net.finmath.marketdata.model.volatilities

Interface AbstractSwaptionMarketData

All Known Implementing Classes:

SwaptionMarketData

public interface AbstractSwaptionMarketData

Basic interface to be implemented by classes providing swaption market data.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
TimeDiscretization	getOptionMaturities()
double	getSwapPeriodLength()
TimeDiscretization	getTenor()
double	getValue(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option price of a swaption for a given option maturity and tenor length.
double	getVolatility(double optionMaturity, double tenorLength, double periodLength, double strike) Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Method Detail

getOptionMaturities

TimeDiscretization getOptionMaturities()

getTenor

TimeDiscretization getTenor()

getSwapPeriodLength

double getSwapPeriodLength()

getValue

double getValue(double optionMaturity,
                double tenorLength,
                double periodLength,
                double strike)

Returns the option price of a swaption for a given option maturity and tenor length.

Parameters:

optionMaturity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The option price.

getVolatility

double getVolatility(double optionMaturity,
                     double tenorLength,
                     double periodLength,
                     double strike)

Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Parameters:

optionMaturity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The implied volatility.