org.jquantlib.termstructures.volatilities.optionlet

Class ConstantOptionletVolatility

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.volatilities.optionlet.OptionletVolatilityStructure

org.jquantlib.termstructures.volatilities.optionlet.ConstantOptionletVolatility

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

public class ConstantOptionletVolatility
extends OptionletVolatilityStructure

Constant caplet volatility, no time-strike dependence

Constructor Summary

Constructors

Constructor and Description
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double vol, DayCounter dc) fixed reference date, fixed market data
ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, Handle<Quote> vol, DayCounter dc) fixed reference date, floating market data
ConstantOptionletVolatility(int settlementDays, Calendar cal, BusinessDayConvention bdc, double vol, DayCounter dc) floating reference date, fixed market data
ConstantOptionletVolatility(int settlementDays, Calendar cal, BusinessDayConvention bdc, Handle<Quote> vol, DayCounter dc) floating reference date, floating market data

Method Summary

Modifier and Type	Method and Description
Date	maxDate()
double	maxStrike() The maximum strike for which the term structure can return vols
double	minStrike() 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, 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

Constructor Detail

ConstantOptionletVolatility

public ConstantOptionletVolatility(int settlementDays,
                                   Calendar cal,
                                   BusinessDayConvention bdc,
                                   Handle<Quote> vol,
                                   DayCounter dc)

floating reference date, floating market data

ConstantOptionletVolatility

public ConstantOptionletVolatility(Date referenceDate,
                                   Calendar cal,
                                   BusinessDayConvention bdc,
                                   Handle<Quote> vol,
                                   DayCounter dc)

fixed reference date, floating market data

ConstantOptionletVolatility

public ConstantOptionletVolatility(int settlementDays,
                                   Calendar cal,
                                   BusinessDayConvention bdc,
                                   double vol,
                                   DayCounter dc)

floating reference date, fixed market data

ConstantOptionletVolatility

public ConstantOptionletVolatility(Date referenceDate,
                                   Calendar cal,
                                   BusinessDayConvention bdc,
                                   double vol,
                                   DayCounter dc)

fixed reference date, fixed market data

Method Detail

maxDate

public Date maxDate()

Returns:

the latest date for which the curve can return values

minStrike

public double minStrike()

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()

Description copied from class: VolatilityTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class VolatilityTermStructure