org.jquantlib.termstructures

Class CapletVarianceCurve

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.volatilities.optionlet.OptionletVolatilityStructure

org.jquantlib.termstructures.CapletVarianceCurve

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

Deprecated.

use the StrippedOptionletAdapter of a StrippedOptionlet instance

@Deprecated
public class CapletVarianceCurve
extends OptionletVolatilityStructure

caplet variance curve

Constructor Summary

Constructors

Constructor and Description
CapletVarianceCurve(Date referenceDate, Date[] dates, double[] capletVolCurve, DayCounter dayCounter) Deprecated.

Method Summary

Modifier and Type	Method and Description
DayCounter	dayCounter() Deprecated. Return the day counter used for date/double conversion
Date	maxDate() Deprecated.
double	maxStrike() Deprecated. The maximum strike for which the term structure can return vols
double	minStrike() Deprecated. The minimum strike for which the term structure can return vols

Methods inherited from class org.jquantlib.termstructures.volatilities.optionlet.OptionletVolatilityStructure

blackVariance, blackVariance, blackVariance, blackVariance, blackVariance, blackVariance, smileSection, smileSection, smileSection, smileSection, smileSection, smileSection, volatility, volatility, volatility, volatility, volatility, volatility, volatilityImpl

Methods inherited from class org.jquantlib.termstructures.volatilities.VolatilityTermStructure

businessDayConvention, optionDateFromTenor

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, 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

Constructor Detail

CapletVarianceCurve

public CapletVarianceCurve(Date referenceDate,
                           Date[] dates,
                           double[] capletVolCurve,
                           DayCounter dayCounter)

Deprecated.

Method Detail

maxDate

public Date maxDate()

Deprecated.

Returns:

the latest date for which the curve can return values

dayCounter

public DayCounter dayCounter()

Deprecated.

Description copied from interface: TermStructure

Return the day counter used for date/double conversion

Specified by:

dayCounter in interface TermStructure

Overrides:

dayCounter in class AbstractTermStructure

Returns:

the day counter used for date/double conversion

minStrike

public double minStrike()

Deprecated.

Description copied from class: VolatilityTermStructure

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class VolatilityTermStructure

maxStrike

public double maxStrike()

Deprecated.

Description copied from class: VolatilityTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class VolatilityTermStructure