Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CapFloorTermVolSurface

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.CapFloorTermVolatilityStructure

org.quantlib.CapFloorTermVolSurface

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class CapFloorTermVolSurface
extends CapFloorTermVolatilityStructure
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CapFloorTermVolSurface(long cPtr, boolean cMemoryOwn)
	CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities)
	CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities, DayCounter dc)
	CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, QuoteHandleVectorVector quotes)
	CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, QuoteHandleVectorVector quotes, DayCounter dc)
	CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities)
	CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities, DayCounter dc)
	CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, QuoteHandleVectorVector quotes)
	CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, QuoteHandleVectorVector quotes, DayCounter dc)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(CapFloorTermVolSurface obj)
Date	maxDate()
double	maxStrike()
double	minStrike()
DateVector	optionDates()
PeriodVector	optionTenors()
DoubleVector	optionTimes()
DoubleVector	strikes()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.CapFloorTermVolatilityStructure

getCPtr, volatility, volatility, volatility, volatility, volatility, volatility

Methods inherited from class org.quantlib.VolatilityTermStructure

getCPtr

Methods inherited from class org.quantlib.TermStructure

allowsExtrapolation, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, maxTime, referenceDate, timeFromReference

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

CapFloorTermVolSurface

protected CapFloorTermVolSurface(long cPtr,
                                 boolean cMemoryOwn)

CapFloorTermVolSurface

public CapFloorTermVolSurface(long settlementDays,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              QuoteHandleVectorVector quotes,
                              DayCounter dc)

CapFloorTermVolSurface

public CapFloorTermVolSurface(long settlementDays,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              QuoteHandleVectorVector quotes)

CapFloorTermVolSurface

public CapFloorTermVolSurface(Date settlementDate,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              QuoteHandleVectorVector quotes,
                              DayCounter dc)

CapFloorTermVolSurface

public CapFloorTermVolSurface(Date settlementDate,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              QuoteHandleVectorVector quotes)

CapFloorTermVolSurface

public CapFloorTermVolSurface(Date settlementDate,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              Matrix volatilities,
                              DayCounter dc)

CapFloorTermVolSurface

public CapFloorTermVolSurface(Date settlementDate,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              Matrix volatilities)

CapFloorTermVolSurface

public CapFloorTermVolSurface(long settlementDays,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              Matrix volatilities,
                              DayCounter dc)

CapFloorTermVolSurface

public CapFloorTermVolSurface(long settlementDays,
                              Calendar calendar,
                              BusinessDayConvention bdc,
                              PeriodVector optionTenors,
                              DoubleVector strikes,
                              Matrix volatilities)

Method Detail

getCPtr

protected static long getCPtr(CapFloorTermVolSurface obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class CapFloorTermVolatilityStructure

finalize

protected void finalize()

Overrides:

finalize in class CapFloorTermVolatilityStructure

delete

public void delete()

Specified by:

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

Overrides:

delete in class CapFloorTermVolatilityStructure

maxDate

public Date maxDate()

Overrides:

maxDate in class TermStructure

minStrike

public double minStrike()

Overrides:

minStrike in class VolatilityTermStructure

maxStrike

public double maxStrike()

Overrides:

maxStrike in class VolatilityTermStructure

optionTenors

public PeriodVector optionTenors()

optionDates

public DateVector optionDates()

optionTimes

public DoubleVector optionTimes()

strikes

public DoubleVector strikes()