Class AbstractVolatilitySurface

java.lang.Object
net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
All Implemented Interfaces:
Cloneable, VolatilitySurface

public abstract class AbstractVolatilitySurface extends Object implements VolatilitySurface, Cloneable
Abstract base class for a volatility surface. It stores the name of the surface and provides some convenient way of getting values.
Version:
1.0
Author:
Christian Fries
  • Constructor Details

  • Method Details

    • getName

      public String getName()
      Description copied from interface: VolatilitySurface
      Returns the name of the volatility surface.
      Specified by:
      getName in interface VolatilitySurface
      Returns:
      The name of the volatility surface.
    • getReferenceDate

      public LocalDate getReferenceDate()
      Description copied from interface: VolatilitySurface
      Return the reference date of this surface, i.e. the date associated with t=0.
      Specified by:
      getReferenceDate in interface VolatilitySurface
      Returns:
      The date identified as t=0.
    • toString

      public String toString()
      Overrides:
      toString in class Object
    • clone

      public Object clone() throws CloneNotSupportedException
      Overrides:
      clone in class Object
      Throws:
      CloneNotSupportedException
    • getQuotingConvention

      public VolatilitySurface.QuotingConvention getQuotingConvention()
      Description copied from interface: VolatilitySurface
      Return the default quoting convention of this surface.
      Specified by:
      getQuotingConvention in interface VolatilitySurface
      Returns:
      the quotingConvention
    • convertFromTo

      public double convertFromTo(AnalyticModel model, double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)
      Convert the value of a caplet from one quoting convention to another quoting convention.
      Parameters:
      model - An analytic model providing the context when fetching required market date.
      optionMaturity - Option maturity of the caplet.
      optionStrike - Option strike of the caplet.
      value - Value of the caplet given in the form of fromQuotingConvention.
      fromQuotingConvention - The quoting convention of the given value.
      toQuotingConvention - The quoting convention requested.
      Returns:
      Value of the caplet given in the form of toQuotingConvention.
    • convertFromTo

      public double convertFromTo(double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention)
      Convert the value of a caplet from one quoting convention to another quoting convention.
      Parameters:
      optionMaturity - Option maturity of the caplet.
      optionStrike - Option strike of the caplet.
      value - Value of the caplet given in the form of fromQuotingConvention.
      fromQuotingConvention - The quoting convention of the given value.
      toQuotingConvention - The quoting convention requested.
      Returns:
      Value of the caplet given in the form of toQuotingConvention.
    • getForwardCurve

      public ForwardCurve getForwardCurve()
    • getDiscountCurve

      public DiscountCurve getDiscountCurve()
    • getDaycountConvention

      public DayCountConvention getDaycountConvention()