## Class CapletVolatilities

• All Implemented Interfaces:
Cloneable, VolatilitySurface

public class CapletVolatilities
extends AbstractVolatilitySurface
A very simple container for Caplet volatilities. It performs piecewise constant interpolation (discretization) in maturity dimension on iso-moneyness lines and uses the default interpolation from the CurveFromInterpolationPoints class in strike dimension. It allows to convert from several quoting conventions. It needs a forward curve and a discount curve. The tenor length of the Caplet is inferred from the forward curve.
Version:
1.0
Author:
Christian Fries
To dos:
Need to add forward and discount curve to support implied vol.

• ### Nested classes/interfaces inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention
• ### Constructor Summary

Constructors
Constructor Description
CapletVolatilities​(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
• ### Method Summary

All Methods
Modifier and Type Method Description
static AbstractVolatilitySurface fromFile​(File inputFile)
double getValue​(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Returns the price or implied volatility for the corresponding maturity and strike.
double getValue​(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Returns the price or implied volatility for the corresponding maturity and strike.
• ### Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getDaycountConvention, getDiscountCurve, getForwardCurve, getName, getQuotingConvention, getReferenceDate, toString
• ### Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• ### Constructor Detail

• #### CapletVolatilities

public CapletVolatilities​(String name,
LocalDate referenceDate,
ForwardCurve forwardCurve,
double[] maturities,
double[] strikes,
double[] volatilities,
VolatilitySurface.QuotingConvention volatilityConvention,
DiscountCurve discountCurve)
Parameters:
name - The name of this volatility surface.
referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.
forwardCurve - The underlying forward curve.
maturities - The vector of maturities of the quotes.
strikes - The vector of strikes of the quotes.
volatilities - The vector of volatilities of the quotes.
volatilityConvention - The quoting convention of the volatilities provided.
discountCurve - The associated discount curve.
• ### Method Detail

• #### getValue

public double getValue​(double maturity,
double strike,
VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface: VolatilitySurface
Returns the price or implied volatility for the corresponding maturity and strike.
Parameters:
maturity - The option maturity for which the price or implied volatility is requested.
strike - The option strike for which the price or implied volatility is requested.
quotingConvention - The quoting convention to be used for the return value.
Returns:
The price or implied volatility depending on the quoting convention.
• #### getValue

public double getValue​(AnalyticModel model,
double maturity,
double strike,
VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface: VolatilitySurface
Returns the price or implied volatility for the corresponding maturity and strike.
Parameters:
model - An analytic model providing a context. Some curves do not need this (may be null).
maturity - The option maturity for which the price or implied volatility is requested.
strike - The option strike for which the price or implied volatility is requested.
quotingConvention - The quoting convention to be used for the return value.
Returns:
The price or implied volatility depending on the quoting convention.
• #### fromFile

public static AbstractVolatilitySurface fromFile​(File inputFile)
throws FileNotFoundException
Throws:
FileNotFoundException