org.jquantlib.termstructures

Class BlackVolTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.BlackVolTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

Direct Known Subclasses:

BlackVarianceTermStructure, BlackVolatilityTermStructure

public abstract class BlackVolTermStructure
extends VolatilityTermStructure
implements PolymorphicVisitable

Black-volatility term structure

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor Summary

Constructors

Constructor and Description
BlackVolTermStructure() 'default' constructor
BlackVolTermStructure(Calendar cal) 'default' constructor
BlackVolTermStructure(Calendar cal, BusinessDayConvention bdc) 'default' constructor
BlackVolTermStructure(Calendar cal, BusinessDayConvention bdc, DayCounter dc) 'default' constructor
BlackVolTermStructure(Date referenceDate) initialize with a fixed reference date
BlackVolTermStructure(Date referenceDate, Calendar cal) initialize with a fixed reference date
BlackVolTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc) initialize with a fixed reference date
BlackVolTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc, DayCounter dc) initialize with a fixed reference date
BlackVolTermStructure(int settlementDays, Calendar cal) calculate the reference date based on the global evaluation date
BlackVolTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc) calculate the reference date based on the global evaluation date
BlackVolTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc, DayCounter dc) calculate the reference date based on the global evaluation date

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)
double	blackForwardVariance(Date date1, Date date2, double strike, boolean extrapolate) Future (a.k.a.
double	blackForwardVariance(double time1, double time2, double strike, boolean extrapolate) Future (a.k.a.
double	blackForwardVol(Date date1, Date date2, double strike, boolean extrapolate) Future (a.k.a.
double	blackForwardVol(double time1, double time2, double strike, boolean extrapolate) Future (a.k.a.
double	blackVariance(Date maturity, double strike) Present (a.k.a spot) variance
double	blackVariance(Date maturity, double strike, boolean extrapolate) Present (a.k.a spot) variance
double	blackVariance(double maturity, double strike) Present (a.k.a spot) variance
double	blackVariance(double maturity, double strike, boolean extrapolate) Present (a.k.a spot) variance
double	blackVol(Date maturity, double strike) Present (a.k.a spot) volatility
double	blackVol(Date maturity, double strike, boolean extrapolate) Present (a.k.a spot) volatility
double	blackVol(double maturity, double strike) Present (a.k.a spot) volatility
double	blackVol(double maturity, double strike, boolean extrapolate) Present (a.k.a spot) volatility
abstract double	maxStrike() The maximum strike for which the term structure can return vols
abstract double	minStrike() The minimum strike for which the term structure can return vols

Methods inherited from class org.jquantlib.termstructures.volatilities.VolatilityTermStructure

businessDayConvention, optionDateFromTenor

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.jquantlib.termstructures.TermStructure

maxDate

Constructor Detail

BlackVolTermStructure

public BlackVolTermStructure()

'default' constructor

BlackVolTermStructure

public BlackVolTermStructure(Calendar cal)

'default' constructor

BlackVolTermStructure

public BlackVolTermStructure(Calendar cal,
                             BusinessDayConvention bdc)

'default' constructor

BlackVolTermStructure

public BlackVolTermStructure(Calendar cal,
                             BusinessDayConvention bdc,
                             DayCounter dc)

'default' constructor

BlackVolTermStructure

public BlackVolTermStructure(Date referenceDate)

initialize with a fixed reference date

BlackVolTermStructure

public BlackVolTermStructure(Date referenceDate,
                             Calendar cal)

initialize with a fixed reference date

BlackVolTermStructure

public BlackVolTermStructure(Date referenceDate,
                             Calendar cal,
                             BusinessDayConvention bdc)

initialize with a fixed reference date

BlackVolTermStructure

public BlackVolTermStructure(Date referenceDate,
                             Calendar cal,
                             BusinessDayConvention bdc,
                             DayCounter dc)

initialize with a fixed reference date

BlackVolTermStructure

public BlackVolTermStructure(int settlementDays,
                             Calendar cal)

calculate the reference date based on the global evaluation date

BlackVolTermStructure

public BlackVolTermStructure(int settlementDays,
                             Calendar cal,
                             BusinessDayConvention bdc)

calculate the reference date based on the global evaluation date

BlackVolTermStructure

public BlackVolTermStructure(int settlementDays,
                             Calendar cal,
                             BusinessDayConvention bdc,
                             DayCounter dc)

calculate the reference date based on the global evaluation date

Method Detail

minStrike

public abstract double minStrike()

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class VolatilityTermStructure

maxStrike

public abstract double maxStrike()

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class VolatilityTermStructure

blackVol

public final double blackVol(Date maturity,
                             double strike)

Present (a.k.a spot) volatility

blackVol

public final double blackVol(Date maturity,
                             double strike,
                             boolean extrapolate)

Present (a.k.a spot) volatility

blackVol

public final double blackVol(double maturity,
                             double strike)

Present (a.k.a spot) volatility

blackVol

public final double blackVol(double maturity,
                             double strike,
                             boolean extrapolate)

Present (a.k.a spot) volatility

blackVariance

public final double blackVariance(Date maturity,
                                  double strike)

Present (a.k.a spot) variance

blackVariance

public final double blackVariance(Date maturity,
                                  double strike,
                                  boolean extrapolate)

Present (a.k.a spot) variance

blackVariance

public final double blackVariance(double maturity,
                                  double strike)

Present (a.k.a spot) variance

blackVariance

public final double blackVariance(double maturity,
                                  double strike,
                                  boolean extrapolate)

Present (a.k.a spot) variance

blackForwardVol

public final double blackForwardVol(Date date1,
                                    Date date2,
                                    double strike,
                                    boolean extrapolate)

Future (a.k.a. forward) volatility

Parameters:

date1 -

date2 -

strike -

extrapolate -

Returns:

blackForwardVol

public final double blackForwardVol(double time1,
                                    double time2,
                                    double strike,
                                    boolean extrapolate)

Future (a.k.a. forward) volatility

Parameters:

time1 -

time2 -

strike -

extrapolate -

Returns:

blackForwardVariance

public final double blackForwardVariance(Date date1,
                                         Date date2,
                                         double strike,
                                         boolean extrapolate)

Future (a.k.a. forward) variance

Parameters:

date1 -

date2 -

strike -

extrapolate -

Returns:

blackForwardVariance

public final double blackForwardVariance(double time1,
                                         double time2,
                                         double strike,
                                         boolean extrapolate)

Future (a.k.a. forward) variance

Parameters:

time1 -

time2 -

strike -

extrapolate -

Returns:

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

See Also:

PolymorphicVisitor#getVisitor(Class)