net.finmath.marketdata.model.volatilities.OptionSmileData Maven / Gradle / Ivy

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package net.finmath.marketdata.model.volatilities;

import java.time.LocalDate;
import java.util.Arrays;
import java.util.HashMap;

import net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention;

/**
 * A collection of option prices or implied volatilities for a given maturity.
 *
 * This object is natural in conjunction with FFT methods that run over a whole smile for a fixed maturity.
 *
 * @author Alessandro Gnoatto
 *
 */
public class OptionSmileData{
	private final String underlying;
	private final LocalDate referenceDate;
	private final double[] strikes;
	private final double maturity;
	private final HashMap smile;

	public OptionSmileData(final String underlying, final LocalDate referenceDate, final double[] strikes, final double maturity, final double[] values, final QuotingConvention convention){
		if(strikes.length != values.length) {
			throw new IllegalArgumentException("Number of strikes and market quotes does not coincide");
		}else {
			final int numberOfQuotes = strikes.length;
			smile = new HashMap<>();
			for(int i = 0; i< numberOfQuotes; i++) {
				smile.put(strikes[i],new OptionData(underlying, referenceDate, strikes[i],maturity,values[i], convention)) ;
			}
			this.underlying = underlying;
			this.referenceDate = referenceDate;
			this.strikes = strikes;
			this.maturity = maturity;
		}
	}

	public String getUnderlying() {
		return underlying;
	}

	public LocalDate getReferenceDate() {
		return referenceDate;
	}

	public double[] getStrikes() {
		return strikes;
	}

	public double getMaturity() {
		return maturity;
	}

	public HashMap getSmile() {
		return smile;
	}

	public OptionData getOption(final double strike) {
		return smile.get(strike);
	}

	@Override
	public String toString() {
		return "EquityOptionSmile [underlying=" + underlying + ", strikes=" + Arrays.toString(strikes)
		+ ", maturity=" + maturity + ", smile=" + smile + "]";
	}

}