Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CapFloor

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.CapFloor

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

Cap, Collar, Floor

public class CapFloor
extends Instrument
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CapFloor.Type

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CapFloor(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method	Description
double	atmRate(YieldTermStructure discountCurve)
DoubleVector	capRates()
void	delete()
protected void	finalize()
Leg	floatingLeg()
DoubleVector	floorRates()
protected static long	getCPtr(CapFloor obj)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
double	impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
Date	maturityDate()
DoubleVector	optionletsAtmForward()
DoubleVector	optionletsDelta()
DoubleVector	optionletsDiscountFactor()
DoubleVector	optionletsPrice()
DoubleVector	optionletsStdDev()
DoubleVector	optionletsVega()
Date	startDate()
protected void	swigSetCMemOwn(boolean own)
CapFloor.Type	type()
double	vega()

Methods inherited from class org.quantlib.Instrument

errorEstimate, getCPtr, isExpired, NPV, setPricingEngine

Methods inherited from class org.quantlib.LazyObject

alwaysForwardNotifications, forwardFirstNotificationOnly, forwardsAllNotifications, freeze, getCPtr, recalculate, unfreeze

Methods inherited from class org.quantlib.Observable

getCPtr

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

CapFloor

protected CapFloor(long cPtr,
                   boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(CapFloor obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Instrument

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Overrides:

delete in class Instrument

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type,
                                double displacement)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy,
                                long maxEvaluations)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess,
                                double accuracy)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle disc,
                                double guess)

floatingLeg

public Leg floatingLeg()

capRates

public DoubleVector capRates()

floorRates

public DoubleVector floorRates()

startDate

public Date startDate()

maturityDate

public Date maturityDate()

type

public CapFloor.Type type()

atmRate

public double atmRate(YieldTermStructure discountCurve)

vega

public double vega()

optionletsPrice

public DoubleVector optionletsPrice()

optionletsVega

public DoubleVector optionletsVega()

optionletsDelta

public DoubleVector optionletsDelta()

optionletsDiscountFactor

public DoubleVector optionletsDiscountFactor()

optionletsAtmForward

public DoubleVector optionletsAtmForward()

optionletsStdDev

public DoubleVector optionletsStdDev()