Uses of Interface
net.finmath.marketdata.model.volatilities.VolatilitySurface
Package
Description
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Provides interface separating implementation from specification (of models and products)
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Uses of VolatilitySurface in net.finmath.marketdata.model
Modifier and TypeMethodDescriptionAnalyticModel.getVolatilitySurface
(String name) Returns a volatility surface for a given name.AnalyticModelFromCurvesAndVols.getVolatilitySurface
(String name) Modifier and TypeMethodDescriptionAnalyticModel.getVolatilitySurfaces()
Returns an unmodifiable map of all volatility surfaces.AnalyticModelFromCurvesAndVols.getVolatilitySurfaces()
Modifier and TypeMethodDescriptionAnalyticModelFromCurvesAndVols.addVolatilitySurface
(VolatilitySurface volatilitySurface) AnalyticModel.addVolatilitySurfaces
(VolatilitySurface... volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.AnalyticModelFromCurvesAndVols.addVolatilitySurfaces
(VolatilitySurface... volatilitySurfaces) Modifier and TypeMethodDescriptionAnalyticModel.addVolatilitySurfaces
(Set<VolatilitySurface> volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.AnalyticModelFromCurvesAndVols.addVolatilitySurfaces
(Set<VolatilitySurface> volatilitySurfaces) -
Uses of VolatilitySurface in net.finmath.marketdata.model.volatilities
Modifier and TypeClassDescriptionclass
Abstract base class for a volatility surface.class
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.class
A very simple container for Caplet volatilities.class
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \). -
Uses of VolatilitySurface in net.finmath.marketdata.model.volatility.caplet
Modifier and TypeClassDescriptionclass
This class implements a caplet volatility surface. -
Uses of VolatilitySurface in net.finmath.modelling.descriptor