Class VolSurface

java.lang.Object

com.quantfinlib.pricing.VolSurface

public final class VolSurface
extends Object

Implied volatility surface built from (expiry, strike, vol) pillar quotes — or directly from market option prices via implied-vol inversion.

Interpolation follows market practice:

• Within a smile — linear in vol across strikes, flat extrapolation beyond the quoted wings.
• Across expiries — linear in total variance (w = σ²·T) at fixed strike, which keeps the interpolated term structure calendar-consistent; flat vol extrapolation outside the quoted expiry range.

Immutable and thread-safe once built.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	VolSurface.Builder

Method Summary

Modifier and Type	Method	Description
double	atmVol(double expiryYears, double forward)	ATM vol, taking the forward (or spot) as the at-the-money strike.
static VolSurface.Builder	builder()
NavigableSet<Double>	expiries()
double	price(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double expiryYears)	Option price using the surface vol at (expiry, strike).
double	skew(double expiryYears, double strikeLow, double strikeHigh)	Smile slope between two strikes, in vol points per unit of strike.
NavigableSet<Double>	strikes(double expiryYears)
double	vol(double expiryYears, double strike)	Interpolated implied volatility at any (expiry, strike).

Methods inherited from class java.lang.Object

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

Method Details

builder

public static VolSurface.Builder builder()

vol

public double vol(double expiryYears,
 double strike)

Interpolated implied volatility at any (expiry, strike).

atmVol

public double atmVol(double expiryYears,
 double forward)

ATM vol, taking the forward (or spot) as the at-the-money strike.

price

public double price(BlackScholes.OptionType type,
 double spot,
 double strike,
 double rate,
 double carry,
 double expiryYears)

Option price using the surface vol at (expiry, strike).

skew

public double skew(double expiryYears,
 double strikeLow,
 double strikeHigh)

Smile slope between two strikes, in vol points per unit of strike.

expiries

public NavigableSet<Double> expiries()

strikes

public NavigableSet<Double> strikes(double expiryYears)