C# Class QLNet.YoYOptionletVolatilitySurface

Inheritance: VolatilityTermStructure
显示文件 Open project: ammachado/QLNet

Protected Properties

Property Type Description
baseLevel_ double?
frequency_ Frequency
indexIsInterpolated_ bool
observationLag_ Period

Public Methods

Method Description
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

Protected Methods

Method Description
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

Method Details

YoYOptionletVolatilitySurface() public method

public YoYOptionletVolatilitySurface ( ) : System
return System

YoYOptionletVolatilitySurface() public method

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
return System

baseDate() public method

public baseDate ( ) : Date
return Date

baseLevel() public method

public baseLevel ( ) : double
return double

checkRange() protected method

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

checkRange() protected method

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

frequency() public method

public frequency ( ) : Frequency
return Frequency

indexIsInterpolated() public method

public indexIsInterpolated ( ) : bool
return bool

maxStrike() public method

public maxStrike ( ) : double
return double

minStrike() public method

public minStrike ( ) : double
return double

observationLag() public method

public observationLag ( ) : Period
return Period

setBaseLevel() protected method

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

timeFromBase() public method

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

timeFromBase() public method

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

totalVariance() public method

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

totalVariance() public method

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

totalVariance() public method

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

totalVariance() public method

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

totalVariance() public method

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

totalVariance() public method

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

volatility() public method

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

volatility() public method

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

volatility() public method

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

volatility() public method

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

volatility() public method

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

volatility() public method

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

volatilityImpl() protected method

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

Property Details

baseLevel_ protected_oe property

protected double? baseLevel_
return double?

frequency_ protected_oe property

protected Frequency frequency_
return Frequency

indexIsInterpolated_ protected_oe property

protected bool indexIsInterpolated_
return bool

observationLag_ protected_oe property

protected Period,QLNet observationLag_
return Period