Class NormalIborFutureOptionExpirySimpleMoneynessVolatilities

  • All Implemented Interfaces:
    MarketDataView, ParameterizedData, IborFutureOptionVolatilities, NormalIborFutureOptionVolatilities,, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class NormalIborFutureOptionExpirySimpleMoneynessVolatilities
    extends java.lang.Object
    implements NormalIborFutureOptionVolatilities, org.joda.beans.ImmutableBean,
    Data provider of volatility for Ibor future options in the normal or Bachelier model.

    The volatility is represented by a surface on the expiry and simple moneyness. The expiry is measured in number of days (not time) according to a day-count convention. The simple moneyness can be on the price or on the rate (1-price).

    See Also:
    Serialized Form