Module net.finmath.lib
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
All Methods Instance Methods Abstract Methods 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
-
-