Class AbstractVolatilitySurface

    • Method Detail

      • 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.