- 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 insteadINTEGRATEDVARIANCELOGNORMAL
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 insteadVOLATILITYLOGNORMAL
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
All Methods Static Methods Concrete Methods 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.
-
-
-
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 insteadReturns the Black-Scholes implied integrated variance, i.e., σ2 T.
-
VOLATILITY
public static final Swaption.ValueUnit VOLATILITY
Deprecated.Use VOLATILITYLOGNORMAL insteadReturns 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 nameNullPointerException
- if the argument is null
-
-