com.github.vonrosen.quantlib

Class OptionletStripper1

java.lang.Object

com.github.vonrosen.quantlib.StrippedOptionletBase

com.github.vonrosen.quantlib.OptionletStripper1

public class OptionletStripper1
extends StrippedOptionletBase

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement, boolean dontThrow)
protected	OptionletStripper1(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
Matrix	capFloorPrices()
Matrix	capFloorVolatilities()
void	delete()
protected void	finalize()
protected static long	getCPtr(OptionletStripper1 obj)
Matrix	optionletPrices()
double	switchStrike()

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

__deref__, atmOptionletRates, businessDayConvention, calendar, dayCounter, getCPtr, isNull, optionletFixingDates, optionletFixingTimes, optionletMaturities, optionletStrikes, optionletVolatilities, settlementDays

Methods inherited from class java.lang.Object

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

Constructor Detail

OptionletStripper1

protected OptionletStripper1(long cPtr,
                             boolean cMemoryOwn)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type,
                          double displacement,
                          boolean dontThrow)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type,
                          double displacement)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index)

Method Detail

getCPtr

protected static long getCPtr(OptionletStripper1 obj)

finalize

protected void finalize()

Overrides:

finalize in class StrippedOptionletBase

delete

public void delete()

Overrides:

delete in class StrippedOptionletBase

capFloorPrices

public Matrix capFloorPrices()

capFloorVolatilities

public Matrix capFloorVolatilities()

optionletPrices

public Matrix optionletPrices()

switchStrike

public double switchStrike()