Method | Description | |
---|---|---|
CapletVarianceCurve ( Date referenceDate, List |
||
dayCounter ( ) : DayCounter | ||
maxDate ( ) : Date | ||
maxStrike ( ) : double | ||
minStrike ( ) : double |
Method | Description | |
---|---|---|
smileSectionImpl ( double t ) : QLNet.SmileSection | ||
volatilityImpl ( double t, double r ) : double |
public CapletVarianceCurve ( Date referenceDate, List |
||
referenceDate | Date | |
dates | List |
|
capletVolCurve | List |
|
dayCounter | DayCounter | |
return | System |
protected smileSectionImpl ( double t ) : QLNet.SmileSection | ||
t | double | |
return | QLNet.SmileSection |
protected volatilityImpl ( double t, double r ) : double | ||
t | double | |
r | double | |
return | double |