com.opengamma.strata.pricer.impl.volatility.smile

Class VolatilityFunctionProvider<T extends SmileModelData>

java.lang.Object

com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider<T>

Type Parameters:

T - Type of the data needed for the volatility function

Direct Known Subclasses:

SabrHaganVolatilityFunctionProvider, SsviVolatilityFunction

public abstract class VolatilityFunctionProvider<T extends SmileModelData>
extends Object

Provides functions that return volatility and its sensitivity to volatility model parameters.

Constructor Summary

Constructors

Constructor and Description
VolatilityFunctionProvider()

Method Summary

Modifier and Type	Method and Description
abstract double	volatility(double forward, double strike, double timeToExpiry, T data) Calculates the volatility.
ValueDerivatives	volatilityAdjoint(double forward, double strike, double timeToExpiry, T data) Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).
abstract double	volatilityAdjoint2(double forward, double strike, double timeToExpiry, T data, double[] volatilityD, double[][] volatilityD2) Computes the first and second order derivatives of the volatility.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

VolatilityFunctionProvider

public VolatilityFunctionProvider()

Method Detail

volatility

public abstract double volatility(double forward,
                                  double strike,
                                  double timeToExpiry,
                                  T data)

Calculates the volatility.

Parameters:

forward - the forward value of the underlying

strike - the strike value of the option

timeToExpiry - the time to expiry of the option

data - the model data

Returns:

the volatility

volatilityAdjoint

public ValueDerivatives volatilityAdjoint(double forward,
                                          double strike,
                                          double timeToExpiry,
                                          T data)

Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).

By default the derivatives are computed by central finite difference approximation. This should be overridden in each subclass.

Parameters:

forward - the forward value of the underlying

strike - the strike value of the option

timeToExpiry - the time to expiry of the option

data - the model data

Returns:

the volatility and associated derivatives

volatilityAdjoint2

public abstract double volatilityAdjoint2(double forward,
                                          double strike,
                                          double timeToExpiry,
                                          T data,
                                          double[] volatilityD,
                                          double[][] volatilityD2)

Computes the first and second order derivatives of the volatility.

The first derivative values will be stored in the input array volatilityD The array contains, [0] Derivative w.r.t the forward, [1] the derivative w.r.t the strike, then followed by model parameters. Thus the length of the array should be 2 + (number of model parameters).

The second derivative values will be stored in the input array volatilityD2. Only the second order derivative with respect to the forward and strike must be implemented. The array contains [0][0] forward-forward; [0][1] forward-strike; [1][1] strike-strike. Thus the size should be 2 x 2.

Parameters:

forward - the forward value of the underlying

strike - the strike value of the option

timeToExpiry - the time to expiry of the option

data - the model data

volatilityD - the array used to return the first order derivative

volatilityD2 - the array of array used to return the second order derivative

Returns:

the volatility