C# Class QLNet.VolatilityTermStructure

Inheritance: QLNet.TermStructure

Mostra file Open project: ammachado/QLNet

Public Methods

Method	Description
VolatilityTermStructure ( ) : System
VolatilityTermStructure ( QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
VolatilityTermStructure ( Date referenceDate, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
VolatilityTermStructure ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
businessDayConvention ( ) : BusinessDayConvention
maxStrike ( ) : double
minStrike ( ) : double
optionDateFromTenor ( Period p ) : Date

Protected Methods

Method	Description
checkStrike ( double strike, bool extrapolate ) : void

Method Details

VolatilityTermStructure() public method

public VolatilityTermStructure ( ) : System
return	System

VolatilityTermStructure() public method

public VolatilityTermStructure ( QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc ) : System
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
return	System

VolatilityTermStructure() public method

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

VolatilityTermStructure() public method

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

businessDayConvention() public method

public businessDayConvention ( ) : BusinessDayConvention
return	BusinessDayConvention

checkStrike() protected method

protected checkStrike ( double strike, bool extrapolate ) : void
strike	double
extrapolate	bool
return	void

maxStrike() public method

public maxStrike ( ) : double
return	double

minStrike() public method

public minStrike ( ) : double
return	double

optionDateFromTenor() public method

public optionDateFromTenor ( Period p ) : Date
p	Period
return	Date