Record Class RatesOptions.VolModel

java.lang.Object

java.lang.Record

com.quantfinlib.rates.RatesOptions.VolModel

Enclosing class:

RatesOptions

public static record RatesOptions.VolModel(RatesOptions.VolType type, double shift)
extends Record

A vol type together with its displacement (0 unless shifted lognormal).

Constructor Summary

Constructors

Constructor	Description
VolModel(RatesOptions.VolType type, double shift)	Creates an instance of a VolModel record class.

Method Summary

Modifier and Type	Method	Description
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
double	forwardValue(BlackScholes.OptionType type, double forward, double strike, double vol, double expiry)	Undiscounted option value on a forward under this model.
final int	hashCode()	Returns a hash code value for this object.
double	impliedVol(BlackScholes.OptionType type, double forwardValue, double forward, double strike, double expiry)	Implied vol of this model from an undiscounted value (NaN if unattainable).
static RatesOptions.VolModel	lognormal()
static RatesOptions.VolModel	normal()
double	shift()	Returns the value of the shift record component.
static RatesOptions.VolModel	shiftedLognormal(double shift)
final String	toString()	Returns a string representation of this record class.
RatesOptions.VolType	type()	Returns the value of the type record component.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

VolModel

public VolModel(RatesOptions.VolType type,
 double shift)

Creates an instance of a VolModel record class.

Parameters:

type - the value for the type record component

shift - the value for the shift record component

Method Details

lognormal

public static RatesOptions.VolModel lognormal()

shiftedLognormal

public static RatesOptions.VolModel shiftedLognormal(double shift)

normal

public static RatesOptions.VolModel normal()

forwardValue

public double forwardValue(BlackScholes.OptionType type,
 double forward,
 double strike,
 double vol,
 double expiry)

Undiscounted option value on a forward under this model.

impliedVol

public double impliedVol(BlackScholes.OptionType type,
 double forwardValue,
 double forward,
 double strike,
 double expiry)

Implied vol of this model from an undiscounted value (NaN if unattainable).

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

type

public RatesOptions.VolType type()

Returns the value of the type record component.

Returns:

the value of the type record component

shift

public double shift()

Returns the value of the shift record component.

Returns:

the value of the shift record component