org.drip.analytics.support

Class OptionHelper

java.lang.Object

org.drip.analytics.support.OptionHelper

public class OptionHelper
extends java.lang.Object

OptionHelper contains the collection of the option valuation related utility functions used by the modules.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OptionHelper()

Method Summary

Modifier and Type	Method and Description
static double	IntegratedCrossVolQuanto(CurveSurfaceQuoteContainer csqs, java.lang.String strCustomMetricLabel1, java.lang.String strCustomMetricLabel2, int iStartDate, int iEndDate) Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves and the date spans
static double	IntegratedCrossVolQuanto(VolatilityCurve vc1, VolatilityCurve vc2, R1ToR1 r1r1Correlation, int iStartDate, int iEndDate) Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation curves, and the date spans
static double	IntegratedFRACrossVolConvexityAdjuster(CurveSurfaceQuoteContainer csqs, ForwardLabel forwardLabel, FundingLabel fundingLabel, double dblForwardShiftedLogNormalScaler, double dblFundingShiftedLogNormalScaler, int iStartDate, int iEndDate) Compute the Integrated FRA Cross Volatility Convexity Adjuster given the corresponding volatility and the correlation Curves and the date spans
static double	IntegratedFRACrossVolConvexityExponent(VolatilityCurve vcForward, VolatilityCurve vcFunding, R1ToR1 r1r1ForwardFundingCorrelation, double dblForwardShiftedLogNormalScaler, double dblFundingShiftedLogNormalScaler, int iStartDate, int iEndDate) Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and the correlation Curves, and the date spans
static double	IntegratedSurfaceVariance(CurveSurfaceQuoteContainer csqs, java.lang.String strCustomMetricLabel, int iStartDate, int iEndDate) Compute the Integrated Surface Variance given the corresponding volatility and the date spans
static double	IntegratedSurfaceVariance(VolatilityCurve vc, int iStartDate, int iEndDate) Compute the Integrated Surface Variance given the corresponding volatility and the date spans
static double	MultiplicativeCrossVolQuanto(CurveSurfaceQuoteContainer csqs, java.lang.String strCustomMetricLabel1, java.lang.String strCustomMetricLabel2, int iStartDate, int iEndDate) Compute the Multiplicative Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves, and the date spans

Methods inherited from class java.lang.Object

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

Constructor Detail

OptionHelper

public OptionHelper()

Method Detail

IntegratedSurfaceVariance

public static final double IntegratedSurfaceVariance(CurveSurfaceQuoteContainer csqs,
                                                     java.lang.String strCustomMetricLabel,
                                                     int iStartDate,
                                                     int iEndDate)
                                              throws java.lang.Exception

Compute the Integrated Surface Variance given the corresponding volatility and the date spans

Parameters:

csqs - Market Parameters

strCustomMetricLabel - Custom Metric Label

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated Volatility Surface

Throws:

java.lang.Exception - Thrown if inputs are invalid

IntegratedSurfaceVariance

public static final double IntegratedSurfaceVariance(VolatilityCurve vc,
                                                     int iStartDate,
                                                     int iEndDate)
                                              throws java.lang.Exception

Compute the Integrated Surface Variance given the corresponding volatility and the date spans

Parameters:

vc - The Volatility Curve

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated Volatility Surface

Throws:

java.lang.Exception - Thrown if inputs are invalid

IntegratedCrossVolQuanto

public static final double IntegratedCrossVolQuanto(VolatilityCurve vc1,
                                                    VolatilityCurve vc2,
                                                    R1ToR1 r1r1Correlation,
                                                    int iStartDate,
                                                    int iEndDate)
                                             throws java.lang.Exception

Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation curves, and the date spans

Parameters:

vc1 - Volatility Curve #1

vc2 - Volatility Curve #2

r1r1Correlation - Correlation Curve

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated Cross Volatility Quanto Product

Throws:

java.lang.Exception - Thrown if inputs are invalid

IntegratedFRACrossVolConvexityExponent

public static final double IntegratedFRACrossVolConvexityExponent(VolatilityCurve vcForward,
                                                                  VolatilityCurve vcFunding,
                                                                  R1ToR1 r1r1ForwardFundingCorrelation,
                                                                  double dblForwardShiftedLogNormalScaler,
                                                                  double dblFundingShiftedLogNormalScaler,
                                                                  int iStartDate,
                                                                  int iEndDate)
                                                           throws java.lang.Exception

Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and the correlation Curves, and the date spans

Parameters:

vcForward - Volatility Term Structure of the Funding Rate

vcFunding - Volatility Term Structure of the Forward Rate

r1r1ForwardFundingCorrelation - Correlation Term Structure between the Forward and the Funding States

dblForwardShiftedLogNormalScaler - Scaling for the Forward Log Normal Volatility

dblFundingShiftedLogNormalScaler - Scaling for the Funding Log Normal Volatility

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated FRA Cross Volatility Convexity Exponent

Throws:

java.lang.Exception - Thrown if inputs are invalid

IntegratedCrossVolQuanto

public static final double IntegratedCrossVolQuanto(CurveSurfaceQuoteContainer csqs,
                                                    java.lang.String strCustomMetricLabel1,
                                                    java.lang.String strCustomMetricLabel2,
                                                    int iStartDate,
                                                    int iEndDate)
                                             throws java.lang.Exception

Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves and the date spans

Parameters:

csqs - Market Parameters

strCustomMetricLabel1 - Custom Metric Label #1

strCustomMetricLabel2 - Custom Metric Label #2

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated Cross Volatility Quanto Product

Throws:

java.lang.Exception - Thrown if inputs are invalid

MultiplicativeCrossVolQuanto

public static final double MultiplicativeCrossVolQuanto(CurveSurfaceQuoteContainer csqs,
                                                        java.lang.String strCustomMetricLabel1,
                                                        java.lang.String strCustomMetricLabel2,
                                                        int iStartDate,
                                                        int iEndDate)
                                                 throws java.lang.Exception

Compute the Multiplicative Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves, and the date spans

Parameters:

csqs - Market Parameters

strCustomMetricLabel1 - Custom Metric Label #1

strCustomMetricLabel2 - Custom Metric Label #2

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Multiplicative Cross Volatility Quanto Product

Throws:

java.lang.Exception - Thrown if inputs are invalid

IntegratedFRACrossVolConvexityAdjuster

public static final double IntegratedFRACrossVolConvexityAdjuster(CurveSurfaceQuoteContainer csqs,
                                                                  ForwardLabel forwardLabel,
                                                                  FundingLabel fundingLabel,
                                                                  double dblForwardShiftedLogNormalScaler,
                                                                  double dblFundingShiftedLogNormalScaler,
                                                                  int iStartDate,
                                                                  int iEndDate)
                                                           throws java.lang.Exception

Compute the Integrated FRA Cross Volatility Convexity Adjuster given the corresponding volatility and the correlation Curves and the date spans

Parameters:

csqs - Market Parameters

forwardLabel - Forward Latent State Label

fundingLabel - Funding Latent State Label

dblForwardShiftedLogNormalScaler - Scaling for the Forward Log Normal Volatility

dblFundingShiftedLogNormalScaler - Scaling for the Funding Log Normal Volatility

iStartDate - Evolution Start Date

iEndDate - Evolution End Date

Returns:

The Integrated FRA Cross Volatility Convexity Adjuster

Throws:

java.lang.Exception - Thrown if inputs are invalid