## Uses of Interfacenet.finmath.marketdata.model.volatilities.VolatilitySurface

• Packages that use VolatilitySurface
Package Description
net.finmath.marketdata.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.volatilities
Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.model.volatility.caplet
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.modelling.descriptor
Provides interface separating implementation from specification (of models and products)
• ### Uses of VolatilitySurface in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return VolatilitySurface
Modifier and Type Method Description
VolatilitySurface AnalyticModel.getVolatilitySurface​(String name)
Returns a volatility surface for a given name.
VolatilitySurface AnalyticModelFromCurvesAndVols.getVolatilitySurface​(String name)
Methods in net.finmath.marketdata.model that return types with arguments of type VolatilitySurface
Modifier and Type Method Description
Map<String,​VolatilitySurface> AnalyticModel.getVolatilitySurfaces()
Returns an unmodifiable map of all volatility surfaces.
Map<String,​VolatilitySurface> AnalyticModelFromCurvesAndVols.getVolatilitySurfaces()
Methods in net.finmath.marketdata.model with parameters of type VolatilitySurface
Modifier and Type Method Description
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurface​(VolatilitySurface volatilitySurface)
AnalyticModel AnalyticModel.addVolatilitySurfaces​(VolatilitySurface... volatilitySurfaces)
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurfaces​(VolatilitySurface... volatilitySurfaces)
Method parameters in net.finmath.marketdata.model with type arguments of type VolatilitySurface
Modifier and Type Method Description
AnalyticModel AnalyticModel.addVolatilitySurfaces​(Set<VolatilitySurface> volatilitySurfaces)
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurfaces​(Set<VolatilitySurface> volatilitySurfaces)
• ### Uses of VolatilitySurface in net.finmath.marketdata.model.volatilities

Classes in net.finmath.marketdata.model.volatilities that implement VolatilitySurface
Modifier and Type Class Description
class  AbstractVolatilitySurface
Abstract base class for a volatility surface.
class  AbstractVolatilitySurfaceParametric
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
class  CapletVolatilities
A very simple container for Caplet volatilities.
class  CapletVolatilitiesParametric
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
class  CapletVolatilitiesParametricDisplacedFourParameterAnalytic
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
class  CapletVolatilitiesParametricFourParameterPicewiseConstant
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
• ### Uses of VolatilitySurface in net.finmath.marketdata.model.volatility.caplet

Classes in net.finmath.marketdata.model.volatility.caplet that implement VolatilitySurface
Modifier and Type Class Description
class  CapletVolatilitySurface
This class implements a caplet volatility surface.
• ### Uses of VolatilitySurface in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return types with arguments of type VolatilitySurface
Modifier and Type Method Description
Map<String,​VolatilitySurface> AnalyticModelDescriptor.getVolatilitySurfaceMap()