- 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.Option
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- org.quantlib.CdsOption
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- All Implemented Interfaces:
AutoCloseable,org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
public class CdsOption extends Option implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
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Nested Class Summary
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Nested classes/interfaces inherited from class org.quantlib.Option
Option.Type
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Constructor Summary
Constructors Modifier Constructor Description protectedCdsOption(long cPtr, boolean cMemoryOwn)CdsOption(CreditDefaultSwap swap, Exercise exercise)CdsOption(CreditDefaultSwap swap, Exercise exercise, boolean knocksOut)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description doubleatmRate()voiddelete()protected voidfinalize()protected static longgetCPtr(CdsOption obj)doubleimpliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate)doubleimpliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy)doubleimpliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations)doubleimpliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol)doubleimpliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol, double maxVol)doubleriskyAnnuity()protected voidswigSetCMemOwn(boolean own)-
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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CdsOption
protected CdsOption(long cPtr, boolean cMemoryOwn)
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CdsOption
public CdsOption(CreditDefaultSwap swap, Exercise exercise, boolean knocksOut)
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CdsOption
public CdsOption(CreditDefaultSwap swap, Exercise exercise)
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Method Detail
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swigSetCMemOwn
protected void swigSetCMemOwn(boolean own)
- Overrides:
swigSetCMemOwnin classOption
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delete
public void delete()
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atmRate
public double atmRate()
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riskyAnnuity
public double riskyAnnuity()
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol, double maxVol)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy)
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impliedVolatility
public double impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate)
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