Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Class CapletVolatilities

java.lang.Object

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

net.finmath.marketdata.model.volatilities.CapletVolatilities

All Implemented Interfaces:

Cloneable, VolatilitySurface

public class CapletVolatilities
extends AbstractVolatilitySurface

A very simple container for Caplet volatilities. It performs piecewise constant interpolation (discretization) in maturity dimension on iso-moneyness lines and uses the default interpolation from the CurveFromInterpolationPoints class in strike dimension. It allows to convert from several quoting conventions. It needs a forward curve and a discount curve. The tenor length of the Caplet is inferred from the forward curve.

Version:

1.0

Author:

Christian Fries

To dos:

Need to add forward and discount curve to support implied vol.

Nested Class Summary

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

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)

Method Summary

Modifier and Type	Method	Description
static AbstractVolatilitySurface	fromFile(File inputFile)
double	getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.
double	getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.

Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getDaycountConvention, getDiscountCurve, getForwardCurve, getName, getQuotingConvention, getReferenceDate, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

CapletVolatilities

public CapletVolatilities(String name,
                          LocalDate referenceDate,
                          ForwardCurve forwardCurve,
                          double[] maturities,
                          double[] strikes,
                          double[] volatilities,
                          VolatilitySurface.QuotingConvention volatilityConvention,
                          DiscountCurve discountCurve)

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

forwardCurve - The underlying forward curve.

maturities - The vector of maturities of the quotes.

strikes - The vector of strikes of the quotes.

volatilities - The vector of volatilities of the quotes.

volatilityConvention - The quoting convention of the volatilities provided.

discountCurve - The associated discount curve.

Method Detail

getValue

public double getValue(double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

Description copied from interface: VolatilitySurface

Returns the price or implied volatility for the corresponding maturity and strike.

Parameters:

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.

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.

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.

fromFile

public static AbstractVolatilitySurface fromFile(File inputFile)
                                          throws FileNotFoundException

Throws:

FileNotFoundException