C# Class QLNet.CapFloorTermVolatilityStructure

Inheritance: VolatilityTermStructure

Afficher le fichier Open project: ammachado/QLNet

Méthodes publiques

Méthode	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

Méthodes protégées

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

Method Details

CapFloorTermVolatilityStructure() public méthode

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

CapFloorTermVolatilityStructure() public méthode

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

CapFloorTermVolatilityStructure() public méthode

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

CapFloorTermVolatilityStructure() public méthode

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

CapFloorTermVolatilityStructure() public méthode

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

CapFloorTermVolatilityStructure() public méthode

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

volatility() public méthode

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

volatility() public méthode

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

volatility() public méthode

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

volatility() public méthode

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

volatility() public méthode

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

volatility() public méthode

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

volatilityImpl() protected méthode

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