Package org.drip.product.calib

Class VolatilityProductQuoteSet

java.lang.Object

org.drip.product.calib.ProductQuoteSet

org.drip.product.calib.VolatilityProductQuoteSet

public class VolatilityProductQuoteSet
extends ProductQuoteSet

VolatilityProductQuoteSet implements the Calibratable Volatility Product Quote Shell.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Curve/Surface Calibration Quote Sets

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
VolatilityProductQuoteSet(LatentStateSpecification[] aLSS)	Volatility Product Quote Set Constructor

Method Summary

Modifier and Type	Method	Description
boolean	containsOptionPV()	Indicate if the PV of an Option on the Product Field exists
double	optionPV()	Retrieve the PV of an Option on the Product
boolean	setOptionPV(double dblOptionPV)	Set the PV of an Option on the Product

Methods inherited from class org.drip.product.calib.ProductQuoteSet

contains, contains, containsLatentStateQuantificationMetric, containsLatentStateType, fields, forwardLabel, fundingLabel, fxLabel, get, govvieLabel, lss, set, volatilityLabel

Methods inherited from class java.lang.Object

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

Constructor Details

VolatilityProductQuoteSet

public VolatilityProductQuoteSet(LatentStateSpecification[] aLSS)
                          throws java.lang.Exception

Volatility Product Quote Set Constructor

Parameters:

aLSS - Array of Latent State Specifications

Throws:

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

Method Details

setOptionPV

public boolean setOptionPV(double dblOptionPV)

Set the PV of an Option on the Product

Parameters:

dblOptionPV - The PV of an Option on the Product

Returns:

TRUE - PV of an Option on the Product successfully set

containsOptionPV

public boolean containsOptionPV()

Indicate if the PV of an Option on the Product Field exists

Returns:

TRUE - PV of an Option on the Product Field Exists

optionPV

public double optionPV()
                throws java.lang.Exception

Retrieve the PV of an Option on the Product

Returns:

The PV of an Option on the Product

Throws:

java.lang.Exception - Thrown if the PV of an Option on the Product Field does not exist