net.finmath.marketdata.model.volatilities

Class OptionSmileData

java.lang.Object

net.finmath.marketdata.model.volatilities.OptionSmileData

public class OptionSmileData
extends Object

A collection of option prices or implied volatilities for a given maturity. This object is natural in conjunction with FFT methods that run over a whole smile for a fixed maturity.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor and Description
OptionSmileData(String underlying, LocalDate referenceDate, double[] strikes, double maturity, double[] values, VolatilitySurface.QuotingConvention convention)

Method Summary

Modifier and Type	Method and Description
double	getMaturity()
OptionData	getOption(double strike)
LocalDate	getReferenceDate()
HashMap<Double,OptionData>	getSmile()
double[]	getStrikes()
String	getUnderlying()
String	toString()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

OptionSmileData

public OptionSmileData(String underlying,
                       LocalDate referenceDate,
                       double[] strikes,
                       double maturity,
                       double[] values,
                       VolatilitySurface.QuotingConvention convention)

Method Detail

getUnderlying

public String getUnderlying()

getReferenceDate

public LocalDate getReferenceDate()

getStrikes

public double[] getStrikes()

getMaturity

public double getMaturity()

getSmile

public HashMap<Double,OptionData> getSmile()

getOption

public OptionData getOption(double strike)

toString

public String toString()

Overrides:

toString in class Object