Uses of Class
org.quantlib.VolatilityType

Uses of VolatilityType in org.quantlib

Fields in org.quantlib declared as VolatilityType

Modifier and Type	Field	Description
static VolatilityType	VolatilityType.Normal
static VolatilityType	VolatilityType.ShiftedLognormal

Methods in org.quantlib that return VolatilityType

Modifier and Type	Method	Description
static VolatilityType	VolatilityType.swigToEnum(int swigValue)
VolatilityType	BlackCalibrationHelper.volatilityType()
VolatilityType	SmileSection.volatilityType()
VolatilityType	StrippedOptionletBase.volatilityType()
VolatilityType	SwaptionVolatilityMatrix.volatilityType()

Methods in org.quantlib with parameters of type VolatilityType

Modifier and Type	Method	Description
double	CapFloor.impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
double	CapFloor.impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
double	Swaption.impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type)
double	Swaption.impliedVolatility(double price, YieldTermStructureHandle discountCurve, double guess, double accuracy, long maxEvaluations, double minVol, double maxVol, VolatilityType type, double displacement)
static double	QuantLib.sabrVolatility(double strike, double forward, double expiryTime, double alpha, double beta, double nu, double rho, VolatilityType volatilityType)
static double	QuantLib.shiftedSabrVolatility(double strike, double forward, double expiryTime, double alpha, double beta, double nu, double rho, double shift, VolatilityType volatilityType)
double	SmileSection.volatility(double strike, VolatilityType type)
double	SmileSection.volatility(double strike, VolatilityType type, double shift)

Constructors in org.quantlib with parameters of type VolatilityType

Constructor	Description
CapHelper(Period length, QuoteHandle volatility, IborIndex index, Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, boolean includeFirstSwaplet, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, VolatilityType type)
CapHelper(Period length, QuoteHandle volatility, IborIndex index, Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, boolean includeFirstSwaplet, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, VolatilityType type, double shift)
ConstantOptionletVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dayCounter, VolatilityType type)
ConstantOptionletVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dayCounter, VolatilityType type, double shift)
ConstantOptionletVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dayCounter, VolatilityType type)
ConstantOptionletVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dayCounter, VolatilityType type, double shift)
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dayCounter, VolatilityType type)
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dayCounter, VolatilityType type, double shift)
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dayCounter, VolatilityType type)
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dayCounter, VolatilityType type, double shift)
ConstantSwaptionVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc, VolatilityType type)
ConstantSwaptionVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc, VolatilityType type, double shift)
ConstantSwaptionVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dc, VolatilityType type)
ConstantSwaptionVolatility(long settlementDays, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dc, VolatilityType type, double shift)
ConstantSwaptionVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc, VolatilityType type)
ConstantSwaptionVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc, VolatilityType type, double shift)
ConstantSwaptionVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dc, VolatilityType type)
ConstantSwaptionVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dc, VolatilityType type, double shift)
CubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, Cubic interpolator, DayCounter dc, VolatilityType type)
CubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, Cubic interpolator, DayCounter dc, VolatilityType type, double shift)
CubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, Cubic interpolator, DayCounter dc, VolatilityType type)
CubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, Cubic interpolator, DayCounter dc, VolatilityType type, double shift)
CubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, Cubic interpolator, Date referenceDate, VolatilityType type)
CubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, Cubic interpolator, Date referenceDate, VolatilityType type, double shift)
CubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, Cubic interpolator, Date referenceDate, VolatilityType type)
CubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, Cubic interpolator, Date referenceDate, VolatilityType type, double shift)
FlatSmileSection(double exerciseTime, double vol, DayCounter dc, double atmLevel, VolatilityType type)
FlatSmileSection(double exerciseTime, double vol, DayCounter dc, double atmLevel, VolatilityType type, double shift)
FlatSmileSection(Date d, double vol, DayCounter dc, Date referenceDate, double atmLevel, VolatilityType type)
FlatSmileSection(Date d, double vol, DayCounter dc, Date referenceDate, double atmLevel, VolatilityType type, double shift)
LinearInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, Linear interpolator, DayCounter dc, VolatilityType type)
LinearInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, Linear interpolator, DayCounter dc, VolatilityType type, double shift)
LinearInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, Linear interpolator, DayCounter dc, VolatilityType type)
LinearInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, Linear interpolator, DayCounter dc, VolatilityType type, double shift)
LinearInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, Linear interpolator, Date referenceDate, VolatilityType type)
LinearInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, Linear interpolator, Date referenceDate, VolatilityType type, double shift)
LinearInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, Linear interpolator, Date referenceDate, VolatilityType type)
LinearInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, Linear interpolator, Date referenceDate, VolatilityType type, double shift)
MonotonicCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, MonotonicCubic interpolator, DayCounter dc, VolatilityType type)
MonotonicCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, MonotonicCubic interpolator, DayCounter dc, VolatilityType type, double shift)
MonotonicCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, MonotonicCubic interpolator, DayCounter dc, VolatilityType type)
MonotonicCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, MonotonicCubic interpolator, DayCounter dc, VolatilityType type, double shift)
MonotonicCubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, MonotonicCubic interpolator, Date referenceDate, VolatilityType type)
MonotonicCubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, MonotonicCubic interpolator, Date referenceDate, VolatilityType type, double shift)
MonotonicCubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, MonotonicCubic interpolator, Date referenceDate, VolatilityType type)
MonotonicCubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, MonotonicCubic interpolator, Date referenceDate, VolatilityType type, double shift)
NoArbSabrSmileSection(double timeToExpiry, double forward, DoubleVector sabrParameters, double shift, VolatilityType volatilityType)
NoArbSabrSmileSection(Date d, double forward, DoubleVector sabrParameters, DayCounter dc, double shift, VolatilityType volatilityType)
OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type)
OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement)
OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, long maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement, boolean dontThrow)
SabrSmileSection(double timeToExpiry, double forward, DoubleVector sabrParameters, double shift, VolatilityType volatilityType)
SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, Date referenceDate, DayCounter dc, double shift, VolatilityType volatilityType)
SabrSmileSection(Date d, double forward, DoubleVector sabrParameters, DayCounter dc, double shift, VolatilityType volatilityType)
SplineCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, SplineCubic interpolator, DayCounter dc, VolatilityType type)
SplineCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, SplineCubic interpolator, DayCounter dc, VolatilityType type, double shift)
SplineCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, SplineCubic interpolator, DayCounter dc, VolatilityType type)
SplineCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, SplineCubic interpolator, DayCounter dc, VolatilityType type, double shift)
SplineCubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, SplineCubic interpolator, Date referenceDate, VolatilityType type)
SplineCubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, SplineCubic interpolator, Date referenceDate, VolatilityType type, double shift)
SplineCubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, SplineCubic interpolator, Date referenceDate, VolatilityType type)
SplineCubicInterpolatedSmileSection(Date d, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, DayCounter dc, SplineCubic interpolator, Date referenceDate, VolatilityType type, double shift)
StrippedOptionlet(long settlementDays, Calendar calendar, BusinessDayConvention bdc, IborIndex iborIndex, DateVector optionletDates, DoubleVector strikes, QuoteHandleVectorVector volatilities, DayCounter dc, VolatilityType type)
StrippedOptionlet(long settlementDays, Calendar calendar, BusinessDayConvention bdc, IborIndex iborIndex, DateVector optionletDates, DoubleVector strikes, QuoteHandleVectorVector volatilities, DayCounter dc, VolatilityType type, double displacement)
SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
SwaptionHelper(Date exerciseDate, Date endDate, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
SwaptionHelper(Date exerciseDate, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type)
SwaptionHelper(Period maturity, Period length, QuoteHandle volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, YieldTermStructureHandle termStructure, BlackCalibrationHelper.CalibrationErrorType errorType, double strike, double nominal, VolatilityType type, double shift)
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, 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, 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, boolean flatExtrapolation, VolatilityType type)
SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)