Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class SwaptionVolatilityStructure

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.SwaptionVolatilityStructure

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

ConstantSwaptionVolatility, SwaptionVolatilityDiscrete

public class SwaptionVolatilityStructure
extends VolatilityTermStructure
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	SwaptionVolatilityStructure(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method	Description
double	blackVariance(double start, double length, double strike)
double	blackVariance(double start, double length, double strike, boolean extrapolate)
double	blackVariance(Date start, Period length, double strike)
double	blackVariance(Date start, Period length, double strike, boolean extrapolate)
void	delete()
protected void	finalize()
protected static long	getCPtr(SwaptionVolatilityStructure obj)
Date	optionDateFromTenor(Period p)
double	shift(double optionTime, double swapLength)
double	shift(double optionTime, double swapLength, boolean extrapolate)
double	shift(double optionTime, Period swapTenor)
double	shift(double optionTime, Period swapTenor, boolean extrapolate)
double	shift(Date optionDate, double swapLength)
double	shift(Date optionDate, double swapLength, boolean extrapolate)
double	shift(Date optionDate, Period swapTenor)
double	shift(Date optionDate, Period swapTenor, boolean extrapolate)
double	shift(Period optionTenor, double swapLength)
double	shift(Period optionTenor, double swapLength, boolean extrapolate)
double	shift(Period optionTenor, Period swapTenor)
double	shift(Period optionTenor, Period swapTenor, boolean extrapolate)
SmileSection	smileSection(double optionTime, double swapLength)
SmileSection	smileSection(double optionTime, double swapLength, boolean extr)
SmileSection	smileSection(double optionTime, Period swapTenor)
SmileSection	smileSection(double optionTime, Period swapTenor, boolean extr)
SmileSection	smileSection(Date optionDate, double swapLength)
SmileSection	smileSection(Date optionDate, double swapLength, boolean extr)
SmileSection	smileSection(Date optionDate, Period swapTenor)
SmileSection	smileSection(Date optionDate, Period swapTenor, boolean extr)
SmileSection	smileSection(Period optionTenor, double swapLength)
SmileSection	smileSection(Period optionTenor, double swapLength, boolean extr)
SmileSection	smileSection(Period optionTenor, Period swapTenor)
SmileSection	smileSection(Period optionTenor, Period swapTenor, boolean extr)
protected void	swigSetCMemOwn(boolean own)
double	volatility(double start, double length, double strike)
double	volatility(double start, double length, double strike, boolean extrapolate)
double	volatility(Date start, Period length, double strike)
double	volatility(Date start, Period length, double strike, boolean extrapolate)

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

SwaptionVolatilityStructure

protected SwaptionVolatilityStructure(long cPtr,
                                      boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(SwaptionVolatilityStructure obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class VolatilityTermStructure

finalize

protected void finalize()

Overrides:

finalize in class VolatilityTermStructure

delete

public void delete()

Specified by:

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

Overrides:

delete in class VolatilityTermStructure

volatility

public double volatility(Date start,
                         Period length,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(Date start,
                         Period length,
                         double strike)

volatility

public double volatility(double start,
                         double length,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(double start,
                         double length,
                         double strike)

blackVariance

public double blackVariance(Date start,
                            Period length,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(Date start,
                            Period length,
                            double strike)

blackVariance

public double blackVariance(double start,
                            double length,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(double start,
                            double length,
                            double strike)

optionDateFromTenor

public Date optionDateFromTenor(Period p)

shift

public double shift(Period optionTenor,
                    Period swapTenor,
                    boolean extrapolate)

shift

public double shift(Period optionTenor,
                    Period swapTenor)

shift

public double shift(Date optionDate,
                    Period swapTenor,
                    boolean extrapolate)

shift

public double shift(Date optionDate,
                    Period swapTenor)

shift

public double shift(double optionTime,
                    Period swapTenor,
                    boolean extrapolate)

shift

public double shift(double optionTime,
                    Period swapTenor)

shift

public double shift(Period optionTenor,
                    double swapLength,
                    boolean extrapolate)

shift

public double shift(Period optionTenor,
                    double swapLength)

shift

public double shift(Date optionDate,
                    double swapLength,
                    boolean extrapolate)

shift

public double shift(Date optionDate,
                    double swapLength)

shift

public double shift(double optionTime,
                    double swapLength,
                    boolean extrapolate)

shift

public double shift(double optionTime,
                    double swapLength)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 Period swapTenor,
                                 boolean extr)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 Period swapTenor)

smileSection

public SmileSection smileSection(Date optionDate,
                                 Period swapTenor,
                                 boolean extr)

smileSection

public SmileSection smileSection(Date optionDate,
                                 Period swapTenor)

smileSection

public SmileSection smileSection(double optionTime,
                                 Period swapTenor,
                                 boolean extr)

smileSection

public SmileSection smileSection(double optionTime,
                                 Period swapTenor)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 double swapLength,
                                 boolean extr)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 double swapLength)

smileSection

public SmileSection smileSection(Date optionDate,
                                 double swapLength,
                                 boolean extr)

smileSection

public SmileSection smileSection(Date optionDate,
                                 double swapLength)

smileSection

public SmileSection smileSection(double optionTime,
                                 double swapLength,
                                 boolean extr)

smileSection

public SmileSection smileSection(double optionTime,
                                 double swapLength)