Module net.finmath.lib
Package net.finmath.marketdata.model.volatilities
package 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.
Volatility surfaces are mappings (t,K) → f(t,K), usually given by a discrete
set of points and an interpolation and extrapolation method or a functional form
(like the SABR model).
- Author:
- Christian Fries
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Interface SummaryInterfaceDescriptionBasic interface to be implemented by classes providing swaption market data.Interface for classes representing a volatility surface, i.e.
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Class SummaryClassDescriptionAbstract base class for a volatility surface.Base class for parametric volatility surfaces, implementing a generic calibration algorithm.A very simple container for Caplet volatilities.A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).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 \( \sigma(t) = (a + b t) \exp(- c t) + d \).An Equity option quote is a function of strike and maturity.A collection of option prices or implied volatilities for a given maturity.An option quote surface with the ability to query option quotes for different strikes and maturities.Simple swaption market data class.Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
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Enum SummaryEnumDescriptionQuoting convention for swaption data in a lattice.Quoting conventions.