org.jquantlib.termstructures.volatilities

Class LocalConstantVol

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.LocalVolTermStructure

org.jquantlib.termstructures.volatilities.LocalConstantVol

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

public class LocalConstantVol
extends LocalVolTermStructure

Local constant volatility, no time dependence, no asset dependence

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.

Constructor Summary

Constructors

Constructor and Description
LocalConstantVol(Date referenceDate, double volatility, DayCounter dayCounter)
LocalConstantVol(Date referenceDate, Handle<Quote> volatility, DayCounter dayCounter)
LocalConstantVol(int settlementDays, Calendar cal, double volatility, DayCounter dayCounter)
LocalConstantVol(int settlementDays, Calendar cal, Handle<Quote> volatility, DayCounter dayCounter)

Method Summary

Modifier and Type	Method and Description
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

Methods inherited from class org.jquantlib.termstructures.LocalVolTermStructure

accept, localVol, localVol, localVol

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

LocalConstantVol

public LocalConstantVol(Date referenceDate,
                        double volatility,
                        DayCounter dayCounter)

LocalConstantVol

public LocalConstantVol(Date referenceDate,
                        Handle<Quote> volatility,
                        DayCounter dayCounter)

LocalConstantVol

public LocalConstantVol(int settlementDays,
                        Calendar cal,
                        double volatility,
                        DayCounter dayCounter)

LocalConstantVol

public LocalConstantVol(int settlementDays,
                        Calendar cal,
                        Handle<Quote> volatility,
                        DayCounter dayCounter)

Method Detail

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: VolatilityTermStructure

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class LocalVolTermStructure

Returns:

the minimum strike for which the term structure can return vols

maxStrike

public final double maxStrike()

Description copied from class: VolatilityTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class LocalVolTermStructure

Returns:

the maximum strike for which the term structure can return vols