Package org.drip.state.curve

Class BasisSplineDeterministicVolatility

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

org.drip.state.curve.BasisSplineDeterministicVolatility

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineDeterministicVolatility
extends VolatilityCurve

BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the Implementation of the Deterministic Volatility Term Structure.

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Basis Spline Based Latent States

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BasisSplineDeterministicVolatility(int epochDate, CustomLabel customLabel, java.lang.String currency, Span impliedVolatilitySpan)	BasisSplineDeterministicVolatility Constructor

Method Summary

Modifier and Type	Method	Description
double	impliedVol(int date)	Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
double	node(int date)	Get the Market Node at the given Predictor Ordinate
double	nodeDerivative(int date, int order)	Get the Market Node Derivative at the given Predictor Ordinate
double	vol(int date)	Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

Methods inherited from class org.drip.state.volatility.VolatilityCurve

impliedVol, impliedVol

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

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

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineDeterministicVolatility

public BasisSplineDeterministicVolatility(int epochDate,
CustomLabel customLabel,
java.lang.String currency,
Span impliedVolatilitySpan)
                                   throws java.lang.Exception

BasisSplineDeterministicVolatility Constructor

Parameters:

epochDate - The Epoch Date

customLabel - Latent State Label

currency - The Currency

impliedVolatilitySpan - The Implied Volatility Span

Throws:

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

Method Details

impliedVol

public double impliedVol(int date)
                  throws java.lang.Exception

Description copied from class: VolatilityCurve

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

Specified by:

impliedVol in class VolatilityCurve

Parameters:

date - 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

node

public double node(int date)
            throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node at the given Predictor Ordinate

Specified by:

node in class NodeStructure

Parameters:

date - The Predictor Ordinate

Returns:

The Node evaluated from the Term Structure

Throws:

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

vol

public double vol(int date)
           throws java.lang.Exception

Description copied from class: VolatilityCurve

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

Specified by:

vol in class VolatilityCurve

Parameters:

date - 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

nodeDerivative

public double nodeDerivative(int date,
int order)
                      throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node Derivative at the given Predictor Ordinate

Specified by:

nodeDerivative in class NodeStructure

Parameters:

date - The Predictor Ordinate

order - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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