Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class YoYOptionletVolatilitySurface

java.lang.Object

org.quantlib.Observable

org.quantlib.TermStructure

org.quantlib.VolatilityTermStructure

org.quantlib.YoYOptionletVolatilitySurface

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

ConstantYoYOptionletVolatility, InterpolatedYoYInflationOptionletVolatilityCurve, KInterpolatedYoYInflationOptionletVolatilitySurface

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

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
Date	baseDate()
double	baseLevel()
void	delete()
protected void	finalize()
double	frequency()
protected static long	getCPtr(YoYOptionletVolatilitySurface obj)
boolean	indexIsInterpolated()
double	maxStrike()
double	minStrike()
Period	observationLag()
protected void	swigSetCMemOwn(boolean own)
double	timeFromBase(Date date)
double	timeFromBase(Date date, Period obsLag)
double	totalVariance(Date exerciseDate, double strike)
double	totalVariance(Date exerciseDate, double strike, Period obsLag)
double	totalVariance(Date exerciseDate, double strike, Period obsLag, boolean extrapolate)
double	totalVariance(Period optionTenor, double strike)
double	totalVariance(Period optionTenor, double strike, Period obsLag)
double	totalVariance(Period optionTenor, double strike, Period obsLag, boolean extrapolate)
double	volatility(Date maturityDate, double strike)
double	volatility(Date maturityDate, double strike, Period obsLag)
double	volatility(Date maturityDate, double strike, Period obsLag, boolean extrapolate)
double	volatility(Period optionTenor, double strike)
double	volatility(Period optionTenor, double strike, Period obsLag)
double	volatility(Period optionTenor, double strike, Period obsLag, boolean extrapolate)

Methods inherited from class org.quantlib.VolatilityTermStructure

getCPtr

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

YoYOptionletVolatilitySurface

protected YoYOptionletVolatilitySurface(long cPtr,
                                        boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(YoYOptionletVolatilitySurface 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

observationLag

public Period observationLag()

frequency

public double frequency()

indexIsInterpolated

public boolean indexIsInterpolated()

baseDate

public Date baseDate()

timeFromBase

public double timeFromBase(Date date,
                           Period obsLag)

timeFromBase

public double timeFromBase(Date date)

minStrike

public double minStrike()

Overrides:

minStrike in class VolatilityTermStructure

maxStrike

public double maxStrike()

Overrides:

maxStrike in class VolatilityTermStructure

baseLevel

public double baseLevel()

volatility

public double volatility(Date maturityDate,
                         double strike,
                         Period obsLag,
                         boolean extrapolate)

volatility

public double volatility(Date maturityDate,
                         double strike,
                         Period obsLag)

volatility

public double volatility(Date maturityDate,
                         double strike)

volatility

public double volatility(Period optionTenor,
                         double strike,
                         Period obsLag,
                         boolean extrapolate)

volatility

public double volatility(Period optionTenor,
                         double strike,
                         Period obsLag)

volatility

public double volatility(Period optionTenor,
                         double strike)

totalVariance

public double totalVariance(Date exerciseDate,
                            double strike,
                            Period obsLag,
                            boolean extrapolate)

totalVariance

public double totalVariance(Date exerciseDate,
                            double strike,
                            Period obsLag)

totalVariance

public double totalVariance(Date exerciseDate,
                            double strike)

totalVariance

public double totalVariance(Period optionTenor,
                            double strike,
                            Period obsLag,
                            boolean extrapolate)

totalVariance

public double totalVariance(Period optionTenor,
                            double strike,
                            Period obsLag)

totalVariance

public double totalVariance(Period optionTenor,
                            double strike)