Module net.finmath.lib
Package net.finmath.marketdata.model.volatility.caplet

Class CapletVolatilitySurface

java.lang.Object
net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
All Implemented Interfaces:
VolatilitySurface
public class CapletVolatilitySurface
extends Object
implements VolatilitySurface
This class implements a caplet volatility surface.
Author:
Daniel Willhalm, Christian Fries (review and fixes)

  • Constructor Details

    • CapletVolatilitySurface

      public 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. A volatility matrix is used to create the surface
      Parameters:
      name - The name of the surface.
      referenceDate - The reference date of the surface.
      volatilityMatrix - The matrix with caplet volatilities as entries.
      maturityVector - The maturities of the rows of the volatility matrix.
      strikeVector - The caplet strikes.
      forwardCurve - The forward curve.
      volatilityConvention - The volatility convention.
      discountCurve - The discount curve.

    • CapletVolatilitySurface

      public 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. A single volatility is used and all matrix entries will be that value. This constructor is used if we want to price a cap given a cap volatility.
      Parameters:
      name - The name of the surface.
      referenceDate - The reference date of the surface.
      volatility - The volatility.
      maturityVector - The maturities of the rows of the volatility matrix.
      strikeVector - The caplet strikes.
      forwardCurve - The forward curve.
      volatilityConvention - The volatility convention.
      discountCurve - The discount curve.

  • Method Details

    • getValue

      public double getValue​(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Method that returns the volatility value.
      Specified by:
      getValue in interface VolatilitySurface
      Parameters:
      maturity - The desired maturity.
      strike - The desired strike
      quotingConvention - The desired quoting convention.
      Returns:
      the volatility value for the given maturity, strike and quoting convention.

    • getValue

      public double getValue​(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilitySurface
      Returns the price or implied volatility for the corresponding maturity and strike.
      Specified by:
      getValue in interface VolatilitySurface
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (may be null).
      maturity - The option maturity for which the price or implied volatility is requested.
      strike - The option strike for which the price or implied volatility is requested.
      quotingConvention - The quoting convention to be used for the return value.
      Returns:
      The price or implied volatility depending on the quoting convention.

    • getName

      public String getName()
      Description copied from interface: VolatilitySurface
      Returns the name of the volatility surface.
      Specified by:
      getName in interface VolatilitySurface
      Returns:
      The name of the volatility surface.

    • getQuotingConvention

      public VolatilitySurface.QuotingConvention getQuotingConvention()
      Description copied from interface: VolatilitySurface
      Return the default quoting convention of this surface.
      Specified by:
      getQuotingConvention in interface VolatilitySurface
      Returns:
      the quotingConvention

    • getReferenceDate

      public LocalDate getReferenceDate()
      Description copied from interface: VolatilitySurface
      Return the reference date of this surface, i.e. the date associated with t=0.
      Specified by:
      getReferenceDate in interface VolatilitySurface
      Returns:
      The date identified as t=0.

    • getForwardCurve

      public ForwardCurve getForwardCurve()

    • getDiscountCurve

      public DiscountCurve getDiscountCurve()

    • convertFromTo

      public double 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.
      Parameters:
      model - An analytic model providing the context when fetching required market date.
      optionMaturity - Option maturity of the caplet.
      optionStrike - Option strike of the caplet.
      value - Value of the caplet given in the form of fromQuotingConvention.
      fromQuotingConvention - The quoting convention of the given value.
      toQuotingConvention - The quoting convention requested.
      Returns:
      Value of the caplet given in the form of toQuotingConvention.

    • convertFromTo

      public double 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.
      Parameters:
      optionMaturity - Option maturity of the caplet.
      optionStrike - Option strike of the caplet.
      value - Value of the caplet given in the form of fromQuotingConvention.
      fromQuotingConvention - The quoting convention of the given value.
      toQuotingConvention - The quoting convention requested.
      Returns:
      Value of the caplet given in the form of toQuotingConvention.