org.drip.sample.option

Class ATMTermStructureSpline

java.lang.Object

org.drip.sample.option.ATMTermStructureSpline

public class ATMTermStructureSpline
extends java.lang.Object

ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM Price and Volatility Term Structures using Custom Splines. This does not deal with Local Volatility Surfaces.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ATMTermStructureSpline()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

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

Constructor Detail

ATMTermStructureSpline

public ATMTermStructureSpline()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception