Examples of BlackVarianceSurface


Examples of org.jquantlib.termstructures.volatilities.BlackVarianceSurface

                {0.2,0.5,0.6,0.7,0.8,0.9}
        });


        //Following is the variance surface where variance = f(strike,maturity) and f = function
        final BlackVarianceTermStructure varianceSurface = new BlackVarianceSurface(
                today, datesAxis,
                strikeAxis, volatilityMatrix, new Actual365Fixed(),
                Extrapolation.InterpolatorDefaultExtrapolation,
                Extrapolation.InterpolatorDefaultExtrapolation);
        ((BlackVarianceSurface)varianceSurface).setInterpolation(null);

        //As the surface has been set up to do interpolations so let's start calculating the volatilities for strikes
        //and maturities lying between the points as mentioned by strikesAxis and dateAxis.
        //Calculating blackVolatility using maturity as 12 days after today and strike as 18
        volatility1 = varianceSurface.blackVol(date12.clone(), 18);
        System.out.println("Interpolated BlackVolatility on BlackVarianceSurface = "+volatility1);

        //Calculating blackVolatility using maturity as 22 days after today and strike as 33
        volatility2 = varianceSurface.blackVol(date22.clone(), 33);
        System.out.println("Interpolated BlackVolatility on BlackVarianceSurface = "+volatility2);

        //Calculating blackVolatility using maturity as 32 days after today and strike as 45
        volatility3 = varianceSurface.blackVol(date32.clone(), 45);
        System.out.println("Interpolated BlackVolatility on BlackVarianceSurface = "+volatility3);


        //Calculating blackForwardVolatility between 12 days after today and 16 days after today with strike as 20
        forwardVolatility1 = varianceSurface.blackForwardVol(date12.clone(), date16.clone(), 20, true);
        System.out.println("Interpolated BlackForwardVolatility on BlackVarianceSurface = "+forwardVolatility1);

        //Calculating blackForwardVolatility between 22 days after today and 26 days after today with strike as 40
        forwardVolatility2 = varianceSurface.blackForwardVol(date22.clone(), date26.clone(), 40, true);
        System.out.println("Interpolated BlackForwardVolatility on BlackVarianceSurface = "+forwardVolatility2);

        //Calculating blackForwardVolatility between 27 days after today and 35 days after today with strike as 50
        forwardVolatility3 = varianceSurface.blackForwardVol(date27.clone(), date35.clone(), 50, true);
        System.out.println("Interpolated BlackForwardVolatility on BlackVarianceSurface = "+forwardVolatility3);


        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        System.out.println("Interpolated BlackVariance on BlackVarianceSurface = "+varianceSurface.blackVariance(date12.clone(), 20));

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        System.out.println("Interpolated BlackForwardVariance on BlackVarianceSurface = "+varianceSurface.blackForwardVariance(date12.clone(), date16.clone(), 20, true));

        System.out.println("//================================ImpliedVolTermStructure=============================");

        //As mentioned in the java docs the implied volatility termstructure remains linked to
        //the underlying termstructure and changes to same are linked to ImpliedVolTermStructure
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