Examples of org.jquantlib.termstructures.volatilities.LocalConstantVol


            // constant Black vol?
            if (BlackConstantVol.class.isAssignableFrom(klass)) {
                // ok, the local volatility is constant too.
                final BlackConstantVol constVol = (BlackConstantVol) blackVolatility.currentLink();
                localVolatility.linkTo(new LocalConstantVol(
                        constVol.referenceDate(),
                        constVol.blackVol(/*@Time*/0.0, /*@Real*/x0.currentLink().value()), constVol.dayCounter()));
                updated = true;
                return localVolatility;
            }


        //LocalConstantVolatility is essentially same as BlackConstantVol and is a local volatility version of BlackConstantVol


        //Let's set the quoteValue = 0.05 and use the constantVolatility a BlackConstantVol
        volatilityQuote.setValue(0.05);
        final LocalVolTermStructure localConstantVolatility = new LocalConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());


        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        if(constantVolatility.blackVol(date10.clone(), 20) == localConstantVolatility.localVol(date10.clone(), 20,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date10.clone(), 20,true));
        }


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        if(constantVolatility.blackVol(date20.clone(), 30) == localConstantVolatility.localVol(date20.clone(), 30,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date20.clone(), 30,true));
        }


        //Calculating blackVolatility using maturity as 30 days after today and strike as 40
        if(constantVolatility.blackVol(date30.clone(), 40) == localConstantVolatility.localVol(date30.clone(), 40,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date30.clone(), 40,true));
        }


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


        //LocalVolatility curve wraps BlackVarianceCurve and uses it to calculate the interpolated local volatility

Examples of org.jquantlib.termstructures.volatilities.LocalConstantVol

Related Classes of org.jquantlib.termstructures.volatilities.LocalConstantVol