- java.lang.Object
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- org.quantlib.Observable
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- org.quantlib.LazyObject
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- org.quantlib.Instrument
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- org.quantlib.CapFloor
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- All Implemented Interfaces:
AutoCloseable,org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
public class CapFloor extends Instrument implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
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Nested Class Summary
Nested Classes Modifier and Type Class Description static classCapFloor.Type
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Constructor Summary
Constructors Modifier Constructor Description protectedCapFloor(long cPtr, boolean cMemoryOwn)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description doubleatmRate(YieldTermStructure discountCurve)DoubleVectorcapRates()voiddelete()protected voidfinalize()LegfloatingLeg()DoubleVectorfloorRates()protected static longgetCPtr(CapFloor obj)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)doubleimpliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)DatematurityDate()DoubleVectoroptionletsAtmForward()DoubleVectoroptionletsDelta()DoubleVectoroptionletsDiscountFactor()DoubleVectoroptionletsPrice()DoubleVectoroptionletsStdDev()DoubleVectoroptionletsVega()DatestartDate()protected voidswigSetCMemOwn(boolean own)CapFloor.Typetype()doublevega()-
Methods inherited from class org.quantlib.Instrument
errorEstimate, getCPtr, isExpired, NPV, setPricingEngine
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Methods inherited from class org.quantlib.LazyObject
alwaysForwardNotifications, forwardFirstNotificationOnly, forwardsAllNotifications, freeze, getCPtr, recalculate, unfreeze
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Methods inherited from class org.quantlib.Observable
getCPtr
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Constructor Detail
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CapFloor
protected CapFloor(long cPtr, boolean cMemoryOwn)
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Method Detail
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swigSetCMemOwn
protected void swigSetCMemOwn(boolean own)
- Overrides:
swigSetCMemOwnin classInstrument
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finalize
protected void finalize()
- Overrides:
finalizein classInstrument
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delete
public void delete()
- Specified by:
deletein interfaceorg.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable- Overrides:
deletein classInstrument
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess)
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floatingLeg
public Leg floatingLeg()
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capRates
public DoubleVector capRates()
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floorRates
public DoubleVector floorRates()
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maturityDate
public Date maturityDate()
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type
public CapFloor.Type type()
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atmRate
public double atmRate(YieldTermStructure discountCurve)
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vega
public double vega()
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optionletsPrice
public DoubleVector optionletsPrice()
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optionletsVega
public DoubleVector optionletsVega()
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optionletsDelta
public DoubleVector optionletsDelta()
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optionletsDiscountFactor
public DoubleVector optionletsDiscountFactor()
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optionletsAtmForward
public DoubleVector optionletsAtmForward()
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optionletsStdDev
public DoubleVector optionletsStdDev()
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