C# Class QLNet.SwaptionVolatilityMatrix

Inheritance: SwaptionVolatilityDiscrete

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

Méthodes publiques

Méthode	Description
SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date today, List optionDates, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
locate ( Date optionDate, Period swapTenor ) : int>.KeyValuePair
locate ( double optionTime, double swapLength ) : int>.KeyValuePair
maxDate ( ) : Date
maxStrike ( ) : double
maxSwapTenor ( ) : Period
minStrike ( ) : double

Méthodes protégées

Méthode	Description
performCalculations ( ) : void
smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection
volatilityImpl ( double optionTime, double swapLength, double strike ) : double

Private Methods

Méthode	Description
checkInputs ( int volRows, int volsColumns ) : void
registerWithMarketData ( ) : void

Method Details

SwaptionVolatilityMatrix() public méthode

public SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
calendar	QLNet.Calendar
bdc	BusinessDayConvention
optionTenors	List
swapTenors	List
vols	List
dayCounter	DayCounter
Résultat	System

SwaptionVolatilityMatrix() public méthode

public SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
calendar	QLNet.Calendar
bdc	BusinessDayConvention
optionTenors	List
swapTenors	List
vols	Matrix
dayCounter	DayCounter
Résultat	System

SwaptionVolatilityMatrix() public méthode

public SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
referenceDate	Date
calendar	QLNet.Calendar
bdc	BusinessDayConvention
optionTenors	List
swapTenors	List
vols	List
dayCounter	DayCounter
Résultat	System

SwaptionVolatilityMatrix() public méthode

public SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
referenceDate	Date
calendar	QLNet.Calendar
bdc	BusinessDayConvention
optionTenors	List
swapTenors	List
vols	Matrix
dayCounter	DayCounter
Résultat	System

SwaptionVolatilityMatrix() public méthode

public SwaptionVolatilityMatrix ( Date today, List optionDates, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
today	Date
optionDates	List
swapTenors	List
vols	Matrix
dayCounter	DayCounter
Résultat	System

locate() public méthode

public locate ( Date optionDate, Period swapTenor ) : int>.KeyValuePair
optionDate	Date
swapTenor	Period
Résultat	int>.KeyValuePair

locate() public méthode

public locate ( double optionTime, double swapLength ) : int>.KeyValuePair
optionTime	double
swapLength	double
Résultat	int>.KeyValuePair

maxDate() public méthode

public maxDate ( ) : Date
Résultat	Date

maxStrike() public méthode

public maxStrike ( ) : double
Résultat	double

maxSwapTenor() public méthode

public maxSwapTenor ( ) : Period
Résultat	Period

minStrike() public méthode

public minStrike ( ) : double
Résultat	double

performCalculations() protected méthode

protected performCalculations ( ) : void
Résultat	void

smileSectionImpl() protected méthode

protected smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection
optionTime	double
swapLength	double
Résultat	QLNet.SmileSection

volatilityImpl() protected méthode

protected volatilityImpl ( double optionTime, double swapLength, double strike ) : double
optionTime	double
swapLength	double
strike	double
Résultat	double