net.finmath.modelling.products.Swaption Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 31.03.2019
*/
package net.finmath.modelling.products;
/**
* A market interface for all swaption implementations and a holder for some product specific definitions.
*
* @author Christian Fries
*/
public interface Swaption {
/**
* Swaptions specific value units, like swaption implied volatilities.
*
* @author Christian Fries
*/
enum ValueUnit {
/** Returns the value of the swaption. **/
VALUE,
/** Returns the Black-Scholes implied integrated variance, i.e., σ2 T. **/
INTEGRATEDVARIANCELOGNORMAL,
/**
* Returns the Black-Scholes implied integrated variance, i.e., σ2 T.
* @deprecated Use INTEGRATEDVARIANCELOGNORMAL instead.
*/
INTEGRATEDLOGNORMALVARIANCE,
/** Returns the Black-Scholes implied volatility, i.e., σ. **/
VOLATILITYLOGNORMAL,
/** Returns the Bachelier implied integrated variance, i.e., σ2 T. **/
INTEGRATEDVARIANCENORMAL,
/**
* Returns the Bachelier implied integrated variance, i.e., σ2 T.
* @deprecated Use INTEGRATEDVARIANCENORMAL instead.
*/
INTEGRATEDNORMALVARIANCE,
/** Returns the Bachelier implied volatility, i.e., σ. **/
VOLATILITYNORMAL,
/**
* Returns the Black-Scholes implied integrated variance, i.e., σ2 T.
* @deprecated Use INTEGRATEDVARIANCELOGNORMAL instead
*/
INTEGRATEDVARIANCE,
/**
* Returns the Black-Scholes implied volatility, i.e., σ.
* @deprecated Use VOLATILITYLOGNORMAL instead
*/
VOLATILITY,
/**
* The Bachelier implied volatility, assuming an ATM option.
* The value is obtained by multiplying VALUE with 1.0 / Math.sqrt(optionMaturity / Math.PI / 2.0) / annuity.
*/
VOLATILITYNORMALATM
}
}