org.jquantlib.termstructures

Class LocalVolTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.LocalVolTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

Direct Known Subclasses:

LocalConstantVol, LocalVolCurve, LocalVolSurface

public abstract class LocalVolTermStructure
extends VolatilityTermStructure
implements PolymorphicVisitable

Local volatility term structure base class

Constructor Summary

Constructors

Constructor and Description
LocalVolTermStructure() 'default' constructor
LocalVolTermStructure(Calendar cal) 'default' constructor
LocalVolTermStructure(Calendar cal, BusinessDayConvention bdc) 'default' constructor
LocalVolTermStructure(Calendar cal, BusinessDayConvention bdc, DayCounter dc) 'default' constructor
LocalVolTermStructure(Date referenceDate) initialize with a fixed reference date
LocalVolTermStructure(Date referenceDate, Calendar cal) initialize with a fixed reference date
LocalVolTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc) initialize with a fixed reference date
LocalVolTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc, DayCounter dc) initialize with a fixed reference date
LocalVolTermStructure(int settlementDays, Calendar cal) calculate the reference date based on the global evaluation date
LocalVolTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc) calculate the reference date based on the global evaluation date
LocalVolTermStructure(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	localVol(Date d, double underlyingLevel, boolean extrapolate)
double	localVol(double t, double underlyingLevel)
double	localVol(double t, double underlyingLevel, boolean extrapolate)
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

LocalVolTermStructure

public LocalVolTermStructure()

'default' constructor

LocalVolTermStructure

public LocalVolTermStructure(Calendar cal)

'default' constructor

LocalVolTermStructure

public LocalVolTermStructure(Calendar cal,
                             BusinessDayConvention bdc)

'default' constructor

LocalVolTermStructure

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

'default' constructor

LocalVolTermStructure

public LocalVolTermStructure(Date referenceDate)

initialize with a fixed reference date

LocalVolTermStructure

public LocalVolTermStructure(Date referenceDate,
                             Calendar cal)

initialize with a fixed reference date

LocalVolTermStructure

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

initialize with a fixed reference date

LocalVolTermStructure

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

initialize with a fixed reference date

LocalVolTermStructure

public LocalVolTermStructure(int settlementDays,
                             Calendar cal)

calculate the reference date based on the global evaluation date

LocalVolTermStructure

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

calculate the reference date based on the global evaluation date

LocalVolTermStructure

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

calculate the reference date based on the global evaluation date

Method Detail

localVol

public final double localVol(Date d,
                             double underlyingLevel,
                             boolean extrapolate)

localVol

public final double localVol(double t,
                             double underlyingLevel)

localVol

public final double localVol(double t,
                             double underlyingLevel,
                             boolean extrapolate)

minStrike

public abstract double minStrike()

Description copied from class: VolatilityTermStructure

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class VolatilityTermStructure

Returns:

the minimum strike for which the term structure can return vols

maxStrike

public abstract double maxStrike()

Description copied from class: VolatilityTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class VolatilityTermStructure

Returns:

the maximum strike for which the term structure can return vols

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)