Package org.drip.state.volatility

Class VolatilityCurve

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.volatility.VolatilityCurve

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineDeterministicVolatility, ExplicitBootVolatilityCurve

public abstract class VolatilityCurve
extends NodeStructure

VolatilityCurve exposes the Stub that implements the Latent State's Deterministic Volatility Term Structure Curve - by Construction, this is expected to be non-local.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Latent State Inference and Creation Utilities
• Package = Latent State Volatility Curve/Surface

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
abstract double	impliedVol(int date)	Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
double	impliedVol(java.lang.String tenor)	Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure
double	impliedVol(JulianDate date)	Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
abstract double	vol(int date)	Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

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

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

Methods inherited from class java.lang.Object

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

Method Details

impliedVol

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

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

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

impliedVol

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

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

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

impliedVol

public double impliedVol(java.lang.String tenor)
                  throws java.lang.Exception

Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure

Parameters:

tenor - The Date Node

Returns:

The Deterministic Implied Volatility at the Tenor from the Volatility Term Structure

Throws:

java.lang.Exception - Thrown if the Deterministic Implied Volatility cannot be computed

vol

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

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

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