org.jquantlib.termstructures.volatilities

Class LocalVolSurface

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.LocalVolTermStructure

org.jquantlib.termstructures.volatilities.LocalVolSurface

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

public class LocalVolSurface
extends LocalVolTermStructure

Local volatility surface derived from a Black vol surface

For details about this implementation refer to "Stochastic Volatility and Local Volatility" in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

See Also:

This article

Constructor Summary

Constructors

Constructor and Description
LocalVolSurface(Handle<BlackVolTermStructure> blackTS, Handle<YieldTermStructure> riskFreeTS, Handle<YieldTermStructure> dividendTS, double underlying)
LocalVolSurface(Handle<BlackVolTermStructure> blackTS, Handle<YieldTermStructure> riskFreeTS, Handle<YieldTermStructure> dividendTS, Handle<? extends Quote> underlying)

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
Date	referenceDate() Returns the Date at which discount = 1.0 and/or variance = 0.0

Methods inherited from class org.jquantlib.termstructures.LocalVolTermStructure

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, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

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

Constructor Detail

LocalVolSurface

public LocalVolSurface(Handle<BlackVolTermStructure> blackTS,
                       Handle<YieldTermStructure> riskFreeTS,
                       Handle<YieldTermStructure> dividendTS,
                       Handle<? extends Quote> underlying)

LocalVolSurface

public LocalVolSurface(Handle<BlackVolTermStructure> blackTS,
                       Handle<YieldTermStructure> riskFreeTS,
                       Handle<YieldTermStructure> dividendTS,
                       double underlying)

Method Detail

referenceDate

public final Date referenceDate()

Description copied from interface: TermStructure

Returns the Date at which discount = 1.0 and/or variance = 0.0

Specified by:

referenceDate in interface TermStructure

Overrides:

referenceDate in class AbstractTermStructure

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

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 LocalVolTermStructure

See Also:

PolymorphicVisitor#getVisitor(Class)