Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class Swaption

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.Option

org.quantlib.Swaption

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class Swaption
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	Swaption(long cPtr, boolean cMemoryOwn)
	Swaption(VanillaSwap swap, Exercise exercise)
	Swaption(VanillaSwap swap, Exercise exercise, Settlement.Type type)
	Swaption(VanillaSwap swap, Exercise exercise, Settlement.Type type, Settlement.Method settlementMethod)

Method Summary

Modifier and Type	Method	Description
double	annuity()
void	delete()
double	delta()
protected void	finalize()
protected static long	getCPtr(Swaption obj)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
double	impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
Settlement.Method	settlementMethod()
Settlement.Type	settlementType()
protected void	swigSetCMemOwn(boolean own)
Swap.Type	type()
VanillaSwap	underlyingSwap()
double	vega()

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

Swaption

protected Swaption(long cPtr,
                   boolean cMemoryOwn)

Swaption

public Swaption(VanillaSwap swap,
                Exercise exercise,
                Settlement.Type type,
                Settlement.Method settlementMethod)

Swaption

public Swaption(VanillaSwap swap,
                Exercise exercise,
                Settlement.Type type)

Swaption

public Swaption(VanillaSwap swap,
                Exercise exercise)

Method Detail

getCPtr

protected static long getCPtr(Swaption 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

settlementType

public Settlement.Type settlementType()

settlementMethod

public Settlement.Method settlementMethod()

type

public Swap.Type type()

underlyingSwap

public VanillaSwap underlyingSwap()

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type,
                                double displacement)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol,
                                VolatilityType type)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy,
                                long maxEvaluations,
                                double minVol)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy,
                                long maxEvaluations)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess,
                                double accuracy)

impliedVolatility

public double impliedVolatility(double price,
                                YieldTermStructureHandle discountCurve,
                                double guess)

vega

public double vega()

delta

public double delta()

annuity

public double annuity()