Package org.drip.state.nonlinear

Class FlatForwardVolatilityCurve

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

org.drip.state.volatility.ExplicitBootVolatilityCurve

org.drip.state.nonlinear.FlatForwardVolatilityCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, LatentState

public class FlatForwardVolatilityCurve
extends ExplicitBootVolatilityCurve

FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Nonlinear (i.e., Boot) Latent State Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FlatForwardVolatilityCurve(int epochDate, VolatilityLabel volatilityLabel, java.lang.String currency, int[] pillarDateArray, double[] impliedVolatilityArray)	FlatForwardVolatilityCurve Constructor

Method Summary

Modifier and Type	Method	Description
boolean	bumpNodeValue(int nodeIndex, double value)	Bump the node value at the node specified the index by the value
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
boolean	setFlatValue(double value)	Set the flat value across all the nodes
boolean	setNodeValue(int nodeIndex, double value)	Set the Value/Slope at the Node specified by the Index
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

Methods inherited from interface org.drip.analytics.definition.Curve

calibComp, currency, epoch, label, manifestMeasure, setCCIS

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Details

FlatForwardVolatilityCurve

public FlatForwardVolatilityCurve(int epochDate,
VolatilityLabel volatilityLabel,
java.lang.String currency,
int[] pillarDateArray,
double[] impliedVolatilityArray)
                           throws java.lang.Exception

FlatForwardVolatilityCurve Constructor

Parameters:

epochDate - Epoch Date

volatilityLabel - Volatility Label

currency - Currency

pillarDateArray - Array of the Pillar Dates

impliedVolatilityArray - Array of the corresponding Implied Volatility Nodes

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

setNodeValue

public boolean setNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

nodeIndex - Node Index

value - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

nodeIndex - node index

value - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double value)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

value - node value

Returns:

Success (true), failure (false)