Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class LognormalCmsSpreadPricer

java.lang.Object

org.quantlib.FloatingRateCouponPricer

org.quantlib.CmsSpreadCouponPricer

org.quantlib.LognormalCmsSpreadPricer

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class LognormalCmsSpreadPricer
extends CmsSpreadCouponPricer
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	LognormalCmsSpreadPricer(long cPtr, boolean cMemoryOwn)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation, YieldTermStructureHandle couponDiscountCurve)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation, YieldTermStructureHandle couponDiscountCurve, long IntegrationPoints)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation, YieldTermStructureHandle couponDiscountCurve, long IntegrationPoints, SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation, YieldTermStructureHandle couponDiscountCurve, long IntegrationPoints, SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType, double shift1)
	LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer, QuoteHandle correlation, YieldTermStructureHandle couponDiscountCurve, long IntegrationPoints, SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType, double shift1, double shift2)

Method Summary

Modifier and Type	Method	Description
double	capletPrice(double effectiveCap)
double	capletRate(double effectiveCap)
void	delete()
protected void	finalize()
double	floorletPrice(double effectiveFloor)
double	floorletRate(double effectiveFloor)
protected static long	getCPtr(LognormalCmsSpreadPricer obj)
double	swapletPrice()
double	swapletRate()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.CmsSpreadCouponPricer

correlation, getCPtr, setCorrelation, setCorrelation

Methods inherited from class org.quantlib.FloatingRateCouponPricer

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

LognormalCmsSpreadPricer

protected LognormalCmsSpreadPricer(long cPtr,
                                   boolean cMemoryOwn)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation,
                                YieldTermStructureHandle couponDiscountCurve,
                                long IntegrationPoints,
                                SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType,
                                double shift1,
                                double shift2)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation,
                                YieldTermStructureHandle couponDiscountCurve,
                                long IntegrationPoints,
                                SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType,
                                double shift1)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation,
                                YieldTermStructureHandle couponDiscountCurve,
                                long IntegrationPoints,
                                SWIGTYPE_p_ext__optionalT_VolatilityType_t volatilityType)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation,
                                YieldTermStructureHandle couponDiscountCurve,
                                long IntegrationPoints)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation,
                                YieldTermStructureHandle couponDiscountCurve)

LognormalCmsSpreadPricer

public LognormalCmsSpreadPricer(CmsCouponPricer cmsPricer,
                                QuoteHandle correlation)

Method Detail

getCPtr

protected static long getCPtr(LognormalCmsSpreadPricer obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class CmsSpreadCouponPricer

finalize

protected void finalize()

Overrides:

finalize in class CmsSpreadCouponPricer

delete

public void delete()

Specified by:

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

Overrides:

delete in class CmsSpreadCouponPricer

swapletPrice

public double swapletPrice()

Overrides:

swapletPrice in class FloatingRateCouponPricer

swapletRate

public double swapletRate()

Overrides:

swapletRate in class FloatingRateCouponPricer

capletPrice

public double capletPrice(double effectiveCap)

Overrides:

capletPrice in class FloatingRateCouponPricer

capletRate

public double capletRate(double effectiveCap)

Overrides:

capletRate in class FloatingRateCouponPricer

floorletPrice

public double floorletPrice(double effectiveFloor)

Overrides:

floorletPrice in class FloatingRateCouponPricer

floorletRate

public double floorletRate(double effectiveFloor)

Overrides:

floorletRate in class FloatingRateCouponPricer