Class OptionSurfaceDataInterpolated

java.lang.Object

net.finmath.marketdata.model.volatilities.OptionSurfaceData

net.finmath.marketdata.model.volatilities.OptionSurfaceDataInterpolated

All Implemented Interfaces:

VolatilitySurface

public class OptionSurfaceDataInterpolated
extends OptionSurfaceData
implements VolatilitySurface

An interpolated equity option surface based on irregular option quotes.

The class extends OptionSurfaceData by adding finmath-native interpolation and quoting-convention conversion. The underlying market data may be supplied either as individual OptionData quotes or as OptionSmileData objects.

The surface does not assume a rectangular grid. Different maturities may have different strike grids and different numbers of option quotes.

Internally, the market data are represented as nodal points (maturity, strike, value). The sorted representation is ordered by maturity first and by strike within maturity. The interpolated value at (T,K) is obtained by:

1. interpolating each maturity smile in strike at K;
2. interpolating the resulting values in maturity at T.

This class is intentionally responsible only for interpolation and quoting-convention conversion.

Author:

Alessandro Gnoatto

Nested Class Summary

Nested classes/interfaces inherited from interface VolatilitySurface

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
OptionSurfaceDataInterpolated(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from individual option quotes.
OptionSurfaceDataInterpolated(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from individual option quotes.
OptionSurfaceDataInterpolated(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from option smiles.
OptionSurfaceDataInterpolated(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from option smiles.

Method Summary

Modifier and Type	Method	Description
OptionSurfaceDataInterpolated	getCloneForQuotingConvention(VolatilitySurface.QuotingConvention newQuotingConvention)	Creates a clone of this surface with another quoting convention.
double	getInterpolatedValue(double maturity, double strike)	Returns the interpolated value in the surface's native quoting convention.
double[]	getMaturities()	Returns the sorted unique maturities.
RationalFunctionInterpolation.ExtrapolationMethod	getMaturityExtrapolationMethod()	Returns the extrapolation method in maturity direction.
RationalFunctionInterpolation.InterpolationMethod	getMaturityInterpolationMethod()	Returns the interpolation method in maturity direction.
double[]	getNodeMaturities()	Returns the flattened node maturities.
double[]	getNodeStrikes()	Returns the flattened node strikes.
double[]	getNodeValues()	Returns the flattened node values in the native quoting convention.
OptionSmileData[]	getSmiles()	Returns the sorted smiles used by this surface.
RationalFunctionInterpolation.ExtrapolationMethod	getStrikeExtrapolationMethod()	Returns the extrapolation method in strike direction.
RationalFunctionInterpolation.InterpolationMethod	getStrikeInterpolationMethod()	Returns the interpolation method in strike direction.
double	getValue(double maturity, double strike)	Returns the value in the default quoting convention of the surface.
double	getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the value in the requested quoting convention.
double	getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the value in the requested quoting convention.
static OptionSurfaceDataInterpolated	of(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted individual option quotes.
static OptionSurfaceDataInterpolated	of(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from sorted individual option quotes.
static OptionSurfaceDataInterpolated	of(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted option smiles.
static OptionSurfaceDataInterpolated	of(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from sorted option smiles.
static OptionSurfaceDataInterpolated	ofUnsorted(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted individual option quotes.
static OptionSurfaceDataInterpolated	ofUnsorted(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from unsorted individual option quotes.
static OptionSurfaceDataInterpolated	ofUnsorted(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted option smiles.
static OptionSurfaceDataInterpolated	ofUnsorted(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from unsorted option smiles.

Methods inherited from class OptionSurfaceData

getDiscountCurve, getEquityForwardCurve, getName, getQuotingConvention, getReferenceDate, getSmile, getSurface

Methods inherited from class Object

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

Methods inherited from interface VolatilitySurface

getName, getQuotingConvention, getReferenceDate

Constructor Details

OptionSurfaceDataInterpolated

public OptionSurfaceDataInterpolated(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from individual option quotes.

