C# Class QLNet.CapFloorTermVolatilityStructure

Inheritance: VolatilityTermStructure

Datei anzeigen Open project: ammachado/QLNet

Public Methods

Method	Description
CapFloorTermVolatilityStructure ( QLNet.Calendar cal, BusinessDayConvention bdc ) : System
CapFloorTermVolatilityStructure ( QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
CapFloorTermVolatilityStructure ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc ) : System
CapFloorTermVolatilityStructure ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
CapFloorTermVolatilityStructure ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc ) : System
CapFloorTermVolatilityStructure ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
volatility ( Date end, double strike ) : double
volatility ( Date end, double strike, bool extrapolate ) : double
volatility ( Period length, double strike ) : double
volatility ( Period length, double strike, bool extrapolate ) : double
volatility ( double t, double strike ) : double
volatility ( double t, double strike, bool extrapolate ) : double

Protected Methods

Method	Description
volatilityImpl ( double length, double strike ) : double

Method Details

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( QLNet.Calendar cal, BusinessDayConvention bdc ) : System
cal	QLNet.Calendar
bdc	BusinessDayConvention
return	System

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
return	System

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc ) : System
referenceDate	Date
cal	QLNet.Calendar
bdc	BusinessDayConvention
return	System

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
referenceDate	Date
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
return	System

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
return	System

CapFloorTermVolatilityStructure() public method

public CapFloorTermVolatilityStructure ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
return	System

volatility() public method

public volatility ( Date end, double strike ) : double
end	Date
strike	double
return	double

volatility() public method

public volatility ( Date end, double strike, bool extrapolate ) : double
end	Date
strike	double
extrapolate	bool
return	double

volatility() public method

public volatility ( Period length, double strike ) : double
length	Period
strike	double
return	double

volatility() public method

public volatility ( Period length, double strike, bool extrapolate ) : double
length	Period
strike	double
extrapolate	bool
return	double

volatility() public method

public volatility ( double t, double strike ) : double
t	double
strike	double
return	double

volatility() public method

public volatility ( double t, double strike, bool extrapolate ) : double
t	double
strike	double
extrapolate	bool
return	double

volatilityImpl() protected method

protected volatilityImpl ( double length, double strike ) : double
length	double
strike	double
return	double