C# 클래스 QLNet.SwaptionHelper

상속: QLNet.CalibrationHelper
파일 보기 프로젝트 열기: ammachado/QLNet 1 사용 예제들

공개 메소드들

메소드 설명
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

메소드 상세

SwaptionHelper() 공개 메소드

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
리턴 System

addTimesTo() 공개 메소드

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

blackPrice() 공개 메소드

public blackPrice ( double sigma ) : double
sigma double
리턴 double

modelValue() 공개 메소드

public modelValue ( ) : double
리턴 double