org.jquantlib.termstructures

Class SwaptionVolatilityStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.SwaptionVolatilityStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

public abstract class SwaptionVolatilityStructure
extends AbstractTermStructure

Constructor Summary

Constructors

Constructor and Description
SwaptionVolatilityStructure(Date referenceDate, Calendar calendar, DayCounter dc, BusinessDayConvention bdc)
SwaptionVolatilityStructure(DayCounter dc, BusinessDayConvention bdc)
SwaptionVolatilityStructure(int settlementDays, Calendar calendar, DayCounter dc, BusinessDayConvention bdc)

Method Summary

Modifier and Type	Method and Description
double	blackVariance(Date optionDate, Period swapTenor, double strike, boolean extrapolate)
double	blackVariance(double optionTime, double swapLength, double strike)
abstract double	blackVariance(double optionTime, double swapLength, double strike, boolean extrapolate)
double	blackVariance(double optionTime, double swapLength, double strike, java.lang.Boolean extrapolate)
double	blackVariance(Period optionTenor, Period swapTenor, double strike)
double	blackVariance(Period optionTenor, Period swapTenor, double strike, boolean extrapolate)
abstract BusinessDayConvention	businessDayConvention()
void	checkRange(double optionTime, double swapLength, double k, boolean extrapolate)
Pair<java.lang.Double,java.lang.Double>	convertDates(Date optionDate, Period swapTenor)
abstract double	maxStrike()
double	maxSwapLength()
abstract Period	maxSwapTenor()
abstract double	minStrike()
Date	optionDateFromTenor(Period optionTenor)
SmileSection	smileSection(Period optionTenor, Period swapTenor)
double	volatility(Date optionDate, Period swapTenor, double strike, boolean extrapolate)
double	volatility(double optionTime, double swapLength, double strike)
double	volatility(double optionTime, double swapLength, double strike, boolean extrapolate)
double	volatility(Period optionTenor, Period swapTenor, double strike)
double	volatility(Period optionTenor, Period swapTenor, double strike, boolean extrapolate)
abstract double	volatilityImpl(double optionTime, double swapLength, 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

SwaptionVolatilityStructure

public SwaptionVolatilityStructure(DayCounter dc,
                                   BusinessDayConvention bdc)

SwaptionVolatilityStructure

public SwaptionVolatilityStructure(Date referenceDate,
                                   Calendar calendar,
                                   DayCounter dc,
                                   BusinessDayConvention bdc)

SwaptionVolatilityStructure

public SwaptionVolatilityStructure(int settlementDays,
                                   Calendar calendar,
                                   DayCounter dc,
                                   BusinessDayConvention bdc)

Method Detail

volatility

public double volatility(double optionTime,
                         double swapLength,
                         double strike)

blackVariance

public abstract double blackVariance(double optionTime,
                                     double swapLength,
                                     double strike,
                                     boolean extrapolate)

blackVariance

public double blackVariance(double optionTime,
                            double swapLength,
                            double strike)

volatility

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

blackVariance

public double blackVariance(Period optionTenor,
                            Period swapTenor,
                            double strike)

maxSwapTenor

public abstract Period maxSwapTenor()

minStrike

public abstract double minStrike()

maxStrike

public abstract double maxStrike()

businessDayConvention

public abstract BusinessDayConvention businessDayConvention()

volatilityImpl

public abstract double volatilityImpl(double optionTime,
                                      double swapLength,
                                      double strike)

optionDateFromTenor

public Date optionDateFromTenor(Period optionTenor)

volatility

public double volatility(double optionTime,
                         double swapLength,
                         double strike,
                         boolean extrapolate)

blackVariance

public double blackVariance(double optionTime,
                            double swapLength,
                            double strike,
                            java.lang.Boolean extrapolate)

volatility

public double volatility(Date optionDate,
                         Period swapTenor,
                         double strike,
                         boolean extrapolate)

blackVariance

public double blackVariance(Date optionDate,
                            Period swapTenor,
                            double strike,
                            boolean extrapolate)

volatility

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

blackVariance

public double blackVariance(Period optionTenor,
                            Period swapTenor,
                            double strike,
                            boolean extrapolate)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 Period swapTenor)

checkRange

public void checkRange(double optionTime,
                       double swapLength,
                       double k,
                       boolean extrapolate)

maxSwapLength

public double maxSwapLength()

convertDates

public Pair<java.lang.Double,java.lang.Double> convertDates(Date optionDate,
                                                            Period swapTenor)