Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Class OptionData

java.lang.Object

net.finmath.marketdata.model.volatilities.OptionData

public class OptionData
extends Object

An Equity option quote is a function of strike and maturity. The quote can be represented in terms of prices or volatilities. Concerning the strike: being a double, one might decide to store there a moneyness instead of a price, i.e. a relative strike where ATM = 0.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
OptionData(String underlying, LocalDate referenceDate, double strike, double maturity, double value, VolatilitySurface.QuotingConvention convention)

Method Summary

Modifier and Type	Method	Description
VolatilitySurface.QuotingConvention	getConvention()
double	getMaturity()
LocalDate	getReferenceDate()
double	getStrike()
String	getUnderlying()
double	getValue()
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

OptionData

public OptionData(String underlying,
                  LocalDate referenceDate,
                  double strike,
                  double maturity,
                  double value,
                  VolatilitySurface.QuotingConvention convention)

Method Detail

getUnderlying

public String getUnderlying()

getReferenceDate

public LocalDate getReferenceDate()

getStrike

public double getStrike()

getMaturity

public double getMaturity()

getValue

public double getValue()

getConvention

public VolatilitySurface.QuotingConvention getConvention()

toString

public String toString()

Overrides:

toString in class Object