Enum DupireLocalVolatility.NegativeLocalVarianceHandling

java.lang.Object

java.lang.Enum<DupireLocalVolatility.NegativeLocalVarianceHandling>

net.finmath.marketdata.model.volatilities.DupireLocalVolatility.NegativeLocalVarianceHandling

All Implemented Interfaces:

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

Enclosing class:

DupireLocalVolatility

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

Policy for negative or numerically unstable local variances.

Author:

Alessandro Gnoatto

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
ABSOLUTE_VALUE	Take the absolute value.
FLOOR_AT_ZERO	Replace negative values by a variance floor.
THROW_EXCEPTION	Throw an exception if the local variance is below the floor.

Method Summary

Modifier and Type	Method	Description
static DupireLocalVolatility.NegativeLocalVarianceHandling	valueOf(String name)	Returns the enum constant of this type with the specified name.
static DupireLocalVolatility.NegativeLocalVarianceHandling[]	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

FLOOR_AT_ZERO

public static final DupireLocalVolatility.NegativeLocalVarianceHandling FLOOR_AT_ZERO

Replace negative values by a variance floor.

ABSOLUTE_VALUE

public static final DupireLocalVolatility.NegativeLocalVarianceHandling ABSOLUTE_VALUE

Take the absolute value. This reproduces the behavior of the original prototype but may hide arbitrage or interpolation issues.

THROW_EXCEPTION

public static final DupireLocalVolatility.NegativeLocalVarianceHandling THROW_EXCEPTION

Throw an exception if the local variance is below the floor.

Method Details

values

public static DupireLocalVolatility.NegativeLocalVarianceHandling[] 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.NegativeLocalVarianceHandling 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