Class ConstantLocalVolatility

java.lang.Object

net.finmath.marketdata.model.volatilities.ConstantLocalVolatility

All Implemented Interfaces:

LocalVolatility

public class ConstantLocalVolatility
extends Object
implements LocalVolatility

Constant local volatility, representing the classical Black-Scholes case.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
ConstantLocalVolatility(double volatility)	Creates a constant local volatility.

Method Summary

Modifier and Type	Method	Description
double	getValue(double time, double assetValue)	Returns the local volatility sigma(t, S).
double	getVolatility()	Returns the constant volatility.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface LocalVolatility

getLocalVolatility, getLocalVolatility, getValue

Constructor Details

ConstantLocalVolatility

public ConstantLocalVolatility(double volatility)

Creates a constant local volatility.

Parameters:

volatility - The volatility.

Method Details

getValue

public double getValue(double time,
 double assetValue)

Description copied from interface: LocalVolatility

Returns the local volatility sigma(t, S).

Specified by:

getValue in interface LocalVolatility

Parameters:

time - The evaluation time.

assetValue - The asset value.

Returns:

The local volatility.

getVolatility

public double getVolatility()

Returns the constant volatility.

Returns:

The volatility.