The input quotes are required to be sorted by maturity and by strike within each maturity. Use ofUnsorted(OptionData[], DiscountCurve, DiscountCurve) if the input quotes are not sorted.

Parameters:

optionQuotes - The individual option quotes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

OptionSurfaceDataInterpolated

public OptionSurfaceDataInterpolated(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from individual option quotes.

The input quotes are required to be sorted by maturity and by strike within each maturity. Use ofUnsorted(OptionData[], DiscountCurve, DiscountCurve, InterpolationMethod, ExtrapolationMethod, InterpolationMethod, ExtrapolationMethod) if the input quotes are not sorted.

Parameters:

optionQuotes - The individual option quotes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

OptionSurfaceDataInterpolated

public OptionSurfaceDataInterpolated(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from option smiles.

The input smiles are required to be sorted by maturity. The strikes inside each smile are required to be sorted increasingly and to be unique. Use ofUnsorted(OptionSmileData[], DiscountCurve, DiscountCurve) if the input smiles or strikes are not sorted.

Parameters:

smiles - The option smiles.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

OptionSurfaceDataInterpolated

public OptionSurfaceDataInterpolated(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from option smiles.

The input smiles are required to be sorted by maturity. The strikes inside each smile are required to be sorted increasingly and to be unique. Use ofUnsorted(OptionSmileData[], DiscountCurve, DiscountCurve, InterpolationMethod, ExtrapolationMethod, InterpolationMethod, ExtrapolationMethod) if the input smiles or strikes are not sorted.

Parameters:

smiles - The option smiles.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

Method Details

of

public static OptionSurfaceDataInterpolated of(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from sorted individual option quotes.

Parameters:

optionQuotes - The individual option quotes, sorted by maturity and strike.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

Returns:

The interpolated option surface.

of

public static OptionSurfaceDataInterpolated of(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from sorted individual option quotes.

Parameters:

optionQuotes - The individual option quotes, sorted by maturity and strike.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

Returns:

The interpolated option surface.

ofUnsorted

public static OptionSurfaceDataInterpolated ofUnsorted(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from unsorted individual option quotes.

The input quotes are sorted by maturity and by strike within maturity. Duplicate nodes are not allowed.

Parameters:

optionQuotes - The individual option quotes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

Returns:

The interpolated option surface.

ofUnsorted

public static OptionSurfaceDataInterpolated ofUnsorted(OptionData[] optionQuotes,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from unsorted individual option quotes.

The input quotes are sorted by maturity and by strike within maturity. Duplicate nodes are not allowed.

Parameters:

optionQuotes - The individual option quotes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

Returns:

The interpolated option surface.

of

public static OptionSurfaceDataInterpolated of(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from sorted option smiles.

Parameters:

smiles - The option smiles, sorted by maturity and with sorted strikes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

Returns:

The interpolated option surface.

of

public static OptionSurfaceDataInterpolated of(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from sorted option smiles.

Parameters:

smiles - The option smiles, sorted by maturity and with sorted strikes.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

Returns:

The interpolated option surface.

ofUnsorted

public static OptionSurfaceDataInterpolated ofUnsorted(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve)

Creates an interpolated surface from unsorted option smiles.

The smiles are sorted by maturity and the strikes inside each smile are sorted increasingly. Duplicate maturities or duplicate strikes inside a smile are not allowed.

Parameters:

smiles - The option smiles.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

Returns:

The interpolated option surface.

ofUnsorted

public static OptionSurfaceDataInterpolated ofUnsorted(OptionSmileData[] smiles,
 DiscountCurve discountCurve,
 DiscountCurve equityForwardCurve,
 RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod,
 RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod,
 RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)

Creates an interpolated surface from unsorted option smiles.

The smiles are sorted by maturity and the strikes inside each smile are sorted increasingly. Duplicate maturities or duplicate strikes inside a smile are not allowed.

