double blackVariance(double arg0,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(double arg0,
                            double strike)

blackForwardVol

public double blackForwardVol(Date arg0,
                              Date arg1,
                              double strike,
                              boolean extrapolate)

blackForwardVol

public double blackForwardVol(Date arg0,
                              Date arg1,
                              double strike)

blackForwardVol

public double blackForwardVol(double arg0,
                              double arg1,
                              double strike,
                              boolean extrapolate)

blackForwardVol

public double blackForwardVol(double arg0,
                              double arg1,
                              double strike)

blackForwardVariance

public double blackForwardVariance(Date arg0,
                                   Date arg1,
                                   double strike,
                                   boolean extrapolate)

blackForwardVariance

public double blackForwardVariance(Date arg0,
                                   Date arg1,
                                   double strike)

blackForwardVariance

public double blackForwardVariance(double arg0,
                                   double arg1,
                                   double strike,
                                   boolean extrapolate)

blackForwardVariance

public double blackForwardVariance(double arg0,
                                   double arg1,
                                   double strike)

enableExtrapolation

public void enableExtrapolation()

disableExtrapolation

public void disableExtrapolation()

allowsExtrapolation

public boolean allowsExtrapolation()