Module net.finmath.lib
Package net.finmath.modelling.products

Enum Swaption.ValueUnit

java.lang.Object
java.lang.Enum<Swaption.ValueUnit>
net.finmath.modelling.products.Swaption.ValueUnit
All Implemented Interfaces:
Serializable, Comparable<Swaption.ValueUnit>, java.lang.constant.Constable
Enclosing interface:
Swaption
public static enum Swaption.ValueUnit extends Enum<Swaption.ValueUnit>
Swaptions specific value units, like swaption implied volatilities.
Author:
Christian Fries

  • Enum Constant Details

    • VALUE

      public static final Swaption.ValueUnit VALUE
      Returns the value of the swaption.

    • INTEGRATEDVARIANCELOGNORMAL

      public static final Swaption.ValueUnit INTEGRATEDVARIANCELOGNORMAL
      Returns the Black-Scholes implied integrated variance, i.e., σ2 T.

    • INTEGRATEDLOGNORMALVARIANCE

      public static final Swaption.ValueUnit INTEGRATEDLOGNORMALVARIANCE
      Deprecated.
      Use INTEGRATEDVARIANCELOGNORMAL instead.
      Returns the Black-Scholes implied integrated variance, i.e., σ2 T.

    • VOLATILITYLOGNORMAL

      public static final Swaption.ValueUnit VOLATILITYLOGNORMAL
      Returns the Black-Scholes implied volatility, i.e., σ.

    • INTEGRATEDVARIANCENORMAL

      public static final Swaption.ValueUnit INTEGRATEDVARIANCENORMAL
      Returns the Bachelier implied integrated variance, i.e., σ2 T.

    • INTEGRATEDNORMALVARIANCE

      public static final Swaption.ValueUnit INTEGRATEDNORMALVARIANCE
      Deprecated.
      Use INTEGRATEDVARIANCENORMAL instead.
      Returns the Bachelier implied integrated variance, i.e., σ2 T.

    • VOLATILITYNORMAL

      public static final Swaption.ValueUnit VOLATILITYNORMAL
      Returns the Bachelier implied volatility, i.e., σ.

    • INTEGRATEDVARIANCE

      public static final Swaption.ValueUnit INTEGRATEDVARIANCE
      Deprecated.
      Use INTEGRATEDVARIANCELOGNORMAL instead
      Returns the Black-Scholes implied integrated variance, i.e., σ2 T.

    • VOLATILITY

      public static final Swaption.ValueUnit VOLATILITY
      Deprecated.
      Use VOLATILITYLOGNORMAL instead
      Returns the Black-Scholes implied volatility, i.e., σ.

    • VOLATILITYNORMALATM

      public static final Swaption.ValueUnit VOLATILITYNORMALATM
      The Bachelier implied volatility, assuming an ATM option. The value is obtained by multiplying VALUE with 1.0 / Math.sqrt(optionMaturity / Math.PI / 2.0) / annuity.

  • Method Details

    • values

      public static Swaption.ValueUnit[] values()
      Returns an array containing the constants of this enum type, in the order they are declared.
      Returns:
      an array containing the constants of this enum type, in the order they are declared

    • valueOf

      public static Swaption.ValueUnit valueOf​(String name)
      Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)
      Parameters:
      name - the name of the enum constant to be returned.
      Returns:
      the enum constant with the specified name
      Throws:
      IllegalArgumentException - if this enum type has no constant with the specified name
      NullPointerException - if the argument is null