Class VolSurface.Builder

java.lang.Object

com.quantfinlib.pricing.VolSurface.Builder

Enclosing class:

VolSurface

public static final class VolSurface.Builder
extends Object

Constructor Summary

Constructors

Constructor	Description
Builder()	Creates an instance; the explicit form of the default constructor.

Method Summary

Modifier and Type	Method	Description
VolSurface.Builder	add(double expiryYears, double strike, double vol)	Adds one pillar quote.
VolSurface.Builder	addFromPrice(BlackScholes.OptionType type, double marketPrice, double spot, double strike, double rate, double carry, double expiryYears)	Adds a pillar from a market option price via implied-vol inversion.
VolSurface	build()
VolSurface.Builder	forward(double expiryYears, double forward)	Forward for an expiry.

Methods inherited from class Object

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

Constructor Details

Builder

public Builder()

Creates an instance; the explicit form of the default constructor.

Method Details

forward

public VolSurface.Builder forward(double expiryYears,
 double forward)

Forward for an expiry. Either give one for every quoted expiry (time interpolation at fixed log-moneyness) or none (fixed strike).

add

public VolSurface.Builder add(double expiryYears,
 double strike,
 double vol)

Adds one pillar quote.

addFromPrice

public VolSurface.Builder addFromPrice(BlackScholes.OptionType type,
 double marketPrice,
 double spot,
 double strike,
 double rate,
 double carry,
 double expiryYears)

Adds a pillar from a market option price via implied-vol inversion.

build

public VolSurface build()