org.drip.state.curve

Class BasisSplineDeterministicVolatility

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

org.drip.state.curve.BasisSplineDeterministicVolatility

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineDeterministicVolatility
extends VolatilityCurve

BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the Implementation of the Deterministic Volatility Term Structure.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasisSplineDeterministicVolatility(int iEpochDate, CustomLabel label, java.lang.String strCurrency, Span spanImpliedVolatility) BasisSplineDeterministicVolatility Constructor

Method Summary

Modifier and Type	Method and Description
double	impliedVol(int iDate) Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
double	node(int iDate) Get the Market Node at the given Predictor Ordinate
double	nodeDerivative(int iDate, int iOrder) Get the Market Node Derivative at the given Predictor Ordinate
double	vol(int iDate) Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Methods inherited from class org.drip.state.volatility.VolatilityCurve

impliedVol, impliedVol

Methods inherited from class org.drip.analytics.definition.NodeStructure

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, node, node, nodeDerivative, nodeDerivative, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineDeterministicVolatility

public BasisSplineDeterministicVolatility(int iEpochDate,
                                          CustomLabel label,
                                          java.lang.String strCurrency,
                                          Span spanImpliedVolatility)
                                   throws java.lang.Exception

BasisSplineDeterministicVolatility Constructor

Parameters:

iEpochDate - The Epoch Date

label - Latent State Label

strCurrency - The Currency

spanImpliedVolatility - The Implied Volatility Span

Throws:

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

Method Detail

impliedVol

public double impliedVol(int iDate)
                  throws java.lang.Exception

Description copied from class: VolatilityCurve

Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Specified by:

impliedVol in class VolatilityCurve

Parameters:

iDate - The Date Node

Returns:

The Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Throws:

java.lang.Exception - Thrown if the Deterministic Implied Volatility cannot be computed

node

public double node(int iDate)
            throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node at the given Predictor Ordinate

Specified by:

node in class NodeStructure

Parameters:

iDate - The Predictor Ordinate

Returns:

The Node evaluated from the Term Structure

Throws:

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

vol

public double vol(int iDate)
           throws java.lang.Exception

Description copied from class: VolatilityCurve

Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Specified by:

vol in class VolatilityCurve

Parameters:

iDate - The Date Node

Returns:

The Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Throws:

java.lang.Exception - Thrown if the Deterministic Implied Volatility cannot be computed

nodeDerivative

public double nodeDerivative(int iDate,
                             int iOrder)
                      throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node Derivative at the given Predictor Ordinate

Specified by:

nodeDerivative in class NodeStructure

Parameters:

iDate - The Predictor Ordinate

iOrder - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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