C# Class QLNet.SwaptionVolatilityMatrix

Inheritance: SwaptionVolatilityDiscrete
Exibir arquivo Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method Description
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

Protected Methods

Method Description
performCalculations ( ) : void
smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection
volatilityImpl ( double optionTime, double swapLength, double strike ) : double

Private Methods

Method Description
checkInputs ( int volRows, int volsColumns ) : void
registerWithMarketData ( ) : void

Method Details

SwaptionVolatilityMatrix() public method

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
return System

SwaptionVolatilityMatrix() public method

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
return System

SwaptionVolatilityMatrix() public method

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
return System

SwaptionVolatilityMatrix() public method

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
return System

SwaptionVolatilityMatrix() public method

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

locate() public method

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

locate() public method

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

maxDate() public method

public maxDate ( ) : Date
return Date

maxStrike() public method

public maxStrike ( ) : double
return double

maxSwapTenor() public method

public maxSwapTenor ( ) : Period
return Period

minStrike() public method

public minStrike ( ) : double
return double

performCalculations() protected method

protected performCalculations ( ) : void
return void

smileSectionImpl() protected method

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

volatilityImpl() protected method

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