Module net.finmath.lib
Class SwaptionATMMarketDataFromArray
- java.lang.Object
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- net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
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- All Implemented Interfaces:
SwaptionMarketData
public class SwaptionATMMarketDataFromArray extends Object implements SwaptionMarketData
Simple swaption market data class. The class does currently not provide a surface interpolation like SABR. This will be added in a future version.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description SwaptionATMMarketDataFromArray(double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description TimeDiscretization
getOptionMaturities()
double
getSwapPeriodLength()
TimeDiscretization
getTenor()
double
getValue(double optionMatruity, double tenorLength, double periodLength, double strike)
Returns the option price of a swaption for a given option maturity and tenor length.double
getVolatility(double optionMatruity, double tenorLength)
double
getVolatility(double optionMatruity, double tenorLength, double periodLength, double strike)
Returns the option implied volatility of a swaption for a given option maturity and tenor length.
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Constructor Detail
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SwaptionATMMarketDataFromArray
public SwaptionATMMarketDataFromArray(double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
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SwaptionATMMarketDataFromArray
public SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
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SwaptionATMMarketDataFromArray
public SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)
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Method Detail
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getOptionMaturities
public TimeDiscretization getOptionMaturities()
- Specified by:
getOptionMaturities
in interfaceSwaptionMarketData
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getTenor
public TimeDiscretization getTenor()
- Specified by:
getTenor
in interfaceSwaptionMarketData
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getSwapPeriodLength
public double getSwapPeriodLength()
- Specified by:
getSwapPeriodLength
in interfaceSwaptionMarketData
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getValue
public double getValue(double optionMatruity, double tenorLength, double periodLength, double strike)
Description copied from interface:SwaptionMarketData
Returns the option price of a swaption for a given option maturity and tenor length.- Specified by:
getValue
in interfaceSwaptionMarketData
- Parameters:
optionMatruity
- The option maturity.tenorLength
- The tenor length.periodLength
- The period length of the floating rate period.strike
- The strike (swap) rate.- Returns:
- The option price.
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getVolatility
public double getVolatility(double optionMatruity, double tenorLength)
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getVolatility
public double getVolatility(double optionMatruity, double tenorLength, double periodLength, double strike)
Description copied from interface:SwaptionMarketData
Returns the option implied volatility of a swaption for a given option maturity and tenor length.- Specified by:
getVolatility
in interfaceSwaptionMarketData
- Parameters:
optionMatruity
- The option maturity.tenorLength
- The tenor length.periodLength
- The period length of the floating rate period.strike
- The strike (swap) rate.- Returns:
- The implied volatility.
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