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

Interface LocalVolatilityCalculator

All Known Implementing Classes:

DupireLocalVolatilityCalculator, ImpliedTrinomialTreeLocalVolatilityCalculator

public interface LocalVolatilityCalculator

Local volatility calculation.

Method Summary

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