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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 22.06.2014
*/
package net.finmath.marketdata.model.volatilities;
import java.time.LocalDate;
import net.finmath.marketdata.model.AnalyticModel;
/**
* Interface for classes representing a volatility surface,
* i.e. European option prices.
*
* @author Christian Fries
* @version 1.0
*/
public interface VolatilitySurface {
/**
* Quoting conventions.
* It may be that the implementing class does not support all quoting conventions.
*
* @author Christian Fries
*/
enum QuotingConvention {
VOLATILITYLOGNORMAL,
VOLATILITYNORMAL,
PRICE
}
/**
* Returns the name of the volatility surface.
*
* @return The name of the volatility surface.
*/
String getName();
/**
* Return the reference date of this surface, i.e. the date
* associated with t=0.
*
* @return The date identified as t=0.
*/
LocalDate getReferenceDate();
/**
* Returns the price or implied volatility for the corresponding maturity and strike.
*
* @param maturity The option maturity for which the price or implied volatility is requested.
* @param strike The option strike for which the price or implied volatility is requested.
* @param quotingConvention The quoting convention to be used for the return value.
* @return The price or implied volatility depending on the quoting convention.
*/
double getValue(double maturity, double strike, QuotingConvention quotingConvention);
/**
* Returns the price or implied volatility for the corresponding maturity and strike.
*
* @param model An analytic model providing a context. Some curves do not need this (may be null).
* @param maturity The option maturity for which the price or implied volatility is requested.
* @param strike The option strike for which the price or implied volatility is requested.
* @param quotingConvention The quoting convention to be used for the return value.
* @return The price or implied volatility depending on the quoting convention.
*/
double getValue(AnalyticModel model, double maturity, double strike, QuotingConvention quotingConvention);
/**
* Return the default quoting convention of this surface.
*
* @return the quotingConvention
*/
QuotingConvention getQuotingConvention();
}