Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet

Class CapletVolatilitySurface

java.lang.Object

net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface

All Implemented Interfaces:

VolatilitySurface

public class CapletVolatilitySurface
extends Object
implements VolatilitySurface

This class implements a caplet volatility surface.

Author:

Daniel Willhalm, Christian Fries (review and fixes)

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
CapletVolatilitySurface(String name, LocalDate referenceDate, double[][] volatilityMatrix, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.
CapletVolatilitySurface(String name, LocalDate referenceDate, double volatility, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.

Method Summary

Modifier and Type	Method	Description
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.
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.
DiscountCurve	getDiscountCurve()
ForwardCurve	getForwardCurve()
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)	Method that returns the volatility value.
double	getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CapletVolatilitySurface

public CapletVolatilitySurface(String name,
                               LocalDate referenceDate,
                               double[][] volatilityMatrix,
                               double[] maturityVector,
                               double[] strikeVector,
                               ForwardCurve forwardCurve,
                               VolatilitySurface.QuotingConvention volatilityConvention,
                               DiscountCurve discountCurve)

The constructor of the caplet volatility surface class. A volatility matrix is used to create the surface

Parameters:

name - The name of the surface.

referenceDate - The reference date of the surface.

volatilityMatrix - The matrix with caplet volatilities as entries.

maturityVector - The maturities of the rows of the volatility matrix.

strikeVector - The caplet strikes.

forwardCurve - The forward curve.

volatilityConvention - The volatility convention.

discountCurve - The discount curve.

CapletVolatilitySurface

public CapletVolatilitySurface(String name,
                               LocalDate referenceDate,
                               double volatility,
                               double[] maturityVector,
                               double[] strikeVector,
                               ForwardCurve forwardCurve,
                               VolatilitySurface.QuotingConvention volatilityConvention,
                               DiscountCurve discountCurve)

The constructor of the caplet volatility surface class. A single volatility is used and all matrix entries will be that value. This constructor is used if we want to price a cap given a cap volatility.

Parameters:

name - The name of the surface.

referenceDate - The reference date of the surface.

volatility - The volatility.

maturityVector - The maturities of the rows of the volatility matrix.

strikeVector - The caplet strikes.

forwardCurve - The forward curve.

volatilityConvention - The volatility convention.

discountCurve - The discount curve.

Method Detail

getValue

public double getValue(double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

Method that returns the volatility value.

Specified by:

getValue in interface VolatilitySurface

Parameters:

maturity - The desired maturity.

strike - The desired strike

quotingConvention - The desired quoting convention.

Returns:

the volatility value for the given maturity, strike and quoting convention.

getValue

public double getValue(AnalyticModel model,
                       double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

Description copied from interface: VolatilitySurface

Returns the price or implied volatility for the corresponding maturity and strike.

Specified by:

getValue in interface VolatilitySurface

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.

getName

public String getName()

Description copied from interface: VolatilitySurface

Returns the name of the volatility surface.

Specified by:

getName in interface VolatilitySurface

Returns:

The name of the volatility surface.

getQuotingConvention

public VolatilitySurface.QuotingConvention getQuotingConvention()

Description copied from interface: VolatilitySurface

Return the default quoting convention of this surface.

Specified by:

getQuotingConvention in interface VolatilitySurface

Returns:

the quotingConvention

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: VolatilitySurface

Return the reference date of this surface, i.e. the date associated with t=0.

Specified by:

getReferenceDate in interface VolatilitySurface

Returns:

The date identified as t=0.

getForwardCurve

public ForwardCurve getForwardCurve()

getDiscountCurve

public DiscountCurve getDiscountCurve()

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.