Package com.opengamma.analytics.financial.model.volatility.surface

Examples of com.opengamma.analytics.financial.model.volatility.surface.Moneyness

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  }

  @Override
  public double getVolatility(final double t, final double k) {
    final double f = _fc.getForward(t);
    final Moneyness x = new Moneyness(k, f);
    return getVolatility(t, x);
  }
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   * @param m the moneyness. value moneyness  mv = F(t,T)/F(0,T), and strike moneyness mk = k/F(0,T) where k is the strike
   *  and F(t, T) is the value of the forward for expiry at time T at time t.
   * @return The local volatility
   */
  public double getVolatilityForMoneyness(final double t, final double m) {
    final Moneyness s = new Moneyness(m);
    return getVolatility(t, s);
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.surface.Moneyness

  • com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceMoneyness
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