C# Class QLNet.MultiplicativePriceSeasonality

Inheritance: Seasonality

Mostra file Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
MultiplicativePriceSeasonality ( ) : System
MultiplicativePriceSeasonality ( Date seasonalityBaseDate, Frequency frequency, List seasonalityFactors ) : System
correctYoYRate ( Date d, double r, QLNet.InflationTermStructure iTS ) : double
correctZeroRate ( Date d, double r, QLNet.InflationTermStructure iTS ) : double
frequency ( ) : Frequency
isConsistent ( QLNet.InflationTermStructure iTS ) : bool
seasonalityBaseDate ( ) : Date
seasonalityFactor ( Date to ) : double
seasonalityFactors ( ) : List
set ( Date seasonalityBaseDate, Frequency frequency, List seasonalityFactors ) : void

Protected Methods

Method	Description
seasonalityCorrection ( double rate, Date atDate, DayCounter dc, Date curveBaseDate, bool isZeroRate ) : double
validate ( ) : void

Method Details

MultiplicativePriceSeasonality() public method

public MultiplicativePriceSeasonality ( ) : System
return	System

MultiplicativePriceSeasonality() public method

public MultiplicativePriceSeasonality ( Date seasonalityBaseDate, Frequency frequency, List seasonalityFactors ) : System
seasonalityBaseDate	Date
frequency	Frequency
seasonalityFactors	List
return	System

correctYoYRate() public method

public correctYoYRate ( Date d, double r, QLNet.InflationTermStructure iTS ) : double
d	Date
r	double
iTS	QLNet.InflationTermStructure
return	double

correctZeroRate() public method

public correctZeroRate ( Date d, double r, QLNet.InflationTermStructure iTS ) : double
d	Date
r	double
iTS	QLNet.InflationTermStructure
return	double

frequency() public method

public frequency ( ) : Frequency
return	Frequency

isConsistent() public method

public isConsistent ( QLNet.InflationTermStructure iTS ) : bool
iTS	QLNet.InflationTermStructure
return	bool

seasonalityBaseDate() public method

public seasonalityBaseDate ( ) : Date
return	Date

seasonalityCorrection() protected method

protected seasonalityCorrection ( double rate, Date atDate, DayCounter dc, Date curveBaseDate, bool isZeroRate ) : double
rate	double
atDate	Date
dc	DayCounter
curveBaseDate	Date
isZeroRate	bool
return	double

seasonalityFactor() public method

public seasonalityFactor ( Date to ) : double
to	Date
return	double

seasonalityFactors() public method

public seasonalityFactors ( ) : List
return	List

set() public method

public set ( Date seasonalityBaseDate, Frequency frequency, List seasonalityFactors ) : void
seasonalityBaseDate	Date
frequency	Frequency
seasonalityFactors	List
return	void

validate() protected method

protected validate ( ) : void
return	void