org.jquantlib.termstructures.volatilities

Class FlatSmileSection

java.lang.Object

org.jquantlib.termstructures.volatilities.SmileSection

org.jquantlib.termstructures.volatilities.FlatSmileSection

All Implemented Interfaces:

Observable, Observer

public class FlatSmileSection
extends SmileSection

Flat SmileSection

Constructor Summary

Constructors

Constructor and Description
FlatSmileSection(Date d, double vol, DayCounter dc, Date referenceDate)
FlatSmileSection(Date d, double vol, DayCounter dc, Date referenceDate, double atmLevel)
FlatSmileSection(double exerciseTime, double vol, DayCounter dc)
FlatSmileSection(double exerciseTime, double vol, DayCounter dc, double atmLevel)

Method Summary

Modifier and Type	Method and Description
double	atmLevel()
double	maxStrike()
double	minStrike()
double	variance()
double	volatility()
double	volatilityImpl(double strike)

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

addObserver, countObservers, dayCounter, deleteObserver, deleteObservers, exerciseDate, exerciseTime, getObservers, initializeExerciseTime, notifyObservers, notifyObservers, update, variance, volatility

Methods inherited from class java.lang.Object

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

Constructor Detail

FlatSmileSection

public FlatSmileSection(Date d,
                        double vol,
                        DayCounter dc,
                        Date referenceDate)

FlatSmileSection

public FlatSmileSection(Date d,
                        double vol,
                        DayCounter dc,
                        Date referenceDate,
                        double atmLevel)

FlatSmileSection

public FlatSmileSection(double exerciseTime,
                        double vol,
                        DayCounter dc,
                        double atmLevel)

FlatSmileSection

public FlatSmileSection(double exerciseTime,
                        double vol,
                        DayCounter dc)

Method Detail

variance

public double variance()

Overrides:

variance in class SmileSection

volatility

public double volatility()

Overrides:

volatility in class SmileSection

minStrike

public double minStrike()

Specified by:

minStrike in class SmileSection

maxStrike

public double maxStrike()

Specified by:

maxStrike in class SmileSection

atmLevel

public double atmLevel()

Specified by:

atmLevel in class SmileSection

volatilityImpl

public double volatilityImpl(double strike)