C# Class QLNet.SwaptionVolatilityDiscrete

Inheritance: QLNet.SwaptionVolatilityStructure
Afficher le fichier Open project: ammachado/QLNet Class Usage Examples

Protected Properties

Свойство Type Description
evaluationDate_ Date
nOptionTenors_ int
nSwapTenors_ int
optionDatesAsReal_ List
optionDates_ List
optionInterpolator_ QLNet.Interpolation
optionTenors_ List
optionTimes_ List
swapLengths_ List
swapTenors_ List

Méthodes publiques

Méthode Description
SwaptionVolatilityDiscrete ( List optionDates, List swapTenors, Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
SwaptionVolatilityDiscrete ( List optionTenors, List swapTenors, Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
SwaptionVolatilityDiscrete ( List optionTenors, List swapTenors, int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
optionDates ( ) : List
optionTenors ( ) : List
optionTimes ( ) : List
swapLengths ( ) : List
swapTenors ( ) : List
update ( ) : void

Méthodes protégées

Méthode Description
performCalculations ( ) : void

Private Methods

Méthode Description
checkOptionDates ( ) : void
checkOptionTenors ( ) : void
checkSwapTenors ( ) : void
initializeOptionDatesAndTimes ( ) : void
initializeOptionTimes ( ) : void
initializeSwapLengths ( ) : void

Method Details

SwaptionVolatilityDiscrete() public méthode

public SwaptionVolatilityDiscrete ( List optionDates, List swapTenors, Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
optionDates List
swapTenors List
referenceDate Date
cal QLNet.Calendar
bdc BusinessDayConvention
dc DayCounter
Résultat System

SwaptionVolatilityDiscrete() public méthode

public SwaptionVolatilityDiscrete ( List optionTenors, List swapTenors, Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
optionTenors List
swapTenors List
referenceDate Date
cal QLNet.Calendar
bdc BusinessDayConvention
dc DayCounter
Résultat System

SwaptionVolatilityDiscrete() public méthode

public SwaptionVolatilityDiscrete ( List optionTenors, List swapTenors, int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
optionTenors List
swapTenors List
settlementDays int
cal QLNet.Calendar
bdc BusinessDayConvention
dc DayCounter
Résultat System

optionDates() public méthode

public optionDates ( ) : List
Résultat List

optionTenors() public méthode

public optionTenors ( ) : List
Résultat List

optionTimes() public méthode

public optionTimes ( ) : List
Résultat List

performCalculations() protected méthode

protected performCalculations ( ) : void
Résultat void

swapLengths() public méthode

public swapLengths ( ) : List
Résultat List

swapTenors() public méthode

public swapTenors ( ) : List
Résultat List

update() public méthode

public update ( ) : void
Résultat void

Property Details

evaluationDate_ protected_oe property

protected Date evaluationDate_
Résultat Date

nOptionTenors_ protected_oe property

protected int nOptionTenors_
Résultat int

nSwapTenors_ protected_oe property

protected int nSwapTenors_
Résultat int

optionDatesAsReal_ protected_oe property

protected List optionDatesAsReal_
Résultat List

optionDates_ protected_oe property

protected List optionDates_
Résultat List

optionInterpolator_ protected_oe property

protected Interpolation,QLNet optionInterpolator_
Résultat QLNet.Interpolation

optionTenors_ protected_oe property

protected List optionTenors_
Résultat List

optionTimes_ protected_oe property

protected List optionTimes_
Résultat List

swapLengths_ protected_oe property

protected List swapLengths_
Résultat List

swapTenors_ protected_oe property

protected List swapTenors_
Résultat List