Module net.finmath.lib

Package net.finmath.singleswaprate.calibration

Class SABRCubeParallelCalibration

java.lang.Object

net.finmath.singleswaprate.calibration.AbstractCubeCalibration

net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration

public class SABRCubeParallelCalibration
extends AbstractCubeCalibration

Calibrates a SABRVolatilityCubeParallel.

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration

AbstractCubeCalibration.SwaptionInfo

Constructor Summary

Constructors

Constructor	Description
SABRCubeParallelCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.

Method Summary

Modifier and Type	Method	Description
protected double[]	applyParameterBounds(double[] parameters)	Apply bounds to parameters.
protected VolatilityCube	buildCube(String name, double[] parameters)	Build the cube from a set of parameters.
double	getInitialBeta()
double	getInitialCorrelationDecay()
double	getInitialDisplacement()
double	getInitialIborOisDecorