com.github.vonrosen.quantlib

Class CapFloor

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.CapFloor

Direct Known Subclasses:

Cap, Collar, Floor

public class CapFloor
extends Instrument

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	atmRate(YieldTermStructure discountCurve)
DoubleVector	capRates()
void	delete()
protected void	finalize()
Leg	floatingLeg()
DoubleVector	floorRates()
protected static long	getCPtr(CapFloor obj)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
Date	maturityDate()
Date	startDate()

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

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

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

Constructor Detail

CapFloor

protected CapFloor(long cPtr,
                   boolean cMemoryOwn)

CapFloor

public CapFloor()

Method Detail

getCPtr

protected static long getCPtr(CapFloor obj)

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Overrides:

delete in class Instrument

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type,
                                double displacement)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess)

floatingLeg

public Leg floatingLeg()

capRates

public DoubleVector capRates()

floorRates

public DoubleVector floorRates()

startDate

public Date startDate()

maturityDate

public Date maturityDate()

atmRate

public double atmRate(YieldTermStructure discountCurve)