Module net.finmath.lib

Package net.finmath.singleswaprate.model.volatilities

Class VolatilityCubeFactory

java.lang.Object

net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory

public class VolatilityCubeFactory
extends Object

A factory for all volatility cubes, based on common input.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
VolatilityCubeFactory(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, double displacement, double beta, double correlationDecay, double iborOisDecorrelation, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the factory.

Method Summary

Modifier and Type	Method	Description
SABRVolatilityCubeParallel	buildParallelSABRCube(String name, double rho, double volvol, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model)	Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.
SABRVolatilityCube	buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	buildShiftedSmileSABRCube(String name, VolatilityCubeModel model)	Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.
int	getMaxIterations()
int	getNumberOfThreads()
double	getReplicationLowerBound()
double	getReplicationNumberOfEvaluationPoints()
double	getReplicationUpperBound()
void	setCalibrationParameters(int maxIterations, int numberOfThreads)	Set the parameters for calibration.
void	setReplicationParameters(double lowerBound, double upperBound, int numberOfEvaluationPoints)	Set the parameters for replication.

Methods inherited from class java.lang.Object

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

Constructor Detail

VolatilityCubeFactory

public VolatilityCubeFactory(LocalDate referenceDate,
                             SwaptionDataLattice cashPayerPremiums,
                             SwaptionDataLattice cashReceiverPremiums,
                             SwaptionDataLattice physicalPremiumsATM,
                             double displacement,
                             double beta,
                             double correlationDecay,
                             double iborOisDecorrelation,
                             AnnuityMapping.AnnuityMappingType annuityMappingType)

Create the factory.

Parameters:

referenceDate - The reference date the cubes will have.

cashPayerPremiums - The lattice containing market targets for cash settled payer swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.

cashReceiverPremiums - The lattice containing market targets for cash settled receiver swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.

physicalPremiumsATM - Table containing physical settled swaption atm premiums.

displacement - The displacement a cube should use.

beta - The SABR beta parameter SABR cube should use.

correlationDecay - The correlation decay parameter a cube should use.

iborOisDecorrelation - The ibor ois decorrelation a cube should use.

annuityMappingType - The type of annuity mapping to use when building the cube.

Method Detail

buildParallelSABRCube

public SABRVolatilityCubeParallel buildParallelSABRCube(String name,
                                                        double rho,
                                                        double volvol,
                                                        SwaptionDataLattice physicalATMSwaptions,
                                                        VolatilityCubeModel model)

Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.

Parameters:

name - The name of the cube.

rho - The SABR parameter rho.

volvol - The SABR volvol parameter.

physicalATMSwaptions - Lattice containing at-the-money values of physically settled swaptions.

model - The model for context.

Returns:

The cube.

buildShiftedSmileSABRCube

public SABRVolatilityCube buildShiftedSmileSABRCube(String name,
                                                    VolatilityCubeModel model)
                                             throws SolverException

Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.

Parameters:

name - The name of the cube.

model - The model for context.

Returns:

The calibrated cube.

Throws:

SolverException - Thrown when solvers fail to find suitable parameters.

buildSABRVolatilityCube

public SABRVolatilityCube buildSABRVolatilityCube(String name,
                                                  VolatilityCubeModel model,
                                                  int[] terminations)
                                           throws SolverException

Build a SABRVolatilityCube by calibration via SABRCubeCalibration.

Parameters:

name - The name of the cube.

model - The model for context.

terminations - The terminations to calibrate to in each slice.

Returns:

The calibrated cube.

Throws:

SolverException - Thrown when either the calibration of final or initial parameters (if not provided) fails.

buildSABRVolatilityCube

public SABRVolatilityCube buildSABRVolatilityCube(String name,
                                                  VolatilityCubeModel model,
                                                  int[] terminations,
                                                  DataTable initialRhos,
                                                  DataTable initialBaseVols,
                                                  DataTable initialVolvols)
                                           throws SolverException

Build a SABRVolatilityCube by calibration via SABRCubeCalibration.

Parameters:

name - The name of the cube.

model - The model for context.

terminations - The terminations to calibrate to in each slice.

initialRhos - Table containing initial rhos for the calibration.

initialBaseVols - Table containing initial base volatilities for the calibration.

initialVolvols - Table containing initial volvols for the calibration.

Returns:

The calibrated cube.

Throws:

SolverException - Thrown when either the calibration of final or initial parameters (if not provided) fails.

getNumberOfThreads

public int getNumberOfThreads()

Returns:

The number of threads for calibration.

getMaxIterations

public int getMaxIterations()

Returns:

The maximum number of iterations during calibration.

setCalibrationParameters

public void setCalibrationParameters(int maxIterations,
                                     int numberOfThreads)

Set the parameters for calibration.

Parameters:

maxIterations - The maximum number of iterations done during calibration.

numberOfThreads - The number of processor threads to be used.

setReplicationParameters

public void setReplicationParameters(double lowerBound,
                                     double upperBound,
                                     int numberOfEvaluationPoints)

Set the parameters for replication.

Parameters:

lowerBound - The lowest swap rate to be evaluated.

upperBound - The highest swap rate to be evaluated.

numberOfEvaluationPoints - The number of points to be evaluated during replication.

getReplicationLowerBound

public double getReplicationLowerBound()

Returns:

The lowest swap rate to be evaluated during replication.

getReplicationUpperBound

public double getReplicationUpperBound()

Returns:

The highest swap rate to be evaluated during replication.

getReplicationNumberOfEvaluationPoints

public double getReplicationNumberOfEvaluationPoints()

Returns:

The number of points to be evaluated during replication.