Uses of Enum
net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention

Packages that use SwaptionDataLattice.QuotingConvention

Package	Description
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.parser	Contains classes for parsing files.
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.

Uses of SwaptionDataLattice.QuotingConvention in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return SwaptionDataLattice.QuotingConvention

Modifier and Type	Method	Description
SwaptionDataLattice.QuotingConvention	SwaptionDataLattice.getQuotingConvention()
static SwaptionDataLattice.QuotingConvention	SwaptionDataLattice.QuotingConvention.valueOf(String name)	Returns the enum constant of this type with the specified name.
static SwaptionDataLattice.QuotingConvention[]	SwaptionDataLattice.QuotingConvention.values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods in net.finmath.marketdata.model.volatilities with parameters of type SwaptionDataLattice.QuotingConvention

Modifier and Type	Method	Description
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, double displacement, AnalyticModel model)	Convert this lattice to store data in the given convention.
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, AnalyticModel model)	Convert this lattice to store data in the given convention.
double	SwaptionDataLattice.getValue(double maturity, double tenor, double moneyness, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model)	Return the value in the given quoting convention.
double	SwaptionDataLattice.getValue(int maturityInMonths, int tenorInMonths, int moneynessBP, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model)	Return the value in the given quoting convention.
double	SwaptionDataLattice.getValue(String tenorCode, int moneynessBP, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model)	Return the value in the given quoting convention.

Constructors in net.finmath.marketdata.model.volatilities with parameters of type SwaptionDataLattice.QuotingConvention

Modifier	Constructor	Description
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, double displacement, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, double[] maturities, double[] tenors, double[] moneynesss, double[] values)	Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, double displacement, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, int[] maturitiesInMonths, int[] tenorsInMonths, int[] moneynessBP, double[] values)	Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, double displacement, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, String[] tenorCodes, int[] moneynessBP, double[] values)	Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, double[] maturities, double[] tenors, double[] moneynesss, double[] values)	Create the lattice.
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, int[] maturitiesInMonths, int[] tenorsInMonths, int[] moneynessBP, double[] values)	Create the lattice.
	SwaptionDataLattice(LocalDate referenceDate, SwaptionDataLattice.QuotingConvention quotingConvention, String forwardCurveName, String discountCurveName, SchedulePrototype floatMetaSchedule, SchedulePrototype fixMetaSchedule, String[] tenorCodes, int[] moneynessBP, double[] values)	Create the lattice.

Uses of SwaptionDataLattice.QuotingConvention in net.finmath.parser

Methods in net.finmath.parser with parameters of type SwaptionDataLattice.QuotingConvention

Modifier and Type	Method	Description
SwaptionDataLattice[]	CSVSwaptionParser.parseZIPToConvention(File atmFile, File otmFile, String currency, String index, String discountCurveName, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel... models)	Extract an array of SwaptionDataLattice from the zip files.
void	CSVSwaptionParser.setFileQuotingConvention(SwaptionDataLattice.QuotingConvention fileQuotingConvention, double fileQuotingUnit, double fileQuotingUnitForDisplacement)	Set the quoting convention used in the files, together with their unit and the unit of the displacement.

Uses of SwaptionDataLattice.QuotingConvention in net.finmath.singleswaprate

Methods in net.finmath.singleswaprate with parameters of type SwaptionDataLattice.QuotingConvention

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertMapOfTablesToLattice(Map<Integer,DataTable> tables, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a map of DataTable containing swaption data to a SwaptionDataLattice.
static SwaptionDataLattice	Utils.convertTableToLattice(DataTable table, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a DataTable containing swaption data to a SwaptionDataLattice.