net.finmath.marketdata.model.volatilities.SwaptionMarketData Maven / Gradle / Ivy
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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 20.05.2005
*/
package net.finmath.marketdata.model.volatilities;
import net.finmath.time.TimeDiscretization;
/**
* Basic interface to be implemented by classes
* providing swaption market data.
*
* @author Christian Fries
* @version 1.0
*/
public interface SwaptionMarketData {
TimeDiscretization getOptionMaturities();
TimeDiscretization getTenor();
double getSwapPeriodLength();
/**
* Returns the option price of a swaption for a given option maturity and tenor length.
* @param optionMaturity The option maturity.
* @param tenorLength The tenor length.
* @param periodLength The period length of the floating rate period.
* @param strike The strike (swap) rate.
* @return The option price.
*/
double getValue(double optionMaturity, double tenorLength, double periodLength, double strike);
/**
* Returns the option implied volatility of a swaption for a given option maturity and tenor length.
*
* @param optionMaturity The option maturity.
* @param tenorLength The tenor length.
* @param periodLength The period length of the floating rate period.
* @param strike The strike (swap) rate.
* @return The implied volatility.
*/
double getVolatility(double optionMaturity, double tenorLength, double periodLength, double strike);
}