Package org.drip.sample.option

Deterministic (Black) / Stochastic (Heston) Options
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ATMTermStructureSpline
    ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM Price and Volatility Term Structures using Custom Splines.
    BlackHestonForwardOption
    BlackHestonForwardOption illustrates pricing a forward using the Black '76 variant and the Heston's stochastic Volatility Models.
    BrokenDateVolSurface
    BrokenDateVolSurface contains an illustration of the Construction and Usage of the Option Volatility Surface, and the Evaluation at the supplied Broken Dates.
    CustomVolSurfaceBuilder
    CustomVolSurfaceBuilder contains an Comparison of the Construction of the Volatility Surface using different Splining Techniques.
    DeterministicVolBlackScholes
    DeterministicVolBlackScholes contains an illustration of the Black Scholes based European Call and Put Options Pricer that uses deterministic Volatility Function.
    DeterministicVolTermStructure
    DeterministicVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and the Deterministic Volatility Term Structures.
    LocalVolatilityTermStructure
    LocalVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and the Local Volatility Surfaces and their eventual Strike and Maturity Anchor Term Structures.
    MarketSurfaceTermStructure
    MarketSurfaceTermStructure contains an illustration of the Creation and Usage of the Strike Anchored and Maturity Anchored Term Structures extracted from the given Market Surface.
    VanillaBlackNormalPricing
    VanillaBlackNormalPricing contains an illustration of the Vanilla Black Normal European Call and Put Options Pricer.
    VanillaBlackScholesPricing
    VanillaBlackScholesPricing contains an illustration of the Vanilla Black Scholes based European Call and Put Options Pricer.