Module net.finmath.lib

Package net.finmath.marketdata2.model.volatilities

Class AbstractVolatilitySurface

java.lang.Object

net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface

All Implemented Interfaces:

Cloneable, VolatilitySurface

public abstract class AbstractVolatilitySurface
extends Object
implements VolatilitySurface, Cloneable

Abstract base class for a volatility surface. It stores the name of the surface and provides some convenient way of getting values.

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.marketdata2.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
AbstractVolatilitySurface(String name, LocalDate referenceDate)
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

Method Summary

Modifier and Type	Method	Description
Object	clone()
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.
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.
DayCountConvention	getDaycountConvention()
DiscountCurve	getDiscountCurve()
ForwardCurve	getForwardCurve()
String	getName()	Returns the name of the volatility surface.
VolatilitySurface.QuotingConvention	getQuotingConvention()	Return the default quoting convention of this surface.
LocalDate	getReferenceDate()	Return the reference date of this surface, i.e. the date associated with t=0.
String	toString()

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata2.model.volatilities.VolatilitySurface

getValue, getValue

Constructor Details

AbstractVolatilitySurface

public AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

AbstractVolatilitySurface

public AbstractVolatilitySurface(String name, LocalDate referenceDate)

Method Details

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.

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.

toString

public String toString()

Overrides:

toString in class Object

clone

public Object clone() throws CloneNotSupportedException

Overrides:

clone in class Object

Throws:

CloneNotSupportedException

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

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.

getForwardCurve

public ForwardCurve getForwardCurve()

getDiscountCurve

public DiscountCurve getDiscountCurve()

getDaycountConvention

public DayCountConvention getDaycountConvention()