Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SwaptionVolatilityMatrix

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.SwaptionVolatilityStructure

org.quantlib.SwaptionVolatilityDiscrete

org.quantlib.SwaptionVolatilityMatrix

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class SwaptionVolatilityMatrix
extends SwaptionVolatilityDiscrete
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SwaptionVolatilityMatrix(long cPtr, boolean cMemoryOwn)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, DoubleVectorVector shifts)
	SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
	SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionVolatilityMatrix obj)
UnsignedIntPair	locate(double optionTime, double swapLength)
UnsignedIntPair	locate(Date optionDate, Period swapTenor)
protected void	swigSetCMemOwn(boolean own)
VolatilityType	volatilityType()

Methods inherited from class org.quantlib.SwaptionVolatilityDiscrete

getCPtr, optionDateFromTime, optionDates, optionTenors, optionTimes, swapLengths, swapTenors

Methods inherited from class org.quantlib.SwaptionVolatilityStructure

blackVariance, blackVariance, blackVariance, blackVariance, getCPtr, optionDateFromTenor, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, shift, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, volatility, volatility, volatility, volatility

Methods inherited from class org.quantlib.VolatilityTermStructure

getCPtr, maxStrike, minStrike

Methods inherited from class org.quantlib.TermStructure

allowsExtrapolation, calendar, dayCounter, disableExtrapolation, enableExtrapolation, getCPtr, maxDate, maxTime, referenceDate, timeFromReference

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

SwaptionVolatilityMatrix

protected SwaptionVolatilityMatrix(long cPtr,
                                   boolean cMemoryOwn)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                Calendar calendar,
                                BusinessDayConvention bdc,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                Matrix shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                Calendar calendar,
                                BusinessDayConvention bdc,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                Calendar calendar,
                                BusinessDayConvention bdc,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                Calendar calendar,
                                BusinessDayConvention bdc,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                DoubleVectorVector shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                QuoteHandleVectorVector vols,
                                DayCounter dayCounter)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                Matrix shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Calendar calendar,
                                BusinessDayConvention bdc,
                                PeriodVector optionTenors,
                                PeriodVector swapTenors,
                                Matrix vols,
                                DayCounter dayCounter)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type,
                                Matrix shifts)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation,
                                VolatilityType type)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter,
                                boolean flatExtrapolation)

SwaptionVolatilityMatrix

public SwaptionVolatilityMatrix(Date referenceDate,
                                DateVector dates,
                                PeriodVector lengths,
                                Matrix vols,
                                DayCounter dayCounter)

Method Detail

getCPtr

protected static long getCPtr(SwaptionVolatilityMatrix obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class SwaptionVolatilityDiscrete

finalize

protected void finalize()

Overrides:

finalize in class SwaptionVolatilityDiscrete

delete

public void delete()

Specified by:

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

Overrides:

delete in class SwaptionVolatilityDiscrete

locate

public UnsignedIntPair locate(Date optionDate,
                              Period swapTenor)

locate

public UnsignedIntPair locate(double optionTime,
                              double swapLength)

volatilityType

public VolatilityType volatilityType()