Uses of Class
org.drip.state.volatility.VolatilityCurve

Packages that use VolatilityCurve

Package	Description
org.drip.analytics.support	Assorted Support and Helper Utilities
org.drip.param.market	Curves Surfaces Quotes Fixings Container
org.drip.service.template	Curve Construction Product Builder Templates
org.drip.state.boot	Bootable Discount, Credit, Volatility States
org.drip.state.creator	Scenario State Curve/Surface Builders
org.drip.state.curve	Basis Spline Based Latent States
org.drip.state.nonlinear	Nonlinear (i.e., Boot) Latent State Construction
org.drip.state.volatility	Latent State Volatility Curve/Surface

Uses of VolatilityCurve in org.drip.analytics.support

Methods in org.drip.analytics.support with parameters of type VolatilityCurve

Modifier and Type	Method	Description
static double	OptionHelper.IntegratedCrossVolQuanto(VolatilityCurve vc1, VolatilityCurve vc2, R1ToR1 r1r1Correlation, int iStartDate, int iEndDate)	Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation curves, and the date spans
static double	OptionHelper.IntegratedFRACrossVolConvexityExponent(VolatilityCurve vcForward, VolatilityCurve vcFunding, R1ToR1 r1r1ForwardFundingCorrelation, double dblForwardShiftedLogNormalScaler, double dblFundingShiftedLogNormalScaler, int iStartDate, int iEndDate)	Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and the correlation Curves, and the date spans
static double	OptionHelper.IntegratedSurfaceVariance(VolatilityCurve vc, int iStartDate, int iEndDate)	Compute the Integrated Surface Variance given the corresponding volatility and the date spans

Uses of VolatilityCurve in org.drip.param.market

Methods in org.drip.param.market that return VolatilityCurve

Modifier and Type	Method	Description
VolatilityCurve	CurveSurfaceQuoteContainer.collateralVolatility(CollateralLabel collateralLabel)	Retrieve the Volatility Curve for the specified Collateral Label
VolatilityCurve	CurveSurfaceQuoteContainer.creditVolatility(EntityCDSLabel creditLabel)	Retrieve the Volatility Curve for the Credit Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.customVolatility(CustomLabel customLabel)	Retrieve the Volatility Curve for the Custom Metric Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.equityVolatility(EntityEquityLabel equityLabel)	Retrieve the Volatility Curve for the Equity Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.forwardVolatility(ForwardLabel forwardLabel)	Retrieve the Volatility Curve for the specified Forward Latent State Label
VolatilityCurve	CurveSurfaceQuoteContainer.fundingVolatility(FundingLabel fundingLabel)	Retrieve the Volatility Curve for the Funding Latent State Label
VolatilityCurve	CurveSurfaceQuoteContainer.fxVolatility(FXLabel fxLabel)	Retrieve the Volatility Curve for the specified FX Latent State Label
VolatilityCurve	CurveSurfaceQuoteContainer.govvieVolatility(GovvieLabel govvieLabel)	Retrieve the Volatility Curve for the specified Govvie Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.overnightVolatility(OvernightLabel overnightLabel)	Retrieve the Volatility Curve for the Overnight Latent State Label
VolatilityCurve	CurveSurfaceQuoteContainer.paydownVolaitlity(PaydownLabel paydownLabel)	Retrieve the Volatility Curve for the specified Pay-down Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.ratingVolaitlity(RatingLabel ratingLabel)	Retrieve the Volatility Curve for the specified Rating Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.recoveryVolatility(EntityRecoveryLabel recoveryLabel)	Retrieve the Volatility Curve for the specified Recovery Latent State
VolatilityCurve	CurveSurfaceQuoteContainer.repoVolatility(RepoLabel repoLabel)	Retrieve the Volatility Curve for the Repo Latent State Label

