Module net.finmath.lib
Interface SwaptionMarketData
- All Known Implementing Classes:
SwaptionATMMarketDataFromArray
public interface SwaptionMarketData
Basic interface to be implemented by classes
providing swaption market data.
- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
Modifier and TypeMethodDescriptiondouble
getTenor()
double
getValue
(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option price of a swaption for a given option maturity and tenor length.double
getVolatility
(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option implied volatility of a swaption for a given option maturity and tenor length.
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Method Details
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getOptionMaturities
TimeDiscretization getOptionMaturities() -
getTenor
TimeDiscretization getTenor() -
getSwapPeriodLength
double getSwapPeriodLength() -
getValue
double getValue(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option price of a swaption for a given option maturity and tenor length.- Parameters:
optionMaturity
- The option maturity.tenorLength
- The tenor length.periodLength
- The period length of the floating rate period.strike
- The strike (swap) rate.- Returns:
- The option price.
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getVolatility
double getVolatility(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option implied volatility of a swaption for a given option maturity and tenor length.- Parameters:
optionMaturity
- The option maturity.tenorLength
- The tenor length.periodLength
- The period length of the floating rate period.strike
- The strike (swap) rate.- Returns:
- The implied volatility.
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