C# Class QLNet.SwaptionHelper

Inheritance: QLNet.CalibrationHelper

Mostra file Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
SwaptionHelper ( Period maturity, Period length, Handle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle termStructure, bool calibrateVolatility ) : System
addTimesTo ( List times ) : void
blackPrice ( double sigma ) : double
modelValue ( ) : double

Method Details

SwaptionHelper() public method

public SwaptionHelper ( Period maturity, Period length, Handle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle termStructure, bool calibrateVolatility ) : System
maturity	Period
length	Period
volatility	Handle
index	IborIndex
fixedLegTenor	Period
fixedLegDayCounter	DayCounter
floatingLegDayCounter	DayCounter
termStructure	Handle
calibrateVolatility	bool
return	System

addTimesTo() public method

public addTimesTo ( List times ) : void
times	List
return	void

blackPrice() public method

public blackPrice ( double sigma ) : double
sigma	double
return	double

modelValue() public method

public modelValue ( ) : double
return	double