Uses of Record Class
com.quantfinlib.rates.RatesOptions.VolModel

Packages that use RatesOptions.VolModel

Package	Description
com.quantfinlib.rates	Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.

Uses of RatesOptions.VolModel in com.quantfinlib.rates

Methods in com.quantfinlib.rates that return RatesOptions.VolModel

Modifier and Type	Method	Description
static RatesOptions.VolModel	RatesOptions.VolModel.lognormal()
static RatesOptions.VolModel	RatesOptions.VolModel.normal()
static RatesOptions.VolModel	RatesOptions.VolModel.shiftedLognormal(double shift)

Methods in com.quantfinlib.rates with parameters of type RatesOptions.VolModel

Modifier and Type	Method	Description
static double	RatesOptions.capFloor(DiscountCurve discount, DiscountCurve projection, LocalDate start, LocalDate end, int paymentsPerYear, DayCount dayCount, BusinessCalendar calendar, BusinessCalendar.Roll roll, double strike, double vol, boolean cap, RatesOptions.VolModel model)	Cap (or floor) on the projection index over the adjusted schedule from start to end: caplet j pays tau_j max(F_j - K, 0) at t_j, F_j the projection forward on its accrual period, fixing at the period start, discounted on discount.
static double	RatesOptions.capFloor(YieldCurve curve, double maturityYears, int paymentsPerYear, double strike, double vol, boolean cap, RatesOptions.VolModel model)	Cap (or floor, cap = false) with accrual τ = 1/f: caplet i fixes at (i−1)τ, pays τ·max(L_i − K, 0) at iτ, L_i the simple forward.
static double	RatesOptions.swaption(DiscountCurve discount, DiscountCurve projection, InterestRateSwap underlying, double strike, double vol, boolean payer, RatesOptions.VolModel model)	Swaption on underlying (its fixed rate is ignored; strike is used), expiring at the swap start: A_d * model(F, K) with F the multi-curve par rate and A_d the OIS annuity.
static double	RatesOptions.swaption(YieldCurve curve, double startYears, double tenorYears, int paymentsPerYear, double strike, double vol, boolean payer, RatesOptions.VolModel model)	Swaption price per unit notional under any RatesOptions.VolModel: annuity × model value on the forward swap rate, expiry = start.
static double	RatesOptions.swaptionImpliedVol(YieldCurve curve, double startYears, double tenorYears, int paymentsPerYear, double strike, double price, boolean payer, RatesOptions.VolModel model)	Implied vol (of the given model) of a swaption price per unit notional.