Interface VolatilitySurface

All Known Implementing Classes:
AbstractVolatilitySurface

public interface VolatilitySurface
Interface for classes representing a volatility surface, i.e. European option prices.
Version:
1.0
Author:
Christian Fries
  • Method Details

    • getName

      String getName()
      Returns the name of the volatility surface.
      Returns:
      The name of the volatility surface.
    • getReferenceDate

      LocalDate getReferenceDate()
      Return the reference date of this surface, i.e. the date associated with t=0.
      Returns:
      The date identified as t=0.
    • getValue

      double getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Returns the price or implied volatility for the corresponding maturity and strike.
      Parameters:
      maturity - The option maturity for which the price or implied volatility is requested.
      strike - The option strike for which the price or implied volatility is requested.
      quotingConvention - The quoting convention to be used for the return value.
      Returns:
      The price or implied volatility depending on the quoting convention.
    • getValue

      double getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Returns the price or implied volatility for the corresponding maturity and strike.
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (may be null).
      maturity - The option maturity for which the price or implied volatility is requested.
      strike - The option strike for which the price or implied volatility is requested.
      quotingConvention - The quoting convention to be used for the return value.
      Returns:
      The price or implied volatility depending on the quoting convention.
    • getQuotingConvention

      VolatilitySurface.QuotingConvention getQuotingConvention()
      Return the default quoting convention of this surface.
      Returns:
      the quotingConvention