Package com.opengamma.strata.pricer.impl.volatility.local

Class DupireLocalVolatilityCalculator

java.lang.Object

com.opengamma.strata.pricer.impl.volatility.local.DupireLocalVolatilityCalculator

All Implemented Interfaces:

LocalVolatilityCalculator

public class DupireLocalVolatilityCalculator
extends Object
implements LocalVolatilityCalculator

Local volatility computation based on the exact formula.

Bruno Dupire, "Pricing with a Smile", Risk (1994).

Constructor Summary

Constructors

Constructor	Description
DupireLocalVolatilityCalculator()

Method Summary

Modifier and Type	Method	Description
DeformedSurface	localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from implied volatility surface.
DeformedSurface	localVolatilityFromPrice(Surface callPriceSurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from call price surface.

Methods inherited from class java.lang.Object

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

Constructor Detail

DupireLocalVolatilityCalculator

public DupireLocalVolatilityCalculator()

Method Detail

localVolatilityFromImpliedVolatility

public DeformedSurface localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface,
                                                            double spot,
                                                            Function<Double,Double> interestRate,
                                                            Function<Double,Double> dividendRate)

Description copied from interface: LocalVolatilityCalculator

Computes local volatility surface from implied volatility surface.

The implied volatility surface must be spanned by time to expiry and strike.

The interest rate and dividend rate must be zero-coupon continuously compounded rates based on respective day count convention. Thus interestRate and dividendRate are functions from year fraction to zero rate.

Specified by:

localVolatilityFromImpliedVolatility in interface LocalVolatilityCalculator

Parameters:

impliedVolatilitySurface - the implied volatility surface

spot - the spot

interestRate - the interest rate

dividendRate - the dividend

Returns:

the local volatility surface

localVolatilityFromPrice

public DeformedSurface localVolatilityFromPrice(Surface callPriceSurface,
                                                double spot,
                                                Function<Double,Double> interestRate,
                                                Function<Double,Double> dividendRate)

Description copied from interface: LocalVolatilityCalculator

Computes local volatility surface from call price surface.

The interest rate and dividend rate must be zero-coupon continuously compounded rates based on respective day count convention. Thus interestRate and dividendRate are functions from year fraction to zero rate.

Specified by:

localVolatilityFromPrice in interface LocalVolatilityCalculator

Parameters:

callPriceSurface - the price surface

spot - the spot

interestRate - the interest rate

dividendRate - the dividend rate

Returns:

the local volatility surface