org.drip.state.volatility

Class VolatilityCurve

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineDeterministicVolatility, ExplicitBootVolatilityCurve

public abstract class VolatilityCurve
extends NodeStructure

VolatilityCurve exposes the Stub that implements the Latent State's Deterministic Volatility Term Structure Curve - by Construction, this is expected to be non-local.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
abstract double	impliedVol(int iDate) Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
double	impliedVol(JulianDate dt) Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
double	impliedVol(java.lang.String strTenor) Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure
abstract double	vol(int iDate) Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

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

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

Methods inherited from class java.lang.Object

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

Method Detail

impliedVol

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

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

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

impliedVol

public double impliedVol(JulianDate dt)
                  throws java.lang.Exception

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

Parameters:

dt - 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

impliedVol

public double impliedVol(java.lang.String strTenor)
                  throws java.lang.Exception

Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure

Parameters:

strTenor - The Date Node

Returns:

The Deterministic Implied Volatility at the Tenor from the Volatility Term Structure

Throws:

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

vol

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

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

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