Uses of Interface
net.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.

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. This class will become immutable. Use addVolatilitySurface instead.

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)