Class LinearSmileInterpolater

java.lang.Object
net.finmath.marketdata.model.volatility.caplet.smile.LinearSmileInterpolater
All Implemented Interfaces:
SmileInterpolationExtrapolationMethod

public class LinearSmileInterpolater extends Object implements SmileInterpolationExtrapolationMethod
This class implements the smile linearly and extrapolates piecewise constant.
Author:
Daniel Willhalm
  • Constructor Details

    • LinearSmileInterpolater

      public LinearSmileInterpolater(double[][] volatilityMatrix, double[] strikeVector)
  • Method Details

    • calculateInterpolatedExtrapolatedSmileVolatility

      public double calculateInterpolatedExtrapolatedSmileVolatility(double strike, int rowIndex)
      Method that returns the linearly interpolated or constantly extrapolated volatility for a given strike and row index.
      Specified by:
      calculateInterpolatedExtrapolatedSmileVolatility in interface SmileInterpolationExtrapolationMethod
      Parameters:
      strike - The desired strike.
      rowIndex - The desired row index.
      Returns:
      The inter/extrapolated volatility.