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C# 클래스 QLNet.YoYOptionletVolatilitySurface

상속: VolatilityTermStructure
파일 보기 프로젝트 열기: ammachado/QLNet

보호된 프로퍼티들

프로퍼티 타입 설명
baseLevel_ double?
frequency_ Frequency
indexIsInterpolated_ bool
observationLag_ Period

공개 메소드들

메소드 설명
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

보호된 메소드들

메소드 설명
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

메소드 상세

YoYOptionletVolatilitySurface() 공개 메소드

public YoYOptionletVolatilitySurface ( ) : System
리턴 System

YoYOptionletVolatilitySurface() 공개 메소드

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
리턴 System

baseDate() 공개 메소드

public baseDate ( ) : Date
리턴 Date

baseLevel() 공개 메소드

public baseLevel ( ) : double
리턴 double

checkRange() 보호된 메소드

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

checkRange() 보호된 메소드

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

frequency() 공개 메소드

public frequency ( ) : Frequency
리턴 Frequency

indexIsInterpolated() 공개 메소드

public indexIsInterpolated ( ) : bool
리턴 bool

maxStrike() 공개 메소드

public maxStrike ( ) : double
리턴 double

minStrike() 공개 메소드

public minStrike ( ) : double
리턴 double

observationLag() 공개 메소드

public observationLag ( ) : Period
리턴 Period

setBaseLevel() 보호된 메소드

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

timeFromBase() 공개 메소드

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

timeFromBase() 공개 메소드

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

totalVariance() 공개 메소드

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

totalVariance() 공개 메소드

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

totalVariance() 공개 메소드

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

totalVariance() 공개 메소드

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

totalVariance() 공개 메소드

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

totalVariance() 공개 메소드

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

volatility() 공개 메소드

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

volatility() 공개 메소드

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

volatility() 공개 메소드

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

volatility() 공개 메소드

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

volatility() 공개 메소드

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

volatility() 공개 메소드

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

volatilityImpl() 보호된 메소드

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

프로퍼티 상세

baseLevel_ 보호되어 있는 프로퍼티

protected double? baseLevel_
리턴 double?

frequency_ 보호되어 있는 프로퍼티

protected Frequency frequency_
리턴 Frequency

indexIsInterpolated_ 보호되어 있는 프로퍼티

protected bool indexIsInterpolated_
리턴 bool

observationLag_ 보호되어 있는 프로퍼티

protected Period,QLNet observationLag_
리턴 Period