Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet.tenorconversion

Class CorrelationProviderTenorBasis

java.lang.Object

net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis

All Implemented Interfaces:

CorrelationProvider

public class CorrelationProviderTenorBasis
extends Object
implements CorrelationProvider

This class implements a correlation provider based on iCap market data. The weekly iCap delivery consists of 3M and 6M caplet volatilities. Using those and the formulas from the Schlenkrich paper we can calculate the correlation between forward rates of the form F(0,0.5*i,0.5*i+0.3) and F(0,0.5*i+0.25,0.5*(i+1)). Those aren't enough though to convert tenors from anything else than 3M to 6M.

Author:

Daniel Willhalm

To dos:

Calibrate a parameterization as suggested by Schlenkrich given the calculated 3M correlations and use this parameterization to extract all missing correlations.

Constructor Summary

Constructors

Constructor	Description
CorrelationProviderTenorBasis(CapVolMarketData iCap3MCapVolMarketData, CapVolMarketData iCap6MCapVolMarketData)

Method Summary

Modifier and Type	Method	Description
double	get3MCorrelation(double firstForwardFixingTimeVectorInYears, double secondForwardFixingTimeVectorInYears, AnalyticModel analyticModel)
double	get6MCorrelation(double firstForwardFixingTimeVectorInYears, double secondForwardFixingTimeVectorInYears, AnalyticModel analyticModel)
double	getCorrelation(int oldTenor, double firstForwardFixingTimeVectorInYears, double secondForwardFixingTimeVectorInYears, AnalyticModel analyticModel, String indexForDiscount)
double[][]	getCorrelationMatrix3M()
double[][]	getCorrelationMatrix6M()
CapletVolBootstrapping	getICap3MCapletVolBootrapper()
double[][]	getiCap3MCapletVolMatrix()
CapletVolBootstrapping	getICap6MCapletVolBootrapper()
double[][]	getiCap6MCapletVolMatrix()

Methods inherited from class java.lang.Object

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

Constructor Detail

CorrelationProviderTenorBasis

public CorrelationProviderTenorBasis(CapVolMarketData iCap3MCapVolMarketData,
                                     CapVolMarketData iCap6MCapVolMarketData)

Method Detail

get6MCorrelation

public double get6MCorrelation(double firstForwardFixingTimeVectorInYears,
                               double secondForwardFixingTimeVectorInYears,
                               AnalyticModel analyticModel)
                        throws CalculationException

Throws:

CalculationException

get3MCorrelation

public double get3MCorrelation(double firstForwardFixingTimeVectorInYears,
                               double secondForwardFixingTimeVectorInYears,
                               AnalyticModel analyticModel)
                        throws CalculationException

Throws:

CalculationException

getiCap3MCapletVolMatrix

public double[][] getiCap3MCapletVolMatrix()

getiCap6MCapletVolMatrix

public double[][] getiCap6MCapletVolMatrix()

getCorrelationMatrix3M

public double[][] getCorrelationMatrix3M()

getCorrelationMatrix6M

public double[][] getCorrelationMatrix6M()

getICap3MCapletVolBootrapper

public CapletVolBootstrapping getICap3MCapletVolBootrapper()

getICap6MCapletVolBootrapper

public CapletVolBootstrapping getICap6MCapletVolBootrapper()

getCorrelation

public double getCorrelation(int oldTenor,
                             double firstForwardFixingTimeVectorInYears,
                             double secondForwardFixingTimeVectorInYears,
                             AnalyticModel analyticModel,
                             String indexForDiscount)
                      throws CalculationException

Specified by:

getCorrelation in interface CorrelationProvider

Throws:

CalculationException