com.github.vonrosen.quantlib

Class SwaptionVolatilityMatrix

java.lang.Object

com.github.vonrosen.quantlib.SwaptionVolatilityStructure

com.github.vonrosen.quantlib.SwaptionVolatilityMatrix

public class SwaptionVolatilityMatrix
extends SwaptionVolatilityStructure

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, SWIGTYPE_p_std__vectorT_std__vectorT_double_t_t shifts)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
protected	SwaptionVolatilityMatrix(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionVolatilityMatrix obj)

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

__deref__, allowsExtrapolation, asObservable, blackVariance, blackVariance, blackVariance, blackVariance, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, isNull, maxStrike, maxSwapLength, maxSwapTenor, minStrike, optionDateFromTenor, referenceDate, volatility, volatility, volatility, volatility

Methods inherited from class java.lang.Object

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

Constructor Detail

SwaptionVolatilityMatrix

protected SwaptionVolatilityMatrix(long cPtr,
                                   boolean cMemoryOwn)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                Matrix shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                SWIGTYPE_p_std__vectorT_std__vectorT_double_t_t shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                Matrix shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter)

Method Detail

getCPtr

protected static long getCPtr(SwaptionVolatilityMatrix obj)

finalize

protected void finalize()

Overrides:

finalize in class SwaptionVolatilityStructure

delete

public void delete()

Overrides:

delete in class SwaptionVolatilityStructure