net.finmath.marketdata.model.volatilities

Class AbstractVolatilitySurface

java.lang.Object

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

All Implemented Interfaces:

java.lang.Cloneable, VolatilitySurfaceInterface

Direct Known Subclasses:

AbstractVolatilitySurfaceParametric, CapletVolatilities, CapletVolatilitiesParametricFourParameterPicewiseConstant

public abstract class AbstractVolatilitySurface
extends java.lang.Object
implements VolatilitySurfaceInterface, java.lang.Cloneable

Abstract base class for a volatility surface. It stores the name of the surface and provides some convenient way of getting values.

Nested Class Summary

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

VolatilitySurfaceInterface.QuotingConvention

Constructor Summary

Constructors

Constructor and Description
AbstractVolatilitySurface(java.lang.String name, java.util.Calendar referenceDate)

Method Summary

Modifier and Type	Method and Description
java.lang.Object	clone()
double	convertFromTo(AnalyticModelInterface model, double optionMaturity, double optionStrike, double value, VolatilitySurfaceInterface.QuotingConvention fromQuotingConvention, VolatilitySurfaceInterface.QuotingConvention toQuotingConvention) Convert the value of a caplet from on quoting convention to another quoting convention.
double	convertFromTo(double optionMaturity, double optionStrike, double value, VolatilitySurfaceInterface.QuotingConvention fromQuotingConvention, VolatilitySurfaceInterface.QuotingConvention toQuotingConvention) Convert the value of a caplet from one quoting convention to another quoting convention.
java.lang.String	getName() Returns the name of the volatility surface.
VolatilitySurfaceInterface.QuotingConvention	getQuotingConvention() Return the default quoting convention of this surface.
java.util.Calendar	getReferenceDate() Return the reference date of this surface, i.e.
java.lang.String	toString()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface

getValue, getValue

Constructor Detail

AbstractVolatilitySurface

public AbstractVolatilitySurface(java.lang.String name,
                                 java.util.Calendar referenceDate)

Method Detail

getName

public java.lang.String getName()

Description copied from interface: VolatilitySurfaceInterface

Returns the name of the volatility surface.

Specified by:

getName in interface VolatilitySurfaceInterface

Returns:

The name of the volatility surface.

getReferenceDate

public java.util.Calendar getReferenceDate()

Description copied from interface: VolatilitySurfaceInterface

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

Specified by:

getReferenceDate in interface VolatilitySurfaceInterface

Returns:

The date identified as t=0.

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object

clone

public java.lang.Object clone()
                       throws java.lang.CloneNotSupportedException

Overrides:

clone in class java.lang.Object

Throws:

java.lang.CloneNotSupportedException

getQuotingConvention

public VolatilitySurfaceInterface.QuotingConvention getQuotingConvention()

Description copied from interface: VolatilitySurfaceInterface

Return the default quoting convention of this surface.

Specified by:

getQuotingConvention in interface VolatilitySurfaceInterface

Returns:

the quotingConvention

convertFromTo

public double convertFromTo(AnalyticModelInterface model,
                            double optionMaturity,
                            double optionStrike,
                            double value,
                            VolatilitySurfaceInterface.QuotingConvention fromQuotingConvention,
                            VolatilitySurfaceInterface.QuotingConvention toQuotingConvention)

Convert the value of a caplet from on 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 cpalet.

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,
                            VolatilitySurfaceInterface.QuotingConvention fromQuotingConvention,
                            VolatilitySurfaceInterface.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.