public class EuropeanOptionSmileByCarrMadan extends EuropeanOptionSmile
Constructor and Description |
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EuropeanOptionSmileByCarrMadan(double maturity,
double[] strikes) |
EuropeanOptionSmileByCarrMadan(String underlyingName,
double maturity,
double[] strikes) |
EuropeanOptionSmileByCarrMadan(String underlyingName,
double maturity,
double[] strikes,
int numberOfPoints,
double gridSpacing,
RationalFunctionInterpolation.InterpolationMethod intMethod,
RationalFunctionInterpolation.ExtrapolationMethod extMethod) |
Modifier and Type | Method and Description |
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EuropeanOptionSmile |
getCloneWithModifiedParameters(double maturity,
double[] strikes)
Returns the same valuation method for different parameters (maturity and strikes).
|
Map<String,Function<Double,Double>> |
getValue(double evaluationTime,
CharacteristicFunctionModel model)
Return the value of a family of options with the same maturity for different strikes.
|
apply, getDescriptor, getDescriptors, getIntegrationDomainImagLowerBound, getIntegrationDomainImagUpperBound, getMaturity, getStrikes, getUnderlyingName
public EuropeanOptionSmileByCarrMadan(double maturity, double[] strikes)
public EuropeanOptionSmileByCarrMadan(String underlyingName, double maturity, double[] strikes)
public EuropeanOptionSmileByCarrMadan(String underlyingName, double maturity, double[] strikes, int numberOfPoints, double gridSpacing, RationalFunctionInterpolation.InterpolationMethod intMethod, RationalFunctionInterpolation.ExtrapolationMethod extMethod)
public Map<String,Function<Double,Double>> getValue(double evaluationTime, CharacteristicFunctionModel model) throws CalculationException
SmileByIntegralTransform
getValue
in interface SmileByIntegralTransform
getValue
in class EuropeanOptionSmile
evaluationTime
- The evaluation time.model
- The model against which the product should be values.CalculationException
- Thrown if the valuation failed.public EuropeanOptionSmile getCloneWithModifiedParameters(double maturity, double[] strikes)
EuropeanOptionSmile
getCloneWithModifiedParameters
in class EuropeanOptionSmile
maturity
- The new maturity.strikes
- The new strikes.Copyright © 2019. All rights reserved.