C# Class QLNet.CapletVarianceCurve

Inheritance: QLNet.OptionletVolatilityStructure

Mostra file Open project: ammachado/QLNet

Public Methods

Method	Description
CapletVarianceCurve ( Date referenceDate, List dates, List capletVolCurve, DayCounter dayCounter ) : System
dayCounter ( ) : DayCounter
maxDate ( ) : Date
maxStrike ( ) : double
minStrike ( ) : double

Protected Methods

Method	Description
smileSectionImpl ( double t ) : QLNet.SmileSection
volatilityImpl ( double t, double r ) : double

Method Details

CapletVarianceCurve() public method

public CapletVarianceCurve ( Date referenceDate, List dates, List capletVolCurve, DayCounter dayCounter ) : System
referenceDate	Date
dates	List
capletVolCurve	List
dayCounter	DayCounter
return	System

dayCounter() public method

public dayCounter ( ) : DayCounter
return	DayCounter

maxDate() public method

public maxDate ( ) : Date
return	Date

maxStrike() public method

public maxStrike ( ) : double
return	double

minStrike() public method

public minStrike ( ) : double
return	double

smileSectionImpl() protected method

protected smileSectionImpl ( double t ) : QLNet.SmileSection
t	double
return	QLNet.SmileSection

volatilityImpl() protected method

protected volatilityImpl ( double t, double r ) : double
t	double
r	double
return	double