C# Class QLNet.YoYOptionletVolatilitySurface

Inheritance: VolatilityTermStructure

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Protected Properties

Свойство	Type	Description
baseLevel_	double?
frequency_	Frequency
indexIsInterpolated_	bool
observationLag_	Period

Méthodes publiques

Méthode	Description
YoYOptionletVolatilitySurface ( ) : System
YoYOptionletVolatilitySurface ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc, Period observationLag, Frequency frequency, bool indexIsInterpolated ) : System
baseDate ( ) : Date
baseLevel ( ) : double
frequency ( ) : Frequency
indexIsInterpolated ( ) : bool
maxStrike ( ) : double
minStrike ( ) : double
observationLag ( ) : Period
timeFromBase ( Date maturityDate ) : double
timeFromBase ( Date maturityDate, Period obsLag ) : double
totalVariance ( Date maturityDate, double strike ) : double
totalVariance ( Date maturityDate, double strike, Period obsLag ) : double
totalVariance ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
totalVariance ( Period tenor, double strike ) : double
totalVariance ( Period tenor, double strike, Period obsLag ) : double
totalVariance ( Period tenor, double strike, Period obsLag, bool extrap ) : double
volatility ( Date maturityDate, double strike ) : double
volatility ( Date maturityDate, double strike, Period obsLag ) : double
volatility ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
volatility ( Period optionTenor, double strike ) : double
volatility ( Period optionTenor, double strike, Period obsLag ) : double
volatility ( Period optionTenor, double strike, Period obsLag, bool extrapolate ) : double

Méthodes protégées

Méthode	Description
checkRange ( Date d, double strike, bool extrapolate ) : void
checkRange ( double t, double strike, bool extrapolate ) : void
setBaseLevel ( double v ) : void
volatilityImpl ( double length, double strike ) : double

Method Details

YoYOptionletVolatilitySurface() public méthode

public YoYOptionletVolatilitySurface ( ) : System
Résultat	System

YoYOptionletVolatilitySurface() public méthode

public YoYOptionletVolatilitySurface ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc, Period observationLag, Frequency frequency, bool indexIsInterpolated ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
observationLag	Period
frequency	Frequency
indexIsInterpolated	bool
Résultat	System

baseDate() public méthode

public baseDate ( ) : Date
Résultat	Date

baseLevel() public méthode

public baseLevel ( ) : double
Résultat	double

checkRange() protected méthode

protected checkRange ( Date d, double strike, bool extrapolate ) : void
d	Date
strike	double
extrapolate	bool
Résultat	void

checkRange() protected méthode

protected checkRange ( double t, double strike, bool extrapolate ) : void
t	double
strike	double
extrapolate	bool
Résultat	void

frequency() public méthode

public frequency ( ) : Frequency
Résultat	Frequency

indexIsInterpolated() public méthode

public indexIsInterpolated ( ) : bool
Résultat	bool

maxStrike() public méthode

public maxStrike ( ) : double
Résultat	double

minStrike() public méthode

public minStrike ( ) : double
Résultat	double

observationLag() public méthode

public observationLag ( ) : Period
Résultat	Period

setBaseLevel() protected méthode

protected setBaseLevel ( double v ) : void
v	double
Résultat	void

timeFromBase() public méthode

public timeFromBase ( Date maturityDate ) : double
maturityDate	Date
Résultat	double

timeFromBase() public méthode

public timeFromBase ( Date maturityDate, Period obsLag ) : double
maturityDate	Date
obsLag	Period
Résultat	double

totalVariance() public méthode

public totalVariance ( Date maturityDate, double strike ) : double
maturityDate	Date
strike	double
Résultat	double

totalVariance() public méthode

public totalVariance ( Date maturityDate, double strike, Period obsLag ) : double
maturityDate	Date
strike	double
obsLag	Period
Résultat	double

totalVariance() public méthode

public totalVariance ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
maturityDate	Date
strike	double
obsLag	Period
extrapolate	bool
Résultat	double

totalVariance() public méthode

public totalVariance ( Period tenor, double strike ) : double
tenor	Period
strike	double
Résultat	double

totalVariance() public méthode

public totalVariance ( Period tenor, double strike, Period obsLag ) : double
tenor	Period
strike	double
obsLag	Period
Résultat	double

totalVariance() public méthode

public totalVariance ( Period tenor, double strike, Period obsLag, bool extrap ) : double
tenor	Period
strike	double
obsLag	Period
extrap	bool
Résultat	double

volatility() public méthode

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

volatility() public méthode

public volatility ( Date maturityDate, double strike, Period obsLag ) : double
maturityDate	Date
strike	double
obsLag	Period
Résultat	double

volatility() public méthode

public volatility ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
maturityDate	Date
strike	double
obsLag	Period
extrapolate	bool
Résultat	double

volatility() public méthode

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

volatility() public méthode

public volatility ( Period optionTenor, double strike, Period obsLag ) : double
optionTenor	Period
strike	double
obsLag	Period
Résultat	double

volatility() public méthode

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

volatilityImpl() protected méthode

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

Property Details

baseLevel_ protected_oe property

protected double? baseLevel_
Résultat	double?

frequency_ protected_oe property

protected Frequency frequency_
Résultat	Frequency

indexIsInterpolated_ protected_oe property

protected bool indexIsInterpolated_
Résultat	bool

observationLag_ protected_oe property

protected Period,QLNet observationLag_
Résultat	Period