finMath lib documentation

Uses of Interfacenet.finmath.marketdata.model.volatilities.VolatilitySurface

• Packages that use VolatilitySurface
Package Description
net.finmath.marketdata.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.volatilities
Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.modelling.descriptor
Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.modelfactory
Provides classes to build models from descriptors.
net.finmath.singleswaprate.model
Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
• Uses of VolatilitySurface in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return VolatilitySurface
Modifier and Type Method and Description
VolatilitySurface AnalyticModel.getVolatilitySurface(String name)
Returns a volatility surface for a given name.
VolatilitySurface AnalyticModelFromCurvesAndVols.getVolatilitySurface(String name)
Methods in net.finmath.marketdata.model that return types with arguments of type VolatilitySurface
Modifier and Type Method and Description
Map<String,VolatilitySurface> AnalyticModel.getVolatilitySurfaces()
Returns an unmodifiable map of all volatility surfaces.
Map<String,VolatilitySurface> AnalyticModelFromCurvesAndVols.getVolatilitySurfaces()
Methods in net.finmath.marketdata.model with parameters of type VolatilitySurface
Modifier and Type Method and Description
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurface(VolatilitySurface volatilitySurface)
AnalyticModel AnalyticModel.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
void AnalyticModel.setVolatilitySurface(VolatilitySurface volatilitySurface)
Deprecated.
void AnalyticModelFromCurvesAndVols.setVolatilitySurface(VolatilitySurface volatilitySurface)
Deprecated.
Method parameters in net.finmath.marketdata.model with type arguments of type VolatilitySurface
Modifier and Type Method and Description
AnalyticModel AnalyticModel.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
Constructor parameters in net.finmath.marketdata.model with type arguments of type VolatilitySurface
Constructor and Description
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)
Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
• Uses of VolatilitySurface in net.finmath.marketdata.model.volatilities

Classes in net.finmath.marketdata.model.volatilities that implement VolatilitySurface
Modifier and Type Class and Description
class  AbstractVolatilitySurface
Abstract base class for a volatility surface.
class  AbstractVolatilitySurfaceParametric
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
class  CapletVolatilities
A very simple container for Caplet volatilities.
class  CapletVolatilitiesParametric
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
class  CapletVolatilitiesParametricDisplacedFourParameterAnalytic
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
class  CapletVolatilitiesParametricFourParameterPicewiseConstant
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by $$\sigma(t) = (a + b t) \exp(- c t) + d$$.
• Uses of VolatilitySurface in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return types with arguments of type VolatilitySurface
Modifier and Type Method and Description
Map<String,VolatilitySurface> AnalyticModelDescriptor.getVolatilitySurfaceMap()
Constructor parameters in net.finmath.modelling.descriptor with type arguments of type VolatilitySurface
Constructor and Description
AnalyticModelDescriptor(LocalDate referenceDate, Collection<Curve> curves, Collection<VolatilitySurface> surfaces)
Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
AnalyticModelDescriptor(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)
Construct an AnalyticModelDescriptor holding copies of the maps provided.
• Uses of VolatilitySurface in net.finmath.modelling.modelfactory

Constructor parameters in net.finmath.modelling.modelfactory with type arguments of type VolatilitySurface
Constructor and Description
DescribedAnalyticModel(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)
• Uses of VolatilitySurface in net.finmath.singleswaprate.model

Constructor parameters in net.finmath.singleswaprate.model with type arguments of type VolatilitySurface
Constructor and Description
AnalyticModelWithVolatilityCubes(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap, Map<String,VolatilityCube> volatilityCubeMap)
Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, each with their specific name.