Enum DupireLocalVolatility.LocalVolatilityFormula

java.lang.Object

java.lang.Enum<DupireLocalVolatility.LocalVolatilityFormula>

net.finmath.marketdata.model.volatilities.DupireLocalVolatility.LocalVolatilityFormula

All Implemented Interfaces:

Serializable, Comparable<DupireLocalVolatility.LocalVolatilityFormula>, java.lang.constant.Constable

Enclosing class:

DupireLocalVolatility

public static enum DupireLocalVolatility.LocalVolatilityFormula
extends Enum<DupireLocalVolatility.LocalVolatilityFormula>

Formula used to compute the local volatility.

Author:

Alessandro Gnoatto

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
AUTOMATIC	Infer the formula from the surface quoting convention.
DUPIRE_FROM_PRICES	Use Dupire's formula from option prices.
GATHERAL_FROM_IMPLIED_VOLATILITIES	Use Gatheral's formula from Black-Scholes implied lognormal volatilities.

Method Summary

Modifier and Type	Method	Description
static DupireLocalVolatility.LocalVolatilityFormula	valueOf(String name)	Returns the enum constant of this type with the specified name.
static DupireLocalVolatility.LocalVolatilityFormula[]	values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

AUTOMATIC

public static final DupireLocalVolatility.LocalVolatilityFormula AUTOMATIC

Infer the formula from the surface quoting convention.

DUPIRE_FROM_PRICES

public static final DupireLocalVolatility.LocalVolatilityFormula DUPIRE_FROM_PRICES

Use Dupire's formula from option prices.

GATHERAL_FROM_IMPLIED_VOLATILITIES

public static final DupireLocalVolatility.LocalVolatilityFormula GATHERAL_FROM_IMPLIED_VOLATILITIES

Use Gatheral's formula from Black-Scholes implied lognormal volatilities.

Method Details

values

public static DupireLocalVolatility.LocalVolatilityFormula[] values()

Returns an array containing the constants of this enum type, in the order they are declared.

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static DupireLocalVolatility.LocalVolatilityFormula valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null