org.jquantlib.termstructures.volatilities

Class BlackVarianceSurface

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.BlackVolTermStructure

org.jquantlib.termstructures.BlackVarianceTermStructure

org.jquantlib.termstructures.volatilities.BlackVarianceSurface

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

public class BlackVarianceSurface
extends BlackVarianceTermStructure

This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market. The calculation is performed interpolating on the variance surface. Bilinear interpolation is used as default; this can be changed by the setInterpolation() method.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BlackVarianceSurface.Extrapolation

Constructor Summary

Constructors

Constructor and Description
BlackVarianceSurface(Date referenceDate, Date[] dates, Array strikes, Matrix blackVolMatrix, DayCounter dayCounter)
BlackVarianceSurface(Date referenceDate, Date[] dates, Array strikes, Matrix blackVolMatrix, DayCounter dayCounter, BlackVarianceSurface.Extrapolation lowerExtrapolation, BlackVarianceSurface.Extrapolation upperExtrapolation)

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)
DayCounter	dayCounter() Return the day counter used for date/double conversion
Date	maxDate()
double	maxStrike() The maximum strike for which the term structure can return vols
double	minStrike() The minimum strike for which the term structure can return vols
void	setInterpolation(Interpolation.Interpolator i)

Methods inherited from class org.jquantlib.termstructures.BlackVolTermStructure

blackForwardVariance, blackForwardVariance, blackForwardVol, blackForwardVol, blackVariance, blackVariance, blackVariance, blackVariance, blackVol, blackVol, blackVol, blackVol

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

businessDayConvention, optionDateFromTenor

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, 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

Constructor Detail

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Date[] dates,
                            Array strikes,
                            Matrix blackVolMatrix,
                            DayCounter dayCounter)

BlackVarianceSurface

public BlackVarianceSurface(Date referenceDate,
                            Date[] dates,
                            Array strikes,
                            Matrix blackVolMatrix,
                            DayCounter dayCounter,
                            BlackVarianceSurface.Extrapolation lowerExtrapolation,
                            BlackVarianceSurface.Extrapolation upperExtrapolation)

Method Detail

setInterpolation

public void setInterpolation(Interpolation.Interpolator i)

dayCounter

public final DayCounter dayCounter()

Description copied from interface: TermStructure

Return the day counter used for date/double conversion

Specified by:

dayCounter in interface TermStructure

Overrides:

dayCounter in class AbstractTermStructure

Returns:

the day counter used for date/double conversion

maxDate

public final Date maxDate()

Returns:

the latest date for which the curve can return values

minStrike

public final double minStrike()

Description copied from class: BlackVolTermStructure

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class BlackVolTermStructure

maxStrike

public final double maxStrike()

Description copied from class: BlackVolTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class BlackVolTermStructure

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

Overrides:

accept in class BlackVarianceTermStructure

See Also:

PolymorphicVisitor#getVisitor(Class)