com.illumon.modelfarm.fitterfarm.futures

Class FuturesFitDataVolSurface

java.lang.Object

com.illumon.modelfarm.fitterfarm.CoreFitData

com.illumon.modelfarm.fitterfarm.futures.FuturesFitData

com.illumon.modelfarm.fitterfarm.futures.FuturesFitDataOptionPrices

com.illumon.modelfarm.fitterfarm.futures.FuturesFitDataVolSurface

All Implemented Interfaces:

FitDataBase, FitDataOptionChain, FitDataOptionPrices, FitDataRates, FitDataUnderlying, FitDataUnderlyingFutures, FitDataVolSurface, Serializable

public class FuturesFitDataVolSurface
extends FuturesFitDataOptionPrices
implements FitDataVolSurface, Serializable

A snapshot of market data needed to fit a futures option model. Option prices are provided as a vol surface.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
FuturesFitDataVolSurface()
FuturesFitDataVolSurface(FuturesFitDataVolSurface data)

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.
void	setVolSurfaceExpirations(DBDateTime[] volSurfaceExpirations) Sets an array of expirations associated with the vol surface.
void	setVolSurfaceForwardErrors(double[] volSurfaceForwardErrors) Sets the forward price errors associated with the expirations in the vol surface.
void	setVolSurfaceForwardPrices(double[] volSurfaceForwardPrices) Sets the forward prices associated with the expirations in the vol surface.
void	setVolSurfaceImpliedVolErrors(double[][] volSurfaceImpliedVolErrors) Sets the implied vol errors of the vol surface.
void	setVolSurfaceImpliedVols(double[][] volSurfaceImpliedVols) Sets the implied vols of the vol surface.
void	setVolSurfaceStrikes(double[][] volSurfaceStrikes) Sets the strikes of the vol surface.
String	toString()
protected String	toStringContents()

Methods inherited from class com.illumon.modelfarm.fitterfarm.futures.FuturesFitDataOptionPrices

getOptionAsks, getOptionBids, setOptionAsks, setOptionBids

Methods inherited from class com.illumon.modelfarm.fitterfarm.futures.FuturesFitData

getFutureAsks, getFutureBids, getFutureExpirations, getFutureIds, getFutureSyms, getUnderlyingFutureIds, setFutureAsks, setFutureBids, setFutureExpirations, setFutureIds, setFutureSyms, setUnderlyingFutureIds

Methods inherited from class com.illumon.modelfarm.fitterfarm.CoreFitData

clone2d, getCarryCurveDates, getCarryCurveErrors, getCarryCurveRates, getDivCashAmounts, getDivExDates, getDivProportionalAmounts, getFitGroup, getFitScope, getOptionExerciseTypes, getOptionExpirations, getOptionIds, getOptionPayoffTypes, getOptionRoots, getOptionSettlementTypes, getOptionStrikes, getOptionSyms, getTimestamp, getUnderlyingId, getUnderlyingSym, getUnderlyingType, getYieldCurveDates, getYieldCurveRates, setCarryCurveDates, setCarryCurveErrors, setCarryCurveRates, setDivCashAmounts, setDivExDates, setDivProportionalAmounts, setFitGroup, setOptionExerciseTypes, setOptionExpirations, setOptionIds, setOptionPayoffTypes, setOptionRoots, setOptionSettlementTypes, setOptionStrikes, setOptionSyms, setTimestamp, setUnderlyingId, setUnderlyingSym, setUnderlyingType, setYieldCurveDates, setYieldCurveRates

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

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

getTimestamp, getUnderlyingId, getUnderlyingSym, getUnderlyingType

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

getOptionExerciseTypes, getOptionExpirations, getOptionIds, getOptionPayoffTypes, getOptionRoots, getOptionSettlementTypes, getOptionStrikes, getOptionSyms

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

getFutureMids

Constructor Detail

FuturesFitDataVolSurface

public FuturesFitDataVolSurface()

FuturesFitDataVolSurface

public FuturesFitDataVolSurface(FuturesFitDataVolSurface data)

Method Detail

getVolSurfaceExpirations

public DBDateTime[] getVolSurfaceExpirations()

Description copied from interface: FitDataVolSurface

Gets an array of expirations associated with the vol surface.

Specified by:

getVolSurfaceExpirations in interface FitDataVolSurface

Returns:

array of expirations associated with the vol surface.

setVolSurfaceExpirations

public void setVolSurfaceExpirations(DBDateTime[] volSurfaceExpirations)

Sets an array of expirations associated with the vol surface.

Parameters:

volSurfaceExpirations - array of expirations associated with the vol surface.

getVolSurfaceForwardPrices

public double[] getVolSurfaceForwardPrices()

Description copied from interface: FitDataVolSurface

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

Specified by:

getVolSurfaceForwardPrices in interface FitDataVolSurface

Returns:

forward prices associated with the expirations in the vol surface.

setVolSurfaceForwardPrices

public void setVolSurfaceForwardPrices(double[] volSurfaceForwardPrices)

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

Parameters:

volSurfaceForwardPrices - forward prices associated with the expirations in the vol surface.

getVolSurfaceForwardErrors

public double[] getVolSurfaceForwardErrors()

Description copied from interface: FitDataVolSurface

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

Specified by:

getVolSurfaceForwardErrors in interface FitDataVolSurface

Returns:

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

setVolSurfaceForwardErrors

public void setVolSurfaceForwardErrors(double[] volSurfaceForwardErrors)

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

Parameters:

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

getVolSurfaceStrikes

public double[][] getVolSurfaceStrikes()

Description copied from interface: FitDataVolSurface

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

Specified by:

getVolSurfaceStrikes in interface FitDataVolSurface

Returns:

strikes of the vol surface.

setVolSurfaceStrikes

public void setVolSurfaceStrikes(double[][] volSurfaceStrikes)

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

Parameters:

volSurfaceStrikes - strikes of the vol surface.

getVolSurfaceImpliedVols

public double[][] getVolSurfaceImpliedVols()

Description copied from interface: FitDataVolSurface

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

Specified by:

getVolSurfaceImpliedVols in interface FitDataVolSurface

Returns:

implied vols of the vol surface.

setVolSurfaceImpliedVols

public void setVolSurfaceImpliedVols(double[][] volSurfaceImpliedVols)

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

Parameters:

volSurfaceImpliedVols - implied vols of the vol surface.

getVolSurfaceImpliedVolErrors

public double[][] getVolSurfaceImpliedVolErrors()

Description copied from interface: FitDataVolSurface

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

Specified by:

getVolSurfaceImpliedVolErrors in interface FitDataVolSurface

Returns:

implied vol errors of the vol surface.

setVolSurfaceImpliedVolErrors

public void setVolSurfaceImpliedVolErrors(double[][] volSurfaceImpliedVolErrors)

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

Parameters:

volSurfaceImpliedVolErrors - implied vol errors of the vol surface.

toStringContents

protected String toStringContents()

Overrides:

toStringContents in class FuturesFitDataOptionPrices

toString

public String toString()

Overrides:

toString in class FuturesFitDataOptionPrices