Package org.jquantlib.termstructures.volatilities

Examples of org.jquantlib.termstructures.volatilities.LocalVolCurve.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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        //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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        //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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