## Interface LocalVolatilityCalculator

• All Known Implementing Classes:
DupireLocalVolatilityCalculator, ImpliedTrinomialTreeLocalVolatilityCalculator

public interface LocalVolatilityCalculator
Local volatility calculation.
• ### Method Summary

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

• #### localVolatilityFromPrice

Surface localVolatilityFromPrice​(Surface callPriceSurface,
double spot,
Function<Double,​Double> interestRate,
Function<Double,​Double> dividendRate)
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.

Parameters:
callPriceSurface - the price surface
spot - the spot
interestRate - the interest rate
dividendRate - the dividend rate
Returns:
the local volatility surface
• #### localVolatilityFromImpliedVolatility

Surface localVolatilityFromImpliedVolatility​(Surface impliedVolatilitySurface,
double spot,
Function<Double,​Double> interestRate,
Function<Double,​Double> dividendRate)
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.

Parameters:
impliedVolatilitySurface - the implied volatility surface
spot - the spot
interestRate - the interest rate
dividendRate - the dividend
Returns:
the local volatility surface