C# Class QLNet.YoYOptionletVolatilitySurface

Inheritance: VolatilityTermStructure

Mostra file Open project: ammachado/QLNet

Protected Properties

Property	Type	Description
baseLevel_	double?
frequency_	Frequency
indexIsInterpolated_	bool
observationLag_	Period

Public Methods

Method	Description
YoYOptionletVolatilitySurface ( ) : System
YoYOptionletVolatilitySurface ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc, Period observationLag, Frequency frequency, bool indexIsInterpolated ) : System
baseDate ( ) : Date
baseLevel ( ) : double
frequency ( ) : Frequency
indexIsInterpolated ( ) : bool
maxStrike ( ) : double
minStrike ( ) : double
observationLag ( ) : Period
timeFromBase ( Date maturityDate ) : double
timeFromBase ( Date maturityDate, Period obsLag ) : double
totalVariance ( Date maturityDate, double strike ) : double
totalVariance ( Date maturityDate, double strike, Period obsLag ) : double
totalVariance ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
totalVariance ( Period tenor, double strike ) : double
totalVariance ( Period tenor, double strike, Period obsLag ) : double
totalVariance ( Period tenor, double strike, Period obsLag, bool extrap ) : double
volatility ( Date maturityDate, double strike ) : double
volatility ( Date maturityDate, double strike, Period obsLag ) : double
volatility ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
volatility ( Period optionTenor, double strike ) : double
volatility ( Period optionTenor, double strike, Period obsLag ) : double
volatility ( Period optionTenor, double strike, Period obsLag, bool extrapolate ) : double

Protected Methods

Method	Description
checkRange ( Date d, double strike, bool extrapolate ) : void
checkRange ( double t, double strike, bool extrapolate ) : void
setBaseLevel ( double v ) : void
volatilityImpl ( double length, double strike ) : double

Method Details

YoYOptionletVolatilitySurface() public method

public YoYOptionletVolatilitySurface ( ) : System
return	System

YoYOptionletVolatilitySurface() public method

public YoYOptionletVolatilitySurface ( int settlementDays, QLNet.Calendar cal, BusinessDayConvention bdc, DayCounter dc, Period observationLag, Frequency frequency, bool indexIsInterpolated ) : System
settlementDays	int
cal	QLNet.Calendar
bdc	BusinessDayConvention
dc	DayCounter
observationLag	Period
frequency	Frequency
indexIsInterpolated	bool
return	System

baseDate() public method

public baseDate ( ) : Date
return	Date

baseLevel() public method

public baseLevel ( ) : double
return	double

checkRange() protected method

protected checkRange ( Date d, double strike, bool extrapolate ) : void
d	Date
strike	double
extrapolate	bool
return	void

checkRange() protected method

protected checkRange ( double t, double strike, bool extrapolate ) : void
t	double
strike	double
extrapolate	bool
return	void

frequency() public method

public frequency ( ) : Frequency
return	Frequency

indexIsInterpolated() public method

public indexIsInterpolated ( ) : bool
return	bool

maxStrike() public method

public maxStrike ( ) : double
return	double

minStrike() public method

public minStrike ( ) : double
return	double

observationLag() public method

public observationLag ( ) : Period
return	Period

setBaseLevel() protected method

protected setBaseLevel ( double v ) : void
v	double
return	void

timeFromBase() public method

public timeFromBase ( Date maturityDate ) : double
maturityDate	Date
return	double

timeFromBase() public method

public timeFromBase ( Date maturityDate, Period obsLag ) : double
maturityDate	Date
obsLag	Period
return	double

totalVariance() public method

public totalVariance ( Date maturityDate, double strike ) : double
maturityDate	Date
strike	double
return	double

totalVariance() public method

public totalVariance ( Date maturityDate, double strike, Period obsLag ) : double
maturityDate	Date
strike	double
obsLag	Period
return	double

totalVariance() public method

public totalVariance ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
maturityDate	Date
strike	double
obsLag	Period
extrapolate	bool
return	double

totalVariance() public method

public totalVariance ( Period tenor, double strike ) : double
tenor	Period
strike	double
return	double

totalVariance() public method

public totalVariance ( Period tenor, double strike, Period obsLag ) : double
tenor	Period
strike	double
obsLag	Period
return	double

totalVariance() public method

public totalVariance ( Period tenor, double strike, Period obsLag, bool extrap ) : double
tenor	Period
strike	double
obsLag	Period
extrap	bool
return	double

volatility() public method

public volatility ( Date maturityDate, double strike ) : double
maturityDate	Date
strike	double
return	double

volatility() public method

public volatility ( Date maturityDate, double strike, Period obsLag ) : double
maturityDate	Date
strike	double
obsLag	Period
return	double

volatility() public method

public volatility ( Date maturityDate, double strike, Period obsLag, bool extrapolate ) : double
maturityDate	Date
strike	double
obsLag	Period
extrapolate	bool
return	double

volatility() public method

public volatility ( Period optionTenor, double strike ) : double
optionTenor	Period
strike	double
return	double

volatility() public method

public volatility ( Period optionTenor, double strike, Period obsLag ) : double
optionTenor	Period
strike	double
obsLag	Period
return	double

volatility() public method

public volatility ( Period optionTenor, double strike, Period obsLag, bool extrapolate ) : double
optionTenor	Period
strike	double
obsLag	Period
extrapolate	bool
return	double

volatilityImpl() protected method

protected volatilityImpl ( double length, double strike ) : double
length	double
strike	double
return	double

Property Details

baseLevel_ protected_oe property

protected double? baseLevel_
return	double?

frequency_ protected_oe property

protected Frequency frequency_
return	Frequency

indexIsInterpolated_ protected_oe property

protected bool indexIsInterpolated_
return	bool

observationLag_ protected_oe property

protected Period,QLNet observationLag_
return	Period