Uses of Class
net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention

Packages that use VolatilitySurface.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.marketdata.model.volatility.caplet	Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.singleswaprate.model.volatilities	Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.

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

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

Modifier and Type	Method	Description
VolatilitySurface.QuotingConvention	OptionData.getConvention()
VolatilitySurface.QuotingConvention	AbstractVolatilitySurface.getQuotingConvention()
VolatilitySurface.QuotingConvention	OptionSurfaceData.getQuotingConvention()
VolatilitySurface.QuotingConvention	VolatilitySurface.getQuotingConvention()	Return the default quoting convention of this surface.
static VolatilitySurface.QuotingConvention	VolatilitySurface.QuotingConvention.valueOf(String name)	Returns the enum constant of this type with the specified name.
static VolatilitySurface.QuotingConvention[]	VolatilitySurface.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 VolatilitySurface.QuotingConvention

Modifier and Type	Method	Description
double	AbstractVolatilitySurface.convertFromTo(double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)	Convert the value of a caplet from one quoting convention to another quoting convention.
double	AbstractVolatilitySurface.convertFromTo(AnalyticModel model, double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)	Convert the value of a caplet from one quoting convention to another quoting convention.
double	CapletVolatilities.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilities.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametric.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametric.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricDisplacedFourParameterAnalytic.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricDisplacedFourParameterAnalytic.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricFourParameterPicewiseConstant.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricFourParameterPicewiseConstant.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	OptionSurfaceData.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	OptionSurfaceData.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	VolatilitySurface.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.
double	VolatilitySurface.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.

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

Constructor	Description
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling, VolatilitySurface.QuotingConvention quotingConvention)	Create a model with parameters a,b,c,d defining a lognormal volatility surface.
OptionData(String underlying, LocalDate referenceDate, double strike, double maturity, double value, VolatilitySurface.QuotingConvention convention)
OptionSmileData(String underlying, LocalDate referenceDate, double[] strikes, double maturity, double[] values, VolatilitySurface.QuotingConvention convention)
OptionSurfaceData(String underlying, LocalDate referenceDate, double[] strikes, double[] maturities, double[][] values, VolatilitySurface.QuotingConvention convention, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.

Uses of VolatilitySurface.QuotingConvention in net.finmath.marketdata.model.volatility.caplet

Methods in net.finmath.marketdata.model.volatility.caplet that return VolatilitySurface.QuotingConvention

Modifier and Type	Method	Description
VolatilitySurface.QuotingConvention	CapletVolatilitySurface.getQuotingConvention()

Methods in net.finmath.marketdata.model.volatility.caplet with parameters of type VolatilitySurface.QuotingConvention

Modifier and Type	Method	Description
double	CapletVolatilitySurface.convertFromTo(double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)	Convert the value of a caplet from one quoting convention to another quoting convention.
double	CapletVolatilitySurface.convertFromTo(AnalyticModel model, double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)	Convert the value of a caplet from one quoting convention to another quoting convention.
double	CapletVolatilitySurface.getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Method that returns the volatility value.
double	CapletVolatilitySurface.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)

Constructors in net.finmath.marketdata.model.volatility.caplet with parameters of type VolatilitySurface.QuotingConvention

Constructor	Description
CapletVolatilitySurface(String name, LocalDate referenceDate, double[][] volatilityMatrix, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.
CapletVolatilitySurface(String name, LocalDate referenceDate, double volatility, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.

Uses of VolatilitySurface.QuotingConvention in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type VolatilitySurface.QuotingConvention

Modifier and Type	Method	Description
double	Cap.getImpliedVolatility(double evaluationTime, AnalyticModel model, VolatilitySurface.QuotingConvention quotingConvention)	Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).

Constructors in net.finmath.marketdata.products with parameters of type VolatilitySurface.QuotingConvention

Constructor	Description
Cap(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName, VolatilitySurface.QuotingConvention quotingConvention)	Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).

Uses of VolatilitySurface.QuotingConvention in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities with parameters of type VolatilitySurface.QuotingConvention

Modifier and Type	Method	Description
double	SABRVolatilityCube.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeParallel.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeParallel.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeSingleSmile.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeSingleSmile.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	ScaledVolatilityCube.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	ScaledVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	StaticVolatilityCube.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	StaticVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	VolatilityCube.getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
double	VolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
double	VolVolCube.getValue(double tenorLength, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	VolVolCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)