com.illumon.modelfarm.fitterfarm

Interface FitDataVolSurface

All Superinterfaces:

FitDataUnderlying

All Known Implementing Classes:

EquityFitDataVolSurface, FuturesFitDataVolSurface

public interface FitDataVolSurface
extends FitDataUnderlying

A snapshot of market data needed to define the vol surface for an underlying.

Method Summary

Modifier and Type	Method and Description
DBDateTime[]	getVolSurfaceExpirations() Gets an array of expirations associated with the vol surface.
double[]	getVolSurfaceForwardErrors() Gets the forward price errors associated with the expirations in the vol surface.
double[]	getVolSurfaceForwardPrices() Gets the forward prices associated with the expirations in the vol surface.
double[][]	getVolSurfaceImpliedVolErrors() Gets the implied vol errors of the vol surface.
double[][]	getVolSurfaceImpliedVols() Gets the implied vols of the vol surface.
double[][]	getVolSurfaceStrikes() Gets the strikes of the vol surface.

Methods inherited from interface com.illumon.modelfarm.fitterfarm.FitDataUnderlying

getTimestamp, getUnderlyingId, getUnderlyingSym, getUnderlyingType

Method Detail

getVolSurfaceExpirations

DBDateTime[] getVolSurfaceExpirations()

Gets an array of expirations associated with the vol surface.

Returns:

array of expirations associated with the vol surface.

getVolSurfaceForwardPrices

double[] getVolSurfaceForwardPrices()

Gets the forward prices associated with the expirations in the vol surface.

Returns:

forward prices associated with the expirations in the vol surface.

getVolSurfaceForwardErrors

double[] getVolSurfaceForwardErrors()

Gets the forward price errors associated with the expirations in the vol surface.

Returns:

forward price errors associated with the expirations in the vol surface.

getVolSurfaceStrikes

double[][] getVolSurfaceStrikes()

Gets the strikes of the vol surface. The first index corresponds to the expiration.

Returns:

strikes of the vol surface.

getVolSurfaceImpliedVols

double[][] getVolSurfaceImpliedVols()

Gets the implied vols of the vol surface. The first index corresponds to the expiration.

Returns:

implied vols of the vol surface.

getVolSurfaceImpliedVolErrors

double[][] getVolSurfaceImpliedVolErrors()

Gets the implied vol errors of the vol surface. The first index corresponds to the expiration.

Returns:

implied vol errors of the vol surface.