Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CdsOption

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.Option

org.quantlib.CdsOption

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class CdsOption
extends Option
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested classes/interfaces inherited from class org.quantlib.Option

Option.Type

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CdsOption(long cPtr, boolean cMemoryOwn)
	CdsOption(CreditDefaultSwap swap, Exercise exercise)
	CdsOption(CreditDefaultSwap swap, Exercise exercise, boolean knocksOut)

Method Summary

Modifier and Type	Method	Description
double	atmRate()
void	delete()
protected void	finalize()
protected static long	getCPtr(CdsOption obj)
double	impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate)
double	impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy)
double	impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations)
double	impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol)
double	impliedVolatility(double price, YieldTermStructureHandle termStructure, DefaultProbabilityTermStructureHandle arg2, double recoveryRate, double accuracy, long maxEvaluations, double minVol, double maxVol)
double	riskyAnnuity()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.Option

exercise, getCPtr, payoff

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

CdsOption

protected CdsOption(long cPtr,
                    boolean cMemoryOwn)

CdsOption

public CdsOption(CreditDefaultSwap swap,
                 Exercise exercise,
                 boolean knocksOut)

CdsOption

public CdsOption(CreditDefaultSwap swap,
                 Exercise exercise)

Method Detail

getCPtr

protected static long getCPtr(CdsOption obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Option

finalize

protected void finalize()

Overrides:

finalize in class Option

delete

public void delete()

Specified by:

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

Overrides:

delete in class Option

atmRate

public double atmRate()

riskyAnnuity

public double riskyAnnuity()

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle termStructure,
                                DefaultProbabilityTermStructureHandle arg2,
                                double recoveryRate,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle termStructure,
                                DefaultProbabilityTermStructureHandle arg2,
                                double recoveryRate,
                                double accuracy,
                                long maxEvaluations,
                                double minVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle termStructure,
                                DefaultProbabilityTermStructureHandle arg2,
                                double recoveryRate,
                                double accuracy,
                                long maxEvaluations)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle termStructure,
                                DefaultProbabilityTermStructureHandle arg2,
                                double recoveryRate,
                                double accuracy)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle termStructure,
                                DefaultProbabilityTermStructureHandle arg2,
                                double recoveryRate)