org.jquantlib.termstructures.volatilities

Class VolatilityTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

Direct Known Subclasses:

BlackVolTermStructure, LocalVolTermStructure, OptionletVolatilityStructure

public abstract class VolatilityTermStructure
extends AbstractTermStructure

Volatility term structure

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

Constructor Summary

Constructors

Constructor and Description
VolatilityTermStructure(Calendar cal, BusinessDayConvention bdc) 'default' constructor
VolatilityTermStructure(Calendar cal, BusinessDayConvention bdc, DayCounter dc) 'default' constructor
VolatilityTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc) initialize with a fixed reference date
VolatilityTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc, DayCounter dc) initialize with a fixed reference date
VolatilityTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc) calculate the reference date based on the global evaluation date
VolatilityTermStructure(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
BusinessDayConvention	businessDayConvention() The business day convention used in tenor to date conversion
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
Date	optionDateFromTenor(Period p) Period/date conversion

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

VolatilityTermStructure

public VolatilityTermStructure(Calendar cal,
                               BusinessDayConvention bdc)

'default' constructor

VolatilityTermStructure

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

'default' constructor

VolatilityTermStructure

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

initialize with a fixed reference date

VolatilityTermStructure

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

initialize with a fixed reference date

VolatilityTermStructure

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

calculate the reference date based on the global evaluation date

VolatilityTermStructure

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

calculate the reference date based on the global evaluation date

Method Detail

businessDayConvention

public BusinessDayConvention businessDayConvention()

The business day convention used in tenor to date conversion

optionDateFromTenor

public Date optionDateFromTenor(Period p)

Period/date conversion

minStrike

public abstract double minStrike()

The minimum strike for which the term structure can return vols

maxStrike

public abstract double maxStrike()

The maximum strike for which the term structure can return vols