Parameters:

smiles - The option smiles.

discountCurve - The discount curve.

equityForwardCurve - The equity forward curve.

strikeInterpolationMethod - The interpolation method in strike direction.

strikeExtrapolationMethod - The extrapolation method in strike direction.

maturityInterpolationMethod - The interpolation method in maturity direction.

maturityExtrapolationMethod - The extrapolation method in maturity direction.

Returns:

The interpolated option surface.

getValue

public double getValue(double maturity,
 double strike)

Returns the value in the default quoting convention of the surface.

Overrides:

getValue in class OptionSurfaceData

Parameters:

maturity - The option maturity.

strike - The option strike.

Returns:

The interpolated value.

getValue

public double getValue(double maturity,
 double strike,
 VolatilitySurface.QuotingConvention quotingConvention)

Returns the value in the requested quoting convention.

Specified by:

getValue in interface VolatilitySurface

Overrides:

getValue in class OptionSurfaceData

Parameters:

maturity - The option maturity.

strike - The option strike.

quotingConvention - The requested quoting convention.

Returns:

The interpolated and, if necessary, converted value.

getValue

public double getValue(AnalyticModel model,
 double maturity,
 double strike,
 VolatilitySurface.QuotingConvention quotingConvention)

Returns the value in the requested quoting convention.

The model argument is currently not used, since the discount curve and the equity forward curve are stored in the surface.

Specified by:

getValue in interface VolatilitySurface

Overrides:

getValue in class OptionSurfaceData

Parameters:

model - An analytic model.

maturity - The option maturity.

strike - The option strike.

quotingConvention - The requested quoting convention.

Returns:

The interpolated and, if necessary, converted value.

getInterpolatedValue

public double getInterpolatedValue(double maturity,
 double strike)

Returns the interpolated value in the surface's native quoting convention.

Parameters:

maturity - The option maturity.

strike - The option strike.

Returns:

The interpolated value in the surface's native quoting convention.

getCloneForQuotingConvention

public OptionSurfaceDataInterpolated getCloneForQuotingConvention(VolatilitySurface.QuotingConvention newQuotingConvention)

Creates a clone of this surface with another quoting convention.

The conversion is performed at the original surface nodes. The interpolation settings are preserved.

Parameters:

newQuotingConvention - The new quoting convention.

Returns:

A surface with the requested quoting convention.

getSmiles

public OptionSmileData[] getSmiles()

Returns the sorted smiles used by this surface.

Returns:

The sorted smiles.

getNodeMaturities

public double[] getNodeMaturities()

Returns the flattened node maturities.

Returns:

The node maturities.

getNodeStrikes

public double[] getNodeStrikes()

Returns the flattened node strikes.

Returns:

The node strikes.

getNodeValues

public double[] getNodeValues()

Returns the flattened node values in the native quoting convention.

Returns:

The node values.

getMaturities

public double[] getMaturities()

Returns the sorted unique maturities.

Overrides:

getMaturities in class OptionSurfaceData

Returns:

The sorted unique maturities.

getStrikeInterpolationMethod

public RationalFunctionInterpolation.InterpolationMethod getStrikeInterpolationMethod()

Returns the interpolation method in strike direction.

Returns:

The strike interpolation method.

getStrikeExtrapolationMethod

public RationalFunctionInterpolation.ExtrapolationMethod getStrikeExtrapolationMethod()

Returns the extrapolation method in strike direction.

Returns:

The strike extrapolation method.

getMaturityInterpolationMethod

public RationalFunctionInterpolation.InterpolationMethod getMaturityInterpolationMethod()

Returns the interpolation method in maturity direction.

Returns:

The maturity interpolation method.

getMaturityExtrapolationMethod

public RationalFunctionInterpolation.ExtrapolationMethod getMaturityExtrapolationMethod()

Returns the extrapolation method in maturity direction.

Returns:

The maturity extrapolation method.