Module net.finmath.lib
Package net.finmath.marketdata.model.volatilities
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Volatility surfaces are mappings (t,K) → f(t,K), usually given by a discrete
set of points and an interpolation and extrapolation method or a functional form
(like the SABR model).
- Author:
- Christian Fries
-
Interface Summary Interface Description SwaptionMarketData Basic interface to be implemented by classes providing swaption market data.VolatilitySurface Interface for classes representing a volatility surface, i.e. -
Class Summary Class Description AbstractVolatilitySurface Abstract base class for a volatility surface.AbstractVolatilitySurfaceParametric Base class for parametric volatility surfaces, implementing a generic calibration algorithm.CapletVolatilities A very simple container for Caplet volatilities.CapletVolatilitiesParametric A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).CapletVolatilitiesParametricDisplacedFourParameterAnalytic A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).CapletVolatilitiesParametricFourParameterPicewiseConstant A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).OptionData An Equity option quote is a function of strike and maturity.OptionSmileData A collection of option prices or implied volatilities for a given maturity.OptionSurfaceData An option quote surface with the ability to query option quotes for different strikes and maturities.SwaptionATMMarketDataFromArray Simple swaption market data class.SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness. -
Enum Summary Enum Description SwaptionDataLattice.QuotingConvention Quoting convention for swaption data in a lattice.VolatilitySurface.QuotingConvention Quoting conventions.