org.drip.state.creator

Class ScenarioLocalVolatilityBuilder

java.lang.Object

org.drip.state.creator.ScenarioLocalVolatilityBuilder

public class ScenarioLocalVolatilityBuilder
extends java.lang.Object

ScenarioLocalVolatilityBuilder implements the construction of the Local Volatility surface using the input option instruments, their Call Prices, and a wide variety of custom build schemes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioLocalVolatilityBuilder()

Method Summary

Modifier and Type	Method and Description
static MarketSurface	CubicPolynomialWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double dblRiskFreeRate, double[] adblStrike, java.lang.String[] astrTenor, double[][] aadblNode) Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline.
static MarketSurface	CustomSplineWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double dblRiskFreeRate, double[] adblStrike, double[] adblMaturity, double[][] aadblCallPrice, SegmentCustomBuilderControl scbcWireSpan, SegmentCustomBuilderControl scbcSurface) Build an Instance of the Volatility Surface using custom wire span and surface splines
static VolatilityCurve	NonlinearBuild(java.lang.String strName, JulianDate dtSpot, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc) Create a Volatility Curve from the Calibration Instruments

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioLocalVolatilityBuilder

public ScenarioLocalVolatilityBuilder()

Method Detail

NonlinearBuild

public static final VolatilityCurve NonlinearBuild(java.lang.String strName,
                                                   JulianDate dtSpot,
                                                   LatentStateLabel lslUnderlying,
                                                   FRAStandardCapFloor[] aFRACapFloor,
                                                   double[] adblCalibQuote,
                                                   java.lang.String[] astrCalibMeasure,
                                                   MergedDiscountForwardCurve dc,
                                                   ForwardCurve fc,
                                                   LatentStateFixingsContainer lsfc)

Create a Volatility Curve from the Calibration Instruments

Parameters:

strName - Volatility Curve name

dtSpot - Spot Date

lslUnderlying - Underlying Latent State Label

aFRACapFloor - Array of the FRA Cap Floor Instruments

adblCalibQuote - Input Calibration Quotes

astrCalibMeasure - Input Calibration Measures

dc - Base Discount Curve

fc - Forward Curve

lsfc - Latent State Fixings Container

Returns:

The Calibrated Volatility Curve

CustomSplineWireSurface

public static final MarketSurface CustomSplineWireSurface(java.lang.String strName,
                                                          JulianDate dtStart,
                                                          java.lang.String strCurrency,
                                                          double dblRiskFreeRate,
                                                          double[] adblStrike,
                                                          double[] adblMaturity,
                                                          double[][] aadblCallPrice,
                                                          SegmentCustomBuilderControl scbcWireSpan,
                                                          SegmentCustomBuilderControl scbcSurface)

Build an Instance of the Volatility Surface using custom wire span and surface splines

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

dblRiskFreeRate - Risk Free Discounting Rate

adblStrike - Array of Strikes

adblMaturity - Array of Maturities

aadblCallPrice - Double Array of the Call Prices

scbcWireSpan - The Wire Span Segment Customizer

scbcSurface - The Surface Segment Customizer

Returns:

Instance of the Market Node Surface

CubicPolynomialWireSurface

public static final MarketSurface CubicPolynomialWireSurface(java.lang.String strName,
                                                             JulianDate dtStart,
                                                             java.lang.String strCurrency,
                                                             double dblRiskFreeRate,
                                                             double[] adblStrike,
                                                             java.lang.String[] astrTenor,
                                                             double[][] aadblNode)

Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

dblRiskFreeRate - Risk Free Discounting Rate

adblStrike - Array of Strikes

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

Returns:

Instance of the Market Node Surface