Uses of Interface
net.finmath.singleswaprate.model.volatilities.VolatilityCube

Packages that use VolatilityCube

Package	Description
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
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 VolatilityCube in net.finmath.singleswaprate.calibration

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

Modifier and Type	Method	Description
protected abstract VolatilityCube	AbstractCubeCalibration.buildCube(String name, double[] parameters)	Build the cube from a set of parameters.
protected VolatilityCube	SABRCubeParallelCalibration.buildCube(String name, double[] parameters)
protected VolatilityCube	StaticCubeCalibration.buildCube(String cubeName, double[] parameters)
VolatilityCube	AbstractCubeCalibration.calibrate(String cubeName)	Run the calibration.

Uses of VolatilityCube in net.finmath.singleswaprate.model

Methods in net.finmath.singleswaprate.model that return VolatilityCube

Modifier and Type	Method	Description
VolatilityCube	AnalyticModelWithVolatilityCubes.getVolatilityCube(String name)
VolatilityCube	VolatilityCubeModel.getVolatilityCube(String name)	Get a volatility cube by a given name.

Methods in net.finmath.singleswaprate.model that return types with arguments of type VolatilityCube

Modifier and Type	Method	Description
Map<String,VolatilityCube>	AnalyticModelWithVolatilityCubes.getVolatilityCubes()
Map<String,VolatilityCube>	VolatilityCubeModel.getVolatilityCubes()	Returns an unmodifiable map of all volatility cubes in the model.

Methods in net.finmath.singleswaprate.model with parameters of type VolatilityCube

Modifier and Type	Method	Description
VolatilityCubeModel	AnalyticModelWithVolatilityCubes.addVolatilityCube(String volatilityCubeName, VolatilityCube volatilityCube)
VolatilityCubeModel	AnalyticModelWithVolatilityCubes.addVolatilityCube(VolatilityCube volatilityCube)
VolatilityCubeModel	VolatilityCubeModel.addVolatilityCube(String volatilityCubeName, VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model under the name provided.
VolatilityCubeModel	VolatilityCubeModel.addVolatilityCube(VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model.

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

Classes in net.finmath.singleswaprate.model.volatilities that implement VolatilityCube

Modifier and Type	Class	Description
class	SABRVolatilityCube	A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
class	SABRVolatilityCubeParallel	A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
class	SABRVolatilityCubeSingleSmile	A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.
class	ScaledVolatilityCube	A volatility cube that always returns a multiple of the value an underlying cube would return.
class	StaticVolatilityCube	A volatility cube that always returns the given value.
class	VolVolCube	This cube provides the volatility of the stochastic driver for each sub-tenor of the swap rate's schedule in the Piterbarg model of the annuity mapping.