Methods in org.drip.param.market with parameters of type VolatilityCurve

Modifier and Type	Method	Description
boolean	CurveSurfaceQuoteContainer.setCollateralVolatility(VolatilityCurve vcCollateral)	(Re)-set the Volatility Curve for the specified Collateral Label
boolean	CurveSurfaceQuoteContainer.setCreditVolatility(VolatilityCurve vcCredit)	(Re)-set the Volatility Curve for the Credit Latent State
boolean	CurveSurfaceQuoteContainer.setCustomVolatility(VolatilityCurve vcCustom)	(Re)-set the Custom Metric Volatility Curve
boolean	CurveSurfaceQuoteContainer.setEquityVolatility(VolatilityCurve vcEquity)	(Re)-set the Volatility Curve for the Equity Latent State
boolean	CurveSurfaceQuoteContainer.setForwardVolatility(VolatilityCurve vcForward)	(Re)-set the Volatility Curve for the specified Forward Latent State Label
boolean	CurveSurfaceQuoteContainer.setFundingVolatility(VolatilityCurve vcFunding)	(Re)-set the Volatility Curve for the Funding Latent State Label
boolean	CurveSurfaceQuoteContainer.setFXVolatility(VolatilityCurve vcFX)	(Re)-set the Volatility Curve for the specified FX Latent State
boolean	CurveSurfaceQuoteContainer.setGovvieVolatility(VolatilityCurve vcGovvie)	(Re)-set the Volatility Curve for the Govvie Latent State
boolean	CurveSurfaceQuoteContainer.setOvernightVolatility(VolatilityCurve vcOvernight)	(Re)-set the Volatility Curve for the Overnight Latent State Label
boolean	CurveSurfaceQuoteContainer.setPaydownVolatility(VolatilityCurve vcPaydown)	(Re)-set the Volatility Curve for the Pay-down Latent State
boolean	CurveSurfaceQuoteContainer.setRatingVolatility(VolatilityCurve vcRating)	(Re)-set the Volatility Curve for the Rating Latent State
boolean	CurveSurfaceQuoteContainer.setRecoveryVolatility(VolatilityCurve vcRecovery)	(Re)-set the Volatility Curve for the Recovery Latent State
boolean	CurveSurfaceQuoteContainer.setRepoVolatility(VolatilityCurve vcRepo)	(Re)-set the Volatility Curve for the Repo Latent State Label

Uses of VolatilityCurve in org.drip.service.template

Methods in org.drip.service.template that return VolatilityCurve

Modifier and Type	Method	Description
static VolatilityCurve	LatentMarketStateBuilder.ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc)	Forward Rate Volatility Latent State Construction from Cap/Floor Instruments

Methods in org.drip.service.template that return types with arguments of type VolatilityCurve

Modifier and Type	Method	Description
static CaseInsensitiveTreeMap<VolatilityCurve>	LatentMarketStateBuilder.BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional)	Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments

Uses of VolatilityCurve in org.drip.state.boot

Methods in org.drip.state.boot that return VolatilityCurve

Modifier and Type	Method	Description
static VolatilityCurve	VolatilityCurveScenario.Standard(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a Volatility Curve
static VolatilityCurve[]	VolatilityCurveScenario.Tenor(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an array of tenor bumped Volatility curves

Methods in org.drip.state.boot that return types with arguments of type VolatilityCurve

Modifier and Type	Method	Description
CaseInsensitiveTreeMap<VolatilityCurve>	VolatilityCurveScenario.TenorMap(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an tenor named map of tenor bumped Volatility curves

Uses of VolatilityCurve in org.drip.state.creator

Methods in org.drip.state.creator that return VolatilityCurve

Modifier and Type	Method	Description
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.CubicPolynomialTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)	Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.CustomSplineTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] impliedVolatilityArray, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.FlatForward(int epochDate, VolatilityLabel volatilityLabel, java.lang.String currency, double flatVolatility)	Construct the Flat Constant Forward Volatility Forward Curve
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.KaklisPandelisTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)	Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.KLKHyperbolicTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)	Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.KLKRationalLinearTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)	Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.KLKRationalQuadraticTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)	Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
static VolatilityCurve	ScenarioLocalVolatilityBuilder.NonlinearBuild(java.lang.String name, JulianDate spotDate, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer)	Create a Volatility Curve from the Calibration Instruments
static VolatilityCurve	ScenarioDeterministicVolatilityBuilder.QuarticPolynomialTermStructure(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)	Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline

Uses of VolatilityCurve in org.drip.state.curve

Subclasses of VolatilityCurve in org.drip.state.curve

Modifier and Type	Class	Description
class	BasisSplineDeterministicVolatility	BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the Implementation of the Deterministic Volatility Term Structure.

Constructors in org.drip.state.curve with parameters of type VolatilityCurve

Constructor	Description
ForeignCollateralizedDiscountCurve(java.lang.String currency, MergedDiscountForwardCurve foreignCollateralizedDiscountCurve, FXCurve fxCurve, VolatilityCurve foreignCollateralizedVolatilityCurve, VolatilityCurve fxVolatilityCurve, R1ToR1 collateralForeignFXCorrelationFunction)	ForeignCollateralizedDiscountCurve constructor

Uses of VolatilityCurve in org.drip.state.nonlinear

Subclasses of VolatilityCurve in org.drip.state.nonlinear

Modifier and Type	Class	Description
class	FlatForwardVolatilityCurve	FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.

Uses of VolatilityCurve in org.drip.state.volatility

Subclasses of VolatilityCurve in org.drip.state.volatility

Modifier and Type	Class	Description
class	ExplicitBootVolatilityCurve	ExplicitBootVolatilityCurve exposes the functionality associated with the bootstrapped Volatility Curve.