Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class OptionletStripper1

java.lang.Object

org.quantlib.StrippedOptionletBase

org.quantlib.OptionletStripper1

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class OptionletStripper1
extends StrippedOptionletBase
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	OptionletStripper1(long cPtr, boolean cMemoryOwn)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement)
	OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement, boolean dontThrow)

Method Summary

Modifier and Type	Method	Description
Matrix	capFloorPrices()
Matrix	capFloorVolatilities()
void	delete()
protected void	finalize()
protected static long	getCPtr(OptionletStripper1 obj)
Matrix	optionletPrices()
protected void	swigSetCMemOwn(boolean own)
double	switchStrike()

Methods inherited from class org.quantlib.StrippedOptionletBase

atmOptionletRates, businessDayConvention, calendar, dayCounter, displacement, getCPtr, optionletFixingDates, optionletFixingTimes, optionletMaturities, optionletStrikes, optionletVolatilities, settlementDays, volatilityType

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

OptionletStripper1

protected OptionletStripper1(long cPtr,
                             boolean cMemoryOwn)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type,
                          double displacement,
                          boolean dontThrow)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type,
                          double displacement)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount,
                          VolatilityType type)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter,
                          YieldTermStructureHandle discount)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy,
                          long maxIter)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes,
                          double accuracy)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index,
                          double switchStrikes)

OptionletStripper1

public OptionletStripper1(CapFloorTermVolSurface parVolSurface,
                          IborIndex index)

Method Detail

getCPtr

protected static long getCPtr(OptionletStripper1 obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class StrippedOptionletBase

finalize

protected void finalize()

Overrides:

finalize in class StrippedOptionletBase

delete

public void delete()

Specified by:

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

Overrides:

delete in class StrippedOptionletBase

capFloorPrices

public Matrix capFloorPrices()

capFloorVolatilities

public Matrix capFloorVolatilities()

optionletPrices

public Matrix optionletPrices()

switchStrike

public double switchStrike()