Module net.finmath.lib
Package net.finmath.marketdata.model.volatilities

Interface SwaptionMarketData

All Known Implementing Classes:
SwaptionATMMarketDataFromArray
public interface SwaptionMarketData
Basic interface to be implemented by classes providing swaption market data.
Version:
1.0
Author:
Christian Fries

  • Method Summary

    Modifier and Type Method Description
    TimeDiscretization getOptionMaturities()  
    double getSwapPeriodLength()  
    TimeDiscretization getTenor()  
    double getValue​(double optionMaturity, double tenorLength, double periodLength, double strike)
    Returns the option price of a swaption for a given option maturity and tenor length.
    double getVolatility​(double optionMaturity, double tenorLength, double periodLength, double strike)
    Returns the option implied volatility of a swaption for a given option maturity and tenor length.

  • Method Details

    • getOptionMaturities

      TimeDiscretization getOptionMaturities()

    • getTenor

      TimeDiscretization getTenor()

    • getSwapPeriodLength

      double getSwapPeriodLength()

    • getValue

      double getValue​(double optionMaturity, double tenorLength, double periodLength, double strike)
      Returns the option price of a swaption for a given option maturity and tenor length.
      Parameters:
      optionMaturity - The option maturity.
      tenorLength - The tenor length.
      periodLength - The period length of the floating rate period.
      strike - The strike (swap) rate.
      Returns:
      The option price.

    • getVolatility

      double getVolatility​(double optionMaturity, double tenorLength, double periodLength, double strike)
      Returns the option implied volatility of a swaption for a given option maturity and tenor length.
      Parameters:
      optionMaturity - The option maturity.
      tenorLength - The tenor length.
      periodLength - The period length of the floating rate period.
      strike - The strike (swap) rate.
      Returns:
      The implied volatility.