ImpliedBlackVolatility

java.lang.Object

org.drip.dynamics.sabr.ImpliedBlackVolatility

public class ImpliedBlackVolatility
extends java.lang.Object

ImpliedBlackVolatility contains the Output of the Black Volatility Implication Calculations.

Module = Product Core Module
Library = Fixed Income Analytics
Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
Package = SABR Based Latent State Evolution

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors
Constructor	Description
`ImpliedBlackVolatility(double dblStrike, double dblATMForwardRate, double dblTTE, double dblA, double dblZ, double dblChiZ, double dblB, double dblImpliedVolatility)`	ImpliedBlackVolatility Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`a()`	Retrieve A
`double`	`atmForwardRate()`	Retrieve the ATM Forward Rate
`double`	`b()`	Retrieve B
`double`	`chi()`	Retrieve Chi
`double`	`impliedVolatility()`	Retrieve the Implied Volatility
`double`	`strike()`	Retrieve the Strike
`double`	`tte()`	Retrieve TTE
`double`	`z()`	Retrieve Z

Methods inherited from class java.lang.Object

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

Constructor Details
- ImpliedBlackVolatility
  
  public ImpliedBlackVolatility(double dblStrike, double dblATMForwardRate, double dblTTE, double dblA, double dblZ, double dblChiZ, double dblB, double dblImpliedVolatility) throws java.lang.Exception
  
  ImpliedBlackVolatility Constructor
  
  Parameters:
  
  dblStrike - Strike
  
  dblATMForwardRate - Forward Rate
  
  dblTTE - Time To Expiry
  
  dblA - A
  
  dblZ - Z
  
  dblChiZ - Chi (Z)
  
  dblB - B
  
  dblImpliedVolatility - The Implied Volatility
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are invalid
Method Details
- strike
  
  public double strike()
  
  Retrieve the Strike
  
  Returns:
  
  The Strike
- atmForwardRate
  
  public double atmForwardRate()
  
  Retrieve the ATM Forward Rate
  
  Returns:
  
  The ATM Forward Rate
- tte
  
  public double tte()
  
  Retrieve TTE
  
  Returns:
  
  TTE
- a
  
  public double a()
  
  Retrieve A
  
  Returns:
  
  A
- z
  
  public double z()
  
  Retrieve Z
  
  Returns:
  
  Z
- chi
  
  public double chi()
  
  Retrieve Chi
  
  Returns:
  
  Chi
- b
  
  public double b()
  
  Retrieve B
  
  Returns:
  
  B
- impliedVolatility
  
  public double impliedVolatility()
  
  Retrieve the Implied Volatility
  
  Returns:
  
  The Implied Volatility