Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class YoYCapFloorTermPriceSurface

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.InflationTermStructure

org.quantlib.YoYCapFloorTermPriceSurface

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

YoYInflationCapFloorTermPriceSurface

public class YoYCapFloorTermPriceSurface
extends InflationTermStructure
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
double	atmYoYRate(Date d)
double	atmYoYRate(Date d, Period obsLag)
double	atmYoYRate(Date d, Period obsLag, boolean extrapolate)
double	atmYoYRate(Period d)
double	atmYoYRate(Period d, Period obsLag)
double	atmYoYRate(Period d, Period obsLag, boolean extrapolate)
SWIGTYPE_p_std__pairT_std__vectorT_Date_t_std__vectorT_double_t_t	atmYoYSwapDateRates()
double	atmYoYSwapRate(Date d)
double	atmYoYSwapRate(Date d, boolean extrapolate)
double	atmYoYSwapRate(Period d)
double	atmYoYSwapRate(Period d, boolean extrapolate)
PairDoubleVector	atmYoYSwapTimeRates()
BusinessDayConvention	businessDayConvention()
double	capPrice(Date d, double k)
double	capPrice(Period d, double k)
DoubleVector	capStrikes()
void	delete()
protected void	finalize()
long	fixingDays()
double	floorPrice(Date d, double k)
double	floorPrice(Period d, double k)
DoubleVector	floorStrikes()
protected static long	getCPtr(YoYCapFloorTermPriceSurface obj)
PeriodVector	maturities()
Date	maxMaturity()
double	maxStrike()
Date	minMaturity()
double	minStrike()
double	price(Date d, double k)
double	price(Period d, double k)
DoubleVector	strikes()
protected void	swigSetCMemOwn(boolean own)
YoYInflationIndex	yoyIndex()
Date	yoyOptionDateFromTenor(Period p)
YoYInflationTermStructure	YoYTS()

Methods inherited from class org.quantlib.InflationTermStructure

baseDate, baseRate, frequency, getCPtr, hasSeasonality, observationLag, seasonality, setSeasonality, setSeasonality

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

YoYCapFloorTermPriceSurface

protected YoYCapFloorTermPriceSurface(long cPtr,
                                      boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(YoYCapFloorTermPriceSurface obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class InflationTermStructure

finalize

protected void finalize()

Overrides:

finalize in class InflationTermStructure

delete

public void delete()

Specified by:

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

Overrides:

delete in class InflationTermStructure

atmYoYSwapTimeRates

public PairDoubleVector atmYoYSwapTimeRates()

atmYoYSwapDateRates

public SWIGTYPE_p_std__pairT_std__vectorT_Date_t_std__vectorT_double_t_t atmYoYSwapDateRates()

YoYTS

public YoYInflationTermStructure YoYTS()

yoyIndex

public YoYInflationIndex yoyIndex()

businessDayConvention

public BusinessDayConvention businessDayConvention()

fixingDays

public long fixingDays()

price

public double price(Date d,
                    double k)

capPrice

public double capPrice(Date d,
                       double k)

floorPrice

public double floorPrice(Date d,
                         double k)

atmYoYSwapRate

public double atmYoYSwapRate(Date d,
                             boolean extrapolate)

atmYoYSwapRate

public double atmYoYSwapRate(Date d)

atmYoYRate

public double atmYoYRate(Date d,
                         Period obsLag,
                         boolean extrapolate)

atmYoYRate

public double atmYoYRate(Date d,
                         Period obsLag)

atmYoYRate

public double atmYoYRate(Date d)

price

public double price(Period d,
                    double k)

capPrice

public double capPrice(Period d,
                       double k)

floorPrice

public double floorPrice(Period d,
                         double k)

atmYoYSwapRate

public double atmYoYSwapRate(Period d,
                             boolean extrapolate)

atmYoYSwapRate

public double atmYoYSwapRate(Period d)

atmYoYRate

public double atmYoYRate(Period d,
                         Period obsLag,
                         boolean extrapolate)

atmYoYRate

public double atmYoYRate(Period d,
                         Period obsLag)

atmYoYRate

public double atmYoYRate(Period d)

strikes

public DoubleVector strikes()

capStrikes

public DoubleVector capStrikes()

floorStrikes

public DoubleVector floorStrikes()

maturities

public PeriodVector maturities()

minStrike

public double minStrike()

maxStrike

public double maxStrike()

minMaturity

public Date minMaturity()

maxMaturity

public Date maxMaturity()

yoyOptionDateFromTenor

public Date yoyOptionDateFromTenor(Period p)