Module net.finmath.lib

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

Class TenorConverter

java.lang.Object

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

public class TenorConverter
extends Object

This class implements a caplet volatility tenor converter. Given a correlationprovider, the current caplet vol data and the new tenor it converts the volatilities to the new tenor using the method suggested in the paper by Schlenkrich.

Author:

Daniel Willhalm

Constructor Summary

Constructors

Constructor	Description
TenorConverter(CorrelationProvider correlationProvider, int currentTenorInMonths, int newTenorInMonths, double[] capletFixingTimeVectorInYears, double[] strikeVector, double[][] capletVolatilities, CapTenorStructure capTenorStructure, AnalyticModel analyticModel2, String indexForDiscount, String indexOldTenor, String indexNewTenor)	The constructor of the tenor conversion class

Method Summary

Modifier and Type	Method	Description
double[][]	convertTenor()	Method that converts the current tenor caplet volatilities to the new tenor.

Methods inherited from class java.lang.Object

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

Constructor Detail

TenorConverter

public TenorConverter(CorrelationProvider correlationProvider,
                      int currentTenorInMonths,
                      int newTenorInMonths,
                      double[] capletFixingTimeVectorInYears,
                      double[] strikeVector,
                      double[][] capletVolatilities,
                      CapTenorStructure capTenorStructure,
                      AnalyticModel analyticModel2,
                      String indexForDiscount,
                      String indexOldTenor,
                      String indexNewTenor)

The constructor of the tenor conversion class

Parameters:

correlationProvider - The correlation provider.

currentTenorInMonths - The tenor of the current caplet volatilities.

newTenorInMonths - The target tenor.

capletFixingTimeVectorInYears - The fixing times of the caplets.

strikeVector - The strikes of the caplets.

capletVolatilities - The caplet volatilities.

capTenorStructure - Enum determining the currency.

analyticModel2 - The analytic model containing the curves.

indexForDiscount - Index of the discount curve.

indexOldTenor - Index of the old forward curve.

indexNewTenor - Index of the new forward curve.

Method Detail

convertTenor

public double[][] convertTenor()
                        throws CalculationException

Method that converts the current tenor caplet volatilities to the new tenor.

Returns:

Caplet volatility matrix adapted to the new tenor.

Throws:

CalculationException - Thrown if conversion fails arithmetically.