Package org.jquantlib.termstructures.volatilities.optionlet

Examples of org.jquantlib.termstructures.volatilities.optionlet.ConstantOptionletVolatility

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         // optionLet volatilities
         final double volatility = 0.0;
         final Handle<OptionletVolatilityStructure> vol =
               new Handle<OptionletVolatilityStructure>(
                     new ConstantOptionletVolatility(
                         settlementDays,
                         calendar,
                         BusinessDayConvention.ModifiedFollowing,
                         volatility,
                         new Actual365Fixed()));
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Related Classes of org.jquantlib.termstructures.volatilities.optionlet.ConstantOptionletVolatility

  • org.jquantlib.quotes.SimpleQuote
  • org.jquantlib.samples.Bonds
  • org.jquantlib.termstructures.volatilities.FlatSmileSection
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