com.illumon.modelfarm.fitterfarm.futures.FuturesFitDataVolSurface

All Implemented Interfaces:: FitDataBase, FitDataOptionChain, FitDataOptionChainFutures, 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 Description

FuturesFitDataVolSurface()

FuturesFitDataVolSurface(FuturesFitDataVolSurface data)

Method Summary

Modifier and Type	Method	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

getOptionAskGaps, getOptionAsks, getOptionAskSizes, getOptionBidGaps, getOptionBids, getOptionBidSizes, setOptionAskGaps, setOptionAsks, setOptionAskSizes, setOptionBidGaps, setOptionBids, setOptionBidSizes

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

getFutureAskGaps, getFutureAsks, getFutureAskSizes, getFutureBidGaps, getFutureBids, getFutureBidSizes, getFutureExpirations, getFutureIds, getFutureLasts, getFutureSyms, setFutureAskGaps, setFutureAsks, setFutureAskSizes, setFutureBidGaps, setFutureBids, setFutureBidSizes, setFutureExpirations, setFutureIds, setFutureLasts, setFutureSyms

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

getUnderlyingFutureIds, 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.FitDataOptionChain

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

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

getTimestamp, getUnderlyingId, getUnderlyingSym, getUnderlyingType

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

getFutureMids

Constructor Details
- FuturesFitDataVolSurface
  
  public FuturesFitDataVolSurface()
- FuturesFitDataVolSurface
  
  public FuturesFitDataVolSurface(FuturesFitDataVolSurface data)
Method Details
- 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

Constructor	Description
`FuturesFitDataVolSurface()`
`FuturesFitDataVolSurface(FuturesFitDataVolSurface data)`

Class FuturesFitDataVolSurface

Constructor Summary