org.drip.dynamics.sabr

Class ImpliedBlackVolatility

java.lang.Object

org.drip.dynamics.sabr.ImpliedBlackVolatility

public class ImpliedBlackVolatility
extends java.lang.Object

ImpliedBlackVolatility contains the Output of the Black Volatility Implication Calculations.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ImpliedBlackVolatility(double dblStrike, double dblATMForwardRate, double dblTTE, double dblA, double dblZ, double dblChiZ, double dblB, double dblImpliedVolatility) ImpliedBlackVolatility Constructor

Method Summary

Modifier and Type	Method and Description
double	a() Retrieve A
double	atmForwardRate() Retrieve the ATM Forward Rate
double	b() Retrieve B
double	chi() Retrieve Chi
double	impliedVolatility() Retrieve the Implied Volatility
double	strike() Retrieve the Strike
double	tte() Retrieve TTE
double	z() Retrieve Z

Methods inherited from class java.lang.Object

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

Constructor Detail

ImpliedBlackVolatility

public ImpliedBlackVolatility(double dblStrike,
                              double dblATMForwardRate,
                              double dblTTE,
                              double dblA,
                              double dblZ,
                              double dblChiZ,
                              double dblB,
                              double dblImpliedVolatility)
                       throws java.lang.Exception

ImpliedBlackVolatility Constructor

Parameters:

dblStrike - Strike

dblATMForwardRate - Forward Rate

dblTTE - Time To Expiry

dblA - A

dblZ - Z

dblChiZ - Chi (Z)

dblB - B

dblImpliedVolatility - The Implied Volatility

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

Method Detail

strike

public double strike()

Retrieve the Strike

Returns:

The Strike

atmForwardRate

public double atmForwardRate()

Retrieve the ATM Forward Rate

Returns:

The ATM Forward Rate

tte

public double tte()

Retrieve TTE

Returns:

TTE

a

public double a()

Retrieve A

Returns:

A

z

public double z()

Retrieve Z

Returns:

Z

chi

public double chi()

Retrieve Chi

Returns:

Chi

b

public double b()

Retrieve B

Returns:

B

impliedVolatility

public double impliedVolatility()

Retrieve the Implied Volatility

Returns:

The Implied Volatility