Module net.finmath.lib
Interface SwaptionMarketData
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- All Known Implementing Classes:
SwaptionATMMarketDataFromArray
public interface SwaptionMarketData
Basic interface to be implemented by classes providing swaption market data.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description TimeDiscretization
getOptionMaturities()
double
getSwapPeriodLength()
TimeDiscretization
getTenor()
double
getValue(double optionMaturity, double tenorLength, double periodLength, double strike)
Returns the option price of a swaption for a given option maturity and tenor length.double
getVolatility(double optionMaturity, 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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Method Detail
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getOptionMaturities
TimeDiscretization getOptionMaturities()
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getTenor
TimeDiscretization getTenor()
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getSwapPeriodLength
double getSwapPeriodLength()
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getValue
double getValue(double optionMaturity, double tenorLength, double periodLength, double strike)
Returns the option price of a swaption for a given option maturity and tenor length.- Parameters:
optionMaturity
- 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
double getVolatility(double optionMaturity, double tenorLength, double periodLength, double strike)
Returns the option implied volatility of a swaption for a given option maturity and tenor length.- Parameters:
optionMaturity
- 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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