finMath lib documentation
net.finmath.marketdata.model.volatilities

## Class CapletVolatilities

• All Implemented Interfaces:
Cloneable, VolatilitySurface

public class CapletVolatilities
extends AbstractVolatilitySurface
A very simple container for Caplet volatilities. It performs piecewise constant interpolation (discretization) in maturity dimension on iso-moneyness lines and uses the default interpolation from the CurveFromInterpolationPoints class in strike dimension. It allows to convert from several quoting conventions. It needs a forward curve and a discount curve. The tenor length of the Caplet is inferred from the forward curve.
Version:
1.0
Author:
Christian Fries

• ### Nested classes/interfaces inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention

• ### Fields inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

daycountConvention, discountCurve, forwardCurve, quotingConvention
• ### Constructor Summary

Constructors
Constructor and Description
CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
• ### Method Summary

All Methods
Modifier and Type Method and Description
static AbstractVolatilitySurface fromFile(File inputFile)
double getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Returns the price or implied volatility for the corresponding maturity and strike.
double getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Returns the price or implied volatility for the corresponding maturity and strike.
• ### Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getName, getQuotingConvention, getReferenceDate, toString
• ### Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• ### Constructor Detail

• #### CapletVolatilities

public CapletVolatilities(String name,
LocalDate referenceDate,
ForwardCurve forwardCurve,
double[] maturities,
double[] strikes,
double[] volatilities,
VolatilitySurface.QuotingConvention volatilityConvention,
DiscountCurve discountCurve)
Parameters:
name - The name of this volatility surface.
referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.
forwardCurve - The underlying forward curve.
maturities - The vector of maturities of the quotes.
strikes - The vector of strikes of the quotes.
volatilities - The vector of volatilities of the quotes.
volatilityConvention - The quoting convention of the volatilities provided.
discountCurve - The associated discount curve.
• ### Method Detail

• #### getValue

public double getValue(double maturity,
double strike,
VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface: VolatilitySurface
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

public double getValue(AnalyticModel model,
double maturity,
double strike,
VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface: VolatilitySurface
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.
• #### fromFile

public static AbstractVolatilitySurface fromFile(File inputFile)
throws FileNotFoundException
Throws:
FileNotFoundException