C# Class QLNet.ConstantCapFloorTermVolatility

Inheritance: CapFloorTermVolatilityStructure

Mostra file Open project: ammachado/QLNet

Public Methods

Method	Description
ConstantCapFloorTermVolatility ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, Handle volatility, DayCounter dc ) : System
ConstantCapFloorTermVolatility ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc ) : System
ConstantCapFloorTermVolatility ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, Handle volatility, DayCounter dc ) : System
ConstantCapFloorTermVolatility ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc ) : System
maxDate ( ) : Date
maxStrike ( ) : double
minStrike ( ) : double

Protected Methods

Method	Description
volatilityImpl ( double t, double rate ) : double

Method Details

ConstantCapFloorTermVolatility() public method

public ConstantCapFloorTermVolatility ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, Handle volatility, DayCounter dc ) : System
referenceDate	Date
cal	QLNet.Calendar
bdc	BusinessDayConvention
volatility	Handle
dc	DayCounter
return	System

ConstantCapFloorTermVolatility() public method

public ConstantCapFloorTermVolatility ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc ) : System
referenceDate	Date
cal	QLNet.Calendar
bdc	BusinessDayConvention
volatility	double
dc	DayCounter
return	System

ConstantCapFloorTermVolatility() public method

public ConstantCapFloorTermVolatility ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, Handle volatility, DayCounter dc ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
volatility	Handle
dc	DayCounter
return	System

ConstantCapFloorTermVolatility() public method

public ConstantCapFloorTermVolatility ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
volatility	double
dc	DayCounter
return	System

maxDate() public method

public maxDate ( ) : Date
return	Date

maxStrike() public method

public maxStrike ( ) : double
return	double

minStrike() public method

public minStrike ( ) : double
return	double

volatilityImpl() protected method

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