C# 클래스 QLNet.SwaptionVolatilityMatrix

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

공개 메소드들

메소드 설명
SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
SwaptionVolatilityMatrix ( Date today, List optionDates, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
locate ( Date optionDate, Period swapTenor ) : int>.KeyValuePair
locate ( double optionTime, double swapLength ) : int>.KeyValuePair
maxDate ( ) : Date
maxStrike ( ) : double
maxSwapTenor ( ) : Period
minStrike ( ) : double

보호된 메소드들

메소드 설명
performCalculations ( ) : void
smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection
volatilityImpl ( double optionTime, double swapLength, double strike ) : double

비공개 메소드들

메소드 설명
checkInputs ( int volRows, int volsColumns ) : void
registerWithMarketData ( ) : void

메소드 상세

SwaptionVolatilityMatrix() 공개 메소드

public SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
calendar QLNet.Calendar
bdc BusinessDayConvention
optionTenors List
swapTenors List
vols List
dayCounter DayCounter
리턴 System

SwaptionVolatilityMatrix() 공개 메소드

public SwaptionVolatilityMatrix ( QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
calendar QLNet.Calendar
bdc BusinessDayConvention
optionTenors List
swapTenors List
vols Matrix
dayCounter DayCounter
리턴 System

SwaptionVolatilityMatrix() 공개 메소드

public SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, List vols, DayCounter dayCounter ) : System
referenceDate Date
calendar QLNet.Calendar
bdc BusinessDayConvention
optionTenors List
swapTenors List
vols List
dayCounter DayCounter
리턴 System

SwaptionVolatilityMatrix() 공개 메소드

public SwaptionVolatilityMatrix ( Date referenceDate, QLNet.Calendar calendar, BusinessDayConvention bdc, List optionTenors, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
referenceDate Date
calendar QLNet.Calendar
bdc BusinessDayConvention
optionTenors List
swapTenors List
vols Matrix
dayCounter DayCounter
리턴 System

SwaptionVolatilityMatrix() 공개 메소드

public SwaptionVolatilityMatrix ( Date today, List optionDates, List swapTenors, Matrix vols, DayCounter dayCounter ) : System
today Date
optionDates List
swapTenors List
vols Matrix
dayCounter DayCounter
리턴 System

locate() 공개 메소드

public locate ( Date optionDate, Period swapTenor ) : int>.KeyValuePair
optionDate Date
swapTenor Period
리턴 int>.KeyValuePair

locate() 공개 메소드

public locate ( double optionTime, double swapLength ) : int>.KeyValuePair
optionTime double
swapLength double
리턴 int>.KeyValuePair

maxDate() 공개 메소드

public maxDate ( ) : Date
리턴 Date

maxStrike() 공개 메소드

public maxStrike ( ) : double
리턴 double

maxSwapTenor() 공개 메소드

public maxSwapTenor ( ) : Period
리턴 Period

minStrike() 공개 메소드

public minStrike ( ) : double
리턴 double

performCalculations() 보호된 메소드

protected performCalculations ( ) : void
리턴 void

smileSectionImpl() 보호된 메소드

protected smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection
optionTime double
swapLength double
리턴 QLNet.SmileSection

volatilityImpl() 보호된 메소드

protected volatilityImpl ( double optionTime, double swapLength, double strike ) : double
optionTime double
swapLength double
strike double
리턴 double