net.finmath.marketdata.model.volatilities

Class CapletVolatilitiesParametricFourParameterPicewiseConstant

java.lang.Object

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant

All Implemented Interfaces:

java.lang.Cloneable, VolatilitySurfaceInterface

public class CapletVolatilitiesParametricFourParameterPicewiseConstant
extends AbstractVolatilitySurface

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 \( \sigma(t) = (a + b t) \exp(- c t) + d \). In other words, the Black volatility for maturity T is given by \[ \sqrt{ \frac{1}{t_{n}} \sum_{i=0}^{n-1} ((a + b t_{i}) \exp(- c t_{i}) + d)^2 (t_{i+1}-t_{i}) } \], where \( t_{i} \) is given time discretization.

Nested Class Summary

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

VolatilitySurfaceInterface.QuotingConvention

Constructor Summary

Constructors

Constructor and Description
CapletVolatilitiesParametricFourParameterPicewiseConstant(java.lang.String name, java.util.Calendar referenceDate, double a, double b, double c, double d, TimeDiscretizationInterface timeDiscretization) Create a model with parameters a,b,c,d.

Method Summary

Modifier and Type	Method and Description
double	getValue(AnalyticModelInterface model, double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention) Returns the price or implied volatility for the corresponding maturity and strike.
double	getValue(double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention) Returns the price or implied volatility for the corresponding maturity and strike.

Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getName, getQuotingConvention, getReferenceDate, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

CapletVolatilitiesParametricFourParameterPicewiseConstant

public CapletVolatilitiesParametricFourParameterPicewiseConstant(java.lang.String name,
                                                                 java.util.Calendar referenceDate,
                                                                 double a,
                                                                 double b,
                                                                 double c,
                                                                 double d,
                                                                 TimeDiscretizationInterface timeDiscretization)

Create a model with parameters a,b,c,d.

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

a - The parameter a

b - The parameter b

c - The parameter c

d - The parameter d

timeDiscretization - The timeDiscretization used in numerical integration.

Method Detail

getValue

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

Description copied from interface: VolatilitySurfaceInterface

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

public double getValue(AnalyticModelInterface model,
                       double maturity,
                       double strike,
                       VolatilitySurfaceInterface.QuotingConvention quotingConvention)

Description copied from interface: VolatilitySurfaceInterface

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.