Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet.smile

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 Summary

Constructors

Constructor	Description
LinearSmileInterpolater(double[][] volatilityMatrix, double[] strikeVector)

Method Summary

Modifier and Type	Method	Description
double	calculateInterpolatedExtrapolatedSmileVolatility(double strike, int rowIndex)	Method that returns the linearly interpolated or constantly extrapolated volatility for a given strike and row index.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

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.