Package 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.

See: Description

Interface Summary

Interface	Description
AbstractSwaptionMarketData	Basic interface to be implemented by classes providing swaption market data.
VolatilitySurface	Interface for classes representing a volatility surface, i.e.

Class Summary

Class	Description
AbstractVolatilitySurface	Abstract base class for a volatility surface.
AbstractVolatilitySurfaceParametric	Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
CapletVolatilities	A very simple container for Caplet volatilities.
CapletVolatilitiesParametric	A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametricDisplacedFourParameterAnalytic	A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
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 \( \sigma(t) = (a + b t) \exp(- c t) + d \).
OptionData	An Equity option quote is a function of strike and maturity.
OptionSmileData	A collection of option prices or implied volatilities for a given maturity.
OptionSurfaceData	An option quote surface with the ability to query option quotes for different strikes and maturities.
SwaptionDataLattice	Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
SwaptionMarketData	Simple swaption market data class.

Enum Summary

Enum	Description
SwaptionDataLattice.QuotingConvention	Quoting convention for swaption data in a lattice.
VolatilitySurface.QuotingConvention	Quoting conventions.

Package net.finmath.marketdata.model.volatilities Description

Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities. Volatility surfaces are mappings (t,K) → f(t,K), usually given by a discrete set of points and an interpolation and extrapolation method or a functional form (like the SABR model).

Author:

Christian Fries