Uses of Class
net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube

Packages that use SABRVolatilityCube

Package	Description
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.model.volatilities	Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.

Uses of SABRVolatilityCube in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration that return SABRVolatilityCube

Modifier and Type	Method	Description
SABRVolatilityCube	SABRShiftedSmileCalibration.build(String name)	Perform the calibrations and build the cube.
SABRVolatilityCube	SABRCubeCalibration.calibrate(String cubeName, int[] terminations)	Run the calibration.
static SABRVolatilityCube	SABRShiftedSmileCalibration.createSABRVolatilityCube(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.

Uses of SABRVolatilityCube in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities that return SABRVolatilityCube

Modifier and Type	Method	Description
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildShiftedSmileSABRCube(String name, VolatilityCubeModel model)	Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.