Hi team,
I was wondering if you can recommend an approach for doing market data modeling for Equity Options, assuming black-scholes model.
e.g.
input: valuation date, interpolator spec, and option price quotes at strike and expiration
output: “implied vol at tenor and delta” and/or “implied vol at tenor and strike”
I was considering copy / modifying the BlackFXOptionVol object hierarchy as:
public final class BlackScholesEquityOptionSurfaceVolatilities (cloned and changed from BlackFxOptionSurfaceVolatilities)
extends Object
implements BlackScholesEquityOptionVolatilities, ImmutableBean, Serializable
public final class BlackScholesEquityOptionSmileVolatilities (cloned and changed from BlackFxOptionSmileVolatilities)
extends Object
implements BlackScholesEquityOptionVolatilities, ImmutableBean, Serializable
public final class BlackScholesEquityOptionFlatVolatilities (cloned and changed from BlackFxOptionFlatVolatilities)
extends Object
implements BlackScholesEquityOptionVolatilities, ImmutableBean, Serializable
public interface BlackScholesEquityOptionVolatilities (cloned and changed from BlackFxOptionVolatilities)
extends EquityOptionVolatilities
All Superinterfaces:
EquityOptionVolatilities, MarketDataView, ParameterizedData
All Known Implementing Classes:
BlackScholesEquityOptionFlatVolatilities, BlackScholesEquityOptionSmileVolatilities, BlackScholesEquityOptionSurfaceVolatilities
public interface EquityOptionVolatilities (cloned and changed from FxOptionVolatilities)
extends MarketDataView, ParameterizedData
All Superinterfaces:
MarketDataView, ParameterizedData
All Known Subinterfaces:
BlackScholesEquityOptionVolatilities
All Known Implementing Classes:
BlackScholesEquityOptionFlatVolatilities, BlackScholesEquityOptionSmileVolatilities, BlackScholesEquityOptionSurfaceVolatilities
Thanks very much for your thoughts.