Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Interface VolatilitySurface

All Known Implementing Classes:

AbstractVolatilitySurface, AbstractVolatilitySurfaceParametric, CapletVolatilities, CapletVolatilitiesParametric, CapletVolatilitiesParametricDisplacedFourParameterAnalytic, CapletVolatilitiesParametricFourParameterPicewiseConstant, CapletVolatilitySurface

public interface VolatilitySurface

Interface for classes representing a volatility surface, i.e. European option prices.

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static class	VolatilitySurface.QuotingConvention	Quoting conventions.

Method Summary

Modifier and Type	Method	Description
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.
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.

Method Detail

getName

String getName()

Returns the name of the volatility surface.

Returns:

The name of the volatility surface.

getReferenceDate

LocalDate getReferenceDate()

Return the reference date of this surface, i.e. the date associated with t=0.

Returns:

The date identified as t=0.

getValue

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

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

double getValue(AnalyticModel model,
                double maturity,
                double strike,
                VolatilitySurface.QuotingConvention quotingConvention)

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.

getQuotingConvention

VolatilitySurface.QuotingConvention getQuotingConvention()

Return the default quoting convention of this surface.

Returns:

the quotingConvention