net.finmath.marketdata.model.volatilities

Class OptionSurfaceData

java.lang.Object

net.finmath.marketdata.model.volatilities.OptionSurfaceData

public class OptionSurfaceData
extends Object

An option quote surface with the ability to query option quotes for different strikes and maturities. The surface is constructed as a collection of smiles. The choice of this dimension is convenient in view of calibration via FFT methods. This class does not perform any interpolation of market quotes. It merely represents a container of information. The class provides also the ability to perform the conversion among different quoting conventions and hence can be used both for a calibration on prices or implied volatilities. The class currently does not cover normal volatilities. Lognormal volatilities are more common in the equity space. The extension is not problematic.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor and Description
OptionSurfaceData(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve) Creates an equity option surface from an array of smiles.
OptionSurfaceData(String underlying, LocalDate referenceDate, double[] strikes, double[] maturities, double[][] values, VolatilitySurface.QuotingConvention convention, DiscountCurve discountCurve, DiscountCurve equityForwardCurve) This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.

Method Summary

Modifier and Type	Method and Description
DiscountCurve	getDiscountCurve()
DiscountCurve	getEquityForwardCurve()
double[]	getMaturities()
String	getName()
VolatilitySurface.QuotingConvention	getQuotingConvention()
LocalDate	getReferenceDate()
OptionSmileData	getSmile(double maturity)
HashMap<Double,OptionSmileData>	getSurface()
double	getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	getValue(double maturity, double strike)
double	getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)

Methods inherited from class java.lang.Object

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

Constructor Detail

OptionSurfaceData

public OptionSurfaceData(String underlying,
                         LocalDate referenceDate,
                         double[] strikes,
                         double[] maturities,
                         double[][] values,
                         VolatilitySurface.QuotingConvention convention,
                         DiscountCurve discountCurve,
                         DiscountCurve equityForwardCurve)

This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.

Parameters:

underlying - The name of the underlying of this surface.

referenceDate - The reference date for this market data (t=0).

strikes - The vector of strikes.

maturities - The vector of maturities.

values - The matrix of values per (strike, maturity)

convention - The quoting convention (@see net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface.QuotingConvention).

discountCurve - A discount curve for discounting (funding/collateral rate).

equityForwardCurve - A the discount curve for forwarding (repo rate (e.g. funding minus dividents).

OptionSurfaceData

public OptionSurfaceData(OptionSmileData[] smiles,
                         DiscountCurve discountCurve,
                         DiscountCurve equityForwardCurve)

Creates an equity option surface from an array of smiles.

Parameters:

smiles - The option smile data.

discountCurve - A discount curve for discounting (funding/collateral rate).

equityForwardCurve - A the discount curve for forwarding (repo rate (e.g. funding minus dividents).

Method Detail

getDiscountCurve

public DiscountCurve getDiscountCurve()

getEquityForwardCurve

public DiscountCurve getEquityForwardCurve()

getName

public String getName()

getReferenceDate

public LocalDate getReferenceDate()

getQuotingConvention

public VolatilitySurface.QuotingConvention getQuotingConvention()

getSurface

public HashMap<Double,OptionSmileData> getSurface()

getMaturities

public double[] getMaturities()

getValue

public double getValue(double maturity,
                       double strike)

getValue

public double getValue(double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

getValue

public double getValue(AnalyticModel model,
                       double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

getSmile

public OptionSmileData getSmile(double maturity)