Package org.drip.sample.option

Class ATMTermStructureSpline

java.lang.Object
org.drip.sample.option.ATMTermStructureSpline
public class ATMTermStructureSpline
extends java.lang.Object
ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM Price and Volatility Term Structures using Custom Splines. This does not deal with Local Volatility Surfaces.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ATMTermStructureSpline()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ATMTermStructureSpline

      public ATMTermStructureSpline()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation