Package org.jquantlib.termstructures.volatilities

Examples of org.jquantlib.termstructures.volatilities.ImpliedVolTermStructure.blackForwardVol()

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        }


        //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);
        final double impliedForwardVolatility1 = impliedVolTermStructure.blackForwardVol(date12.clone(), date16.clone(), 20, true);
        if(forwardVolatility1 == impliedForwardVolatility1){
            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility1);
        }

        //Calculating blackForwardVolatility between 22 days after today and 26 days after today with strike as 40
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            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility1);
        }

        //Calculating blackForwardVolatility between 22 days after today and 26 days after today with strike as 40
        forwardVolatility2 = varianceCurve.blackForwardVol(date22.clone(), date26.clone(), 40, true);
        final double impliedForwardVolatility2 = impliedVolTermStructure.blackForwardVol(date22.clone(), date26.clone(), 40, true);
        if(forwardVolatility2 == impliedForwardVolatility2){
            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility2);
        }

        //Calculating blackForwardVolatility between 27 days after today and 35 days after today with strike as 60
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            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility2);
        }

        //Calculating blackForwardVolatility between 27 days after today and 35 days after today with strike as 60
        forwardVolatility3 = varianceCurve.blackForwardVol(date27.clone(), date35.clone(), 60, true);
        final double impliedForwardVolatility3 = impliedVolTermStructure.blackForwardVol(date27.clone(), date35.clone(), 60, true);
        if(forwardVolatility3 == impliedForwardVolatility3){
            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility3);
        }

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