org.drip.state.nonlinear

Class FlatForwardVolatilityCurve

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

org.drip.state.volatility.ExplicitBootVolatilityCurve

org.drip.state.nonlinear.FlatForwardVolatilityCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, LatentState

public class FlatForwardVolatilityCurve
extends ExplicitBootVolatilityCurve

FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FlatForwardVolatilityCurve(int iEpochDate, VolatilityLabel label, java.lang.String strCurrency, int[] aiPillarDate, double[] adblImpliedVolatility) FlatForwardVolatilityCurve Constructor

Method Summary

Modifier and Type	Method and Description
boolean	bumpNodeValue(int iNodeIndex, double dblValue) Bump the node value at the node specified the index by the value
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
boolean	setFlatValue(double dblValue) Set the flat value across all the nodes
boolean	setNodeValue(int iNodeIndex, double dblValue) Set the Value/Slope at the Node specified by the Index
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

Methods inherited from interface org.drip.analytics.definition.Curve

calibComp, currency, epoch, label, manifestMeasure, setCCIS

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Detail

FlatForwardVolatilityCurve

public FlatForwardVolatilityCurve(int iEpochDate,
                                  VolatilityLabel label,
                                  java.lang.String strCurrency,
                                  int[] aiPillarDate,
                                  double[] adblImpliedVolatility)
                           throws java.lang.Exception

FlatForwardVolatilityCurve Constructor

Parameters:

iEpochDate - Epoch Date

label - Volatility Label

strCurrency - Currency

aiPillarDate - Array of the Pillar Dates

adblImpliedVolatility - Array of the corresponding Implied Volatility Nodes

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

setNodeValue

public boolean setNodeValue(int iNodeIndex,
                            double dblValue)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

iNodeIndex - Node Index

dblValue - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int iNodeIndex,
                             double dblValue)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

iNodeIndex - node index

dblValue - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double dblValue)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

dblValue - node value

Returns:

Success (true), failure (false)