C# Class QLNet.SwaptionHelper

Inheritance: QLNet.CalibrationHelper
Mostrar archivo Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method Description
SwaptionHelper ( Period maturity, Period length, Handle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle termStructure, bool calibrateVolatility ) : System
addTimesTo ( List times ) : void
blackPrice ( double sigma ) : double
modelValue ( ) : double

Method Details

SwaptionHelper() public method

public SwaptionHelper ( Period maturity, Period length, Handle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle termStructure, bool calibrateVolatility ) : System
maturity Period
length Period
volatility Handle
index IborIndex
fixedLegTenor Period
fixedLegDayCounter DayCounter
floatingLegDayCounter DayCounter
termStructure Handle
calibrateVolatility bool
return System

addTimesTo() public method

public addTimesTo ( List times ) : void
times List
return void

blackPrice() public method

public blackPrice ( double sigma ) : double
sigma double
return double

modelValue() public method

public modelValue ( ) : double
return double