Uses of Class
net.finmath.marketdata.model.volatilities.OptionSurfaceDataInterpolated

Packages that use OptionSurfaceDataInterpolated

Package	Description
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.

Uses of OptionSurfaceDataInterpolated in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return OptionSurfaceDataInterpolated

Modifier and Type	Method	Description
OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.getCloneForQuotingConvention(VolatilitySurface.QuotingConvention newQuotingConvention)	Creates a clone of this surface with another quoting convention.
OptionSurfaceDataInterpolated	DupireLocalVolatility.getFormulaSurface()	Returns the surface actually used by the formula.
OptionSurfaceDataInterpolated	DupireLocalVolatility.getQuoteSurface()	Returns the input quote surface.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.of(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted individual option quotes.
static OptionSurfaceDataInterpolated	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	OptionSurfaceDataInterpolated.of(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted option smiles.
static OptionSurfaceDataInterpolated	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	OptionSurfaceDataInterpolated.ofUnsorted(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted individual option quotes.
static OptionSurfaceDataInterpolated	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	OptionSurfaceDataInterpolated.ofUnsorted(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted option smiles.
static OptionSurfaceDataInterpolated	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.

Constructors in net.finmath.marketdata.model.volatilities with parameters of type OptionSurfaceDataInterpolated

Modifier	Constructor	Description
	DupireLocalVolatility(OptionSurfaceDataInterpolated quoteSurface)	Creates a Dupire local volatility provider using automatic formula selection.
	DupireLocalVolatility(OptionSurfaceDataInterpolated quoteSurface, DupireLocalVolatility.LocalVolatilityFormula formula)	Creates a Dupire local volatility provider using the selected formula.
	DupireLocalVolatility(OptionSurfaceDataInterpolated quoteSurface, DupireLocalVolatility.LocalVolatilityFormula formula, double timeEpsilon, double strikeEpsilonFactor, double varianceFloor, DupireLocalVolatility.NegativeLocalVarianceHandling negativeLocalVarianceHandling)	Creates a Dupire local volatility provider.