Class OptionSurfaceData

java.lang.Object
net.finmath.marketdata.model.volatilities.OptionSurfaceData

public class OptionSurfaceData extends Object
An option quote surface with the ability to query option quotes for different strikes and maturities. The surface is constructed as a collection of smiles. The choice of this dimension is convenient in view of calibration via FFT methods. This class does not perform any interpolation of market quotes. It merely represents a container of information. The class provides also the ability to perform the conversion among different quoting conventions and hence can be used both for a calibration on prices or implied volatilities. The class currently does not cover normal volatilities. Lognormal volatilities are more common in the equity space. The extension is not problematic.
Author:
Alessandro Gnoatto
  • Constructor Details

    • OptionSurfaceData

      public OptionSurfaceData(String underlying, LocalDate referenceDate, double[] strikes, double[] maturities, double[][] values, VolatilitySurface.QuotingConvention convention, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)
      This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.
      Parameters:
      underlying - The name of the underlying of this surface.
      referenceDate - The reference date for this market data (t=0).
      strikes - The vector of strikes.
      maturities - The vector of maturities.
      values - The matrix of values per (strike, maturity)
      convention - The quoting convention (@see net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface.QuotingConvention).
      discountCurve - A discount curve for discounting (funding/collateral rate).
      equityForwardCurve - A the discount curve for forwarding (repo rate (e.g. funding minus dividents).
    • OptionSurfaceData

      public OptionSurfaceData(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)
      Creates an equity option surface from an array of smiles.
      Parameters:
      smiles - The option smile data.
      discountCurve - A discount curve for discounting (funding/collateral rate).
      equityForwardCurve - A the discount curve for forwarding (repo rate (e.g. funding minus dividents).
  • Method Details