com.github.vonrosen.quantlib

Class SwaptionVolatilityStructure

java.lang.Object

com.github.vonrosen.quantlib.SwaptionVolatilityStructure

Direct Known Subclasses:

ConstantSwaptionVolatility, SwaptionVolatilityMatrix, SwaptionVolCube1, SwaptionVolCube2

public class SwaptionVolatilityStructure
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
SWIGTYPE_p_SwaptionVolatilityStructure	__deref__()
boolean	allowsExtrapolation()
Observable	asObservable()
double	blackVariance(Date start, Period length, double strike)
double	blackVariance(Date start, Period length, double strike, boolean extrapolate)
double	blackVariance(double start, double length, double strike)
double	blackVariance(double start, double length, double strike, boolean extrapolate)
Calendar	calendar()
DayCounter	dayCounter()
void	delete()
void	disableExtrapolation()
void	enableExtrapolation()
protected void	finalize()
protected static long	getCPtr(SwaptionVolatilityStructure obj)
boolean	isNull()
double	maxStrike()
double	maxSwapLength()
Period	maxSwapTenor()
double	minStrike()
Date	optionDateFromTenor(Period p)
Date	referenceDate()
double	volatility(Date start, Period length, double strike)
double	volatility(Date start, Period length, double strike, boolean extrapolate)
double	volatility(double start, double length, double strike)
double	volatility(double start, double length, double strike, boolean extrapolate)

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

SwaptionVolatilityStructure

protected SwaptionVolatilityStructure(long cPtr,
                                      boolean cMemoryOwn)

SwaptionVolatilityStructure

public SwaptionVolatilityStructure()

Method Detail

getCPtr

protected static long getCPtr(SwaptionVolatilityStructure obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

__deref__

public SWIGTYPE_p_SwaptionVolatilityStructure __deref__()

isNull

public boolean isNull()

asObservable

public Observable asObservable()

referenceDate

public Date referenceDate()

dayCounter

public DayCounter dayCounter()

calendar

public Calendar calendar()

maxSwapTenor

public Period maxSwapTenor()

maxSwapLength

public double maxSwapLength()

minStrike

public double minStrike()

maxStrike

public double maxStrike()

volatility

public double volatility(Date start,
                         Period length,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(Date start,
                         Period length,
                         double strike)

volatility

public double volatility(double start,
                         double length,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(double start,
                         double length,
                         double strike)

blackVariance

public double blackVariance(Date start,
                            Period length,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(Date start,
                            Period length,
                            double strike)

blackVariance

public double blackVariance(double start,
                            double length,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(double start,
                            double length,
                            double strike)

optionDateFromTenor

public Date optionDateFromTenor(Period p)

enableExtrapolation

public void enableExtrapolation()

disableExtrapolation

public void disableExtrapolation()

allowsExtrapolation

public boolean allowsExtrapolation()