Module net.finmath.lib

Package net.finmath.modelling.products

Enum Swaption.ValueUnit

java.lang.Object

java.lang.Enum<Swaption.ValueUnit>

net.finmath.modelling.products.Swaption.ValueUnit

All Implemented Interfaces:

Serializable, Comparable<Swaption.ValueUnit>

Enclosing interface:

Swaption

public static enum Swaption.ValueUnit
extends Enum<Swaption.ValueUnit>

Swaptions specific value units, like swaption implied volatilities.

Author:

Christian Fries

Enum Constant Summary

Enum Constants

Enum Constant	Description
INTEGRATEDLOGNORMALVARIANCE	Deprecated. Use INTEGRATEDVARIANCELOGNORMAL instead.
INTEGRATEDNORMALVARIANCE	Deprecated. Use INTEGRATEDVARIANCENORMAL instead.
INTEGRATEDVARIANCE	Deprecated. Use INTEGRATEDVARIANCELOGNORMAL instead
INTEGRATEDVARIANCELOGNORMAL	Returns the Black-Scholes implied integrated variance, i.e., σ2 T.
INTEGRATEDVARIANCENORMAL	Returns the Bachelier implied integrated variance, i.e., σ2 T.
VALUE	Returns the value of the swaption.
VOLATILITY	Deprecated. Use VOLATILITYLOGNORMAL instead
VOLATILITYLOGNORMAL	Returns the Black-Scholes implied volatility, i.e., σ.
VOLATILITYNORMAL	Returns the Bachelier implied volatility, i.e., σ.
VOLATILITYNORMALATM	The Bachelier implied volatility, assuming an ATM option.

Method Summary

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

Methods inherited from class java.lang.Enum

clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Detail

VALUE

public static final Swaption.ValueUnit VALUE

Returns the value of the swaption.

INTEGRATEDVARIANCELOGNORMAL

public static final Swaption.ValueUnit INTEGRATEDVARIANCELOGNORMAL

Returns the Black-Scholes implied integrated variance, i.e., σ² T.

INTEGRATEDLOGNORMALVARIANCE

public static final Swaption.ValueUnit INTEGRATEDLOGNORMALVARIANCE

Deprecated.

Use INTEGRATEDVARIANCELOGNORMAL instead.

Returns the Black-Scholes implied integrated variance, i.e., σ² T.

VOLATILITYLOGNORMAL

public static final Swaption.ValueUnit VOLATILITYLOGNORMAL

Returns the Black-Scholes implied volatility, i.e., σ.

INTEGRATEDVARIANCENORMAL

public static final Swaption.ValueUnit INTEGRATEDVARIANCENORMAL

Returns the Bachelier implied integrated variance, i.e., σ² T.

INTEGRATEDNORMALVARIANCE

public static final Swaption.ValueUnit INTEGRATEDNORMALVARIANCE

Deprecated.

Use INTEGRATEDVARIANCENORMAL instead.

Returns the Bachelier implied integrated variance, i.e., σ² T.

VOLATILITYNORMAL

public static final Swaption.ValueUnit VOLATILITYNORMAL

Returns the Bachelier implied volatility, i.e., σ.

INTEGRATEDVARIANCE

public static final Swaption.ValueUnit INTEGRATEDVARIANCE

Deprecated.

Use INTEGRATEDVARIANCELOGNORMAL instead

Returns the Black-Scholes implied integrated variance, i.e., σ² T.

VOLATILITY

public static final Swaption.ValueUnit VOLATILITY

Deprecated.

Use VOLATILITYLOGNORMAL instead

Returns the Black-Scholes implied volatility, i.e., σ.

VOLATILITYNORMALATM

public static final Swaption.ValueUnit VOLATILITYNORMALATM

The Bachelier implied volatility, assuming an ATM option. The value is obtained by multiplying VALUE with 1.0 / Math.sqrt(optionMaturity / Math.PI / 2.0) / annuity.

Method Detail

values

public static Swaption.ValueUnit[] values()

Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:

for (Swaption.ValueUnit c : Swaption.ValueUnit.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static Swaption.ValueUnit valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null