org.jquantlib.termstructures.volatilities.optionlet

Class OptionletVolatilityStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.volatilities.optionlet.OptionletVolatilityStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

Direct Known Subclasses:

CapletVarianceCurve, ConstantOptionletVolatility

public abstract class OptionletVolatilityStructure
extends VolatilityTermStructure

Optionlet (caplet/floorlet) volatility structure

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

Constructor Summary

Constructors

Constructor and Description
OptionletVolatilityStructure(Calendar cal, BusinessDayConvention bdc)
OptionletVolatilityStructure(Calendar cal, BusinessDayConvention bdc, DayCounter dc)
OptionletVolatilityStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc) initialize with a fixed reference date
OptionletVolatilityStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc, DayCounter dc) initialize with a fixed reference date
OptionletVolatilityStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc) calculate the reference date based on the global evaluation date
OptionletVolatilityStructure(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
double	blackVariance(Date optionDate, double strike) returns the Black variance for a given option date and strike rate
double	blackVariance(Date optionDate, double strike, boolean extrapolate)
double	blackVariance(double optionTime, double strike) returns the Black variance for a given option time and strike rate
double	blackVariance(double optionTime, double strike, boolean extrapolate)
double	blackVariance(Period optionTenor, double strike) returns the Black variance for a given option tenor and strike rate
double	blackVariance(Period optionTenor, double strike, boolean extrapolate)
SmileSection	smileSection(Date optionDate) returns the smile for a given option date
SmileSection	smileSection(Date optionDate, boolean extr)
SmileSection	smileSection(double optionTime) returns the smile for a given option time
SmileSection	smileSection(double optionTime, boolean extrapolate)
SmileSection	smileSection(Period optionTenor) returns the smile for a given option tenor
SmileSection	smileSection(Period optionTenor, boolean extrapolate)
double	volatility(Date optionDate, double strike) returns the volatility for a given option date and strike rate
double	volatility(Date optionDate, double strike, boolean extrapolate)
double	volatility(double optionTime, double strike) returns the volatility for a given option time and strike rate
double	volatility(double optionTime, double strike, boolean extrapolate)
double	volatility(Period optionTenor, double strike) returns the volatility for a given option tenor and strike rate
double	volatility(Period optionTenor, double strike, boolean extrapolate)
double	volatilityImpl(Date optionDate, double strike)

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

businessDayConvention, maxStrike, minStrike, 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

OptionletVolatilityStructure

public OptionletVolatilityStructure(Calendar cal,
                                    BusinessDayConvention bdc)

OptionletVolatilityStructure

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

OptionletVolatilityStructure

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

initialize with a fixed reference date

OptionletVolatilityStructure

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

initialize with a fixed reference date

OptionletVolatilityStructure

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

calculate the reference date based on the global evaluation date

OptionletVolatilityStructure

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

calculate the reference date based on the global evaluation date

Method Detail

volatility

public double volatility(Period optionTenor,
                         double strike)

returns the volatility for a given option tenor and strike rate

volatility

public double volatility(Date optionDate,
                         double strike)

returns the volatility for a given option date and strike rate

volatility

public double volatility(double optionTime,
                         double strike)

returns the volatility for a given option time and strike rate

blackVariance

public double blackVariance(Period optionTenor,
                            double strike)

returns the Black variance for a given option tenor and strike rate

blackVariance

public double blackVariance(Date optionDate,
                            double strike)

returns the Black variance for a given option date and strike rate

blackVariance

public double blackVariance(double optionTime,
                            double strike)

returns the Black variance for a given option time and strike rate

smileSection

public SmileSection smileSection(Period optionTenor)

returns the smile for a given option tenor

smileSection

public SmileSection smileSection(Date optionDate)

returns the smile for a given option date

smileSection

public SmileSection smileSection(double optionTime)

returns the smile for a given option time

volatility

public double volatility(Period optionTenor,
                         double strike,
                         boolean extrapolate)

blackVariance

public double blackVariance(Period optionTenor,
                            double strike,
                            boolean extrapolate)

smileSection

public SmileSection smileSection(Period optionTenor,
                                 boolean extrapolate)

blackVariance

public double blackVariance(Date optionDate,
                            double strike,
                            boolean extrapolate)

blackVariance

public double blackVariance(double optionTime,
                            double strike,
                            boolean extrapolate)

volatility

public double volatility(Date optionDate,
                         double strike,
                         boolean extrapolate)

volatility

public double volatility(double optionTime,
                         double strike,
                         boolean extrapolate)

smileSection

public SmileSection smileSection(Date optionDate,
                                 boolean extr)

smileSection

public SmileSection smileSection(double optionTime,
                                 boolean extrapolate)

volatilityImpl

public double volatilityImpl(Date optionDate,
                             double strike)