Package org.jquantlib.termstructures.volatilities

Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackVol()

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        //Following is the curve
        final BlackVarianceTermStructure varianceCurve = new BlackVarianceCurve(today,dates,volatilities, new Actual365Fixed(), false);
        ((BlackVarianceCurve)varianceCurve).setInterpolation();

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

        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = varianceCurve.blackVol(date22.clone(), 30);
        System.out.println("Interpolated BlackVolatility on BlackVarianceCurve = "+volatility2);
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        //Calculating blackVolatility using maturity as 12 days after today and strike as 20
        volatility1 = varianceCurve.blackVol(date12.clone(), 20);
        System.out.println("Interpolated BlackVolatility on BlackVarianceCurve = "+volatility1);

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

        //Calculating blackVolatility using maturity as 32 days after today and strike as 40
        volatility3 = varianceCurve.blackVol(date32.clone(), 40);
        System.out.println("Interpolated BlackVolatility on BlackVarianceCurve = "+volatility3);
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        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = varianceCurve.blackVol(date22.clone(), 30);
        System.out.println("Interpolated BlackVolatility on BlackVarianceCurve = "+volatility2);

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


        //Calculating blackForwardVolatility between 12 days after today and 16 days after today with strike as 20
        forwardVolatility1 = varianceCurve.blackForwardVol(date12.clone(), date16.clone(), 20, true);
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        //Lets use underlying as varianceCurve defined above by creating a relinkable handle as shown below
        final RelinkableHandle<BlackVolTermStructure> varianceCurveHandle = new RelinkableHandle<BlackVolTermStructure>(varianceCurve);
        final BlackVarianceTermStructure impliedVolTermStructure = new ImpliedVolTermStructure(varianceCurveHandle, today);

        //Calculating blackVolatility using maturity as 12 days after today and strike as 20
        volatility1 = varianceCurve.blackVol(date12.clone(), 20);
        final double impliedVolatility1 = impliedVolTermStructure.blackVol(date12.clone(), 20);

        if(volatility1 == impliedVolatility1){
            System.out.println("Interpolated BlackVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+volatility1);
        }
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        if(volatility1 == impliedVolatility1){
            System.out.println("Interpolated BlackVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+volatility1);
        }

        //Calculating blackVolatility using maturity as 22 days after today and strike as 30
        volatility2 = varianceCurve.blackVol(date22.clone(), 30);
        final double impliedVolatility2 = impliedVolTermStructure.blackVol(date22.clone(), 30);
        if(volatility2 == impliedVolatility2){
            System.out.println("Interpolated BlackVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+volatility2);
        }
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        if(volatility2 == impliedVolatility2){
            System.out.println("Interpolated BlackVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+volatility2);
        }

        //Calculating blackVolatility using maturity as 32 days after today and strike as 40
        volatility3 = varianceCurve.blackVol(date32.clone(), 40);
        final double impliedVolatility3 = impliedVolTermStructure.blackVol(date32.clone(), 40);
        if(volatility3 == impliedVolatility3){
            System.out.println("Interpolated BlackVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+volatility3);
        }
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