Module net.finmath.lib
Class TenorConverter
java.lang.Object
net.finmath.marketdata.model.volatility.caplet.tenorconversion.TenorConverter
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
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Constructor Summary
ConstructorDescriptionTenorConverter
(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 TypeMethodDescriptiondouble[][]
Method that converts the current tenor caplet volatilities to the new tenor.
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Constructor Details
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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.
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Method Details
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convertTenor
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.
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