org.jquantlib.termstructures

Class CapVolatilityStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.CapVolatilityStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

public abstract class CapVolatilityStructure
extends AbstractTermStructure

Constructor Summary

Constructors

Constructor and Description
CapVolatilityStructure(Date referenceDate, Calendar cal, DayCounter dc)
CapVolatilityStructure(DayCounter dc)
CapVolatilityStructure(int settlementDays, Calendar cal, DayCounter dc)

Method Summary

Modifier and Type	Method and Description
abstract double	maxStrike()
abstract double	minStrike()
double	volatility(Date end, double strike)
double	volatility(Date end, double strike, boolean extrapolate)
double	volatility(double t, double strike)
double	volatility(double t, double strike, boolean extrapolate)
double	volatility(Period length, double strike)
double	volatility(Period optionTenor, double strike, boolean extrapolate)
abstract double	volatilityImpl(double length, double strike)

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.termstructures.TermStructure

maxDate

Constructor Detail

CapVolatilityStructure

public CapVolatilityStructure(DayCounter dc)

CapVolatilityStructure

public CapVolatilityStructure(Date referenceDate,
                              Calendar cal,
                              DayCounter dc)

CapVolatilityStructure

public CapVolatilityStructure(int settlementDays,
                              Calendar cal,
                              DayCounter dc)

Method Detail

volatility

public double volatility(Date end,
                         double strike)

volatility

public double volatility(Date end,
                         double strike,
                         boolean extrapolate)

minStrike

public abstract double minStrike()

maxStrike

public abstract double maxStrike()

volatilityImpl

public abstract double volatilityImpl(double length,
                                      double strike)

volatility

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

volatility

public double volatility(Period length,
                         double strike)

volatility

public double volatility(double t,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(double t,
                         double strike)