Package jdistlib.finance

Class OptionCurve

java.lang.Object

jdistlib.finance.OptionCurve

public final class OptionCurve
extends Object

Arbitrage-repaired European option curve and its implied risk-neutral law.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	OptionCurve.Diagnostics

Method Summary

Modifier and Type	Method	Description
static OptionCurve	build(double forward, double discount, double maturity, OptionObservation... observations)
OptionCurve.Diagnostics	getDiagnostics()
double	getDiscount()
OptionImpliedDistribution	getDistribution()
double	getForward()
double	getMaturity()
double[]	getOriginalUndiscountedCalls()
double[]	getStrikes()
double[]	getUndiscountedCalls()
SmoothOptionDistributionResult	smoothDistribution(double bandwidth)	Optional smooth nonnegative density with quote and bandwidth-sensitivity diagnostics.
double	strikeIntervalProbability(double lower, double upper)
double	terminalProbability(double threshold, Tail tail)

Methods inherited from class java.lang.Object

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

Method Details

build

public static OptionCurve build(double forward,
 double discount,
 double maturity,
 OptionObservation... observations)

getForward

public double getForward()

getDiscount

public double getDiscount()

getMaturity

public double getMaturity()

getStrikes

public double[] getStrikes()

getUndiscountedCalls

public double[] getUndiscountedCalls()

getOriginalUndiscountedCalls

public double[] getOriginalUndiscountedCalls()

getDiagnostics

public OptionCurve.Diagnostics getDiagnostics()

getDistribution

public OptionImpliedDistribution getDistribution()

smoothDistribution

public SmoothOptionDistributionResult smoothDistribution(double bandwidth)

Optional smooth nonnegative density with quote and bandwidth-sensitivity diagnostics.

terminalProbability

public double terminalProbability(double threshold,
 Tail tail)

strikeIntervalProbability

public double strikeIntervalProbability(double lower,
 double upper)