Examples of localVol()

Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        //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)){
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        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));
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        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)){
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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            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));
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        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==========================================");
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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            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
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        //LocalVolatility curve wraps BlackVarianceCurve and uses it to calculate the interpolated local volatility
        final LocalVolTermStructure localVolatilityCurve = new LocalVolCurve(new RelinkableHandle<BlackVarianceCurve>((BlackVarianceCurve)varianceCurve));

        //Calculating blackVolatility using maturity as 12 days after today and strike as 20
        volatility1 = localVolatilityCurve.localVol(date12.clone(), 20,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility1);

        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = localVolatilityCurve.localVol(date22.clone(), 30,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility2);
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        //Calculating blackVolatility using maturity as 12 days after today and strike as 20
        volatility1 = localVolatilityCurve.localVol(date12.clone(), 20,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility1);

        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = localVolatilityCurve.localVol(date22.clone(), 30,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility2);

        //Calculating blackVolatility using maturity as 32 days after today and strike as 40
        volatility3 = localVolatilityCurve.localVol(date32.clone(), 40,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility3);
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Examples of org.jquantlib.termstructures.LocalVolTermStructure.localVol()

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        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = localVolatilityCurve.localVol(date22.clone(), 30,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility2);

        //Calculating blackVolatility using maturity as 32 days after today and strike as 40
        volatility3 = localVolatilityCurve.localVol(date32.clone(), 40,true);
        System.out.println("Interpolated BlackVolatility on LocalVolCurve = "+volatility3);


        //TODO
        // System.out.println("//================================LocalVolSurface========================================");
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Examples of org.jquantlib.termstructures.volatilities.LocalConstantVol.localVol()

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        //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)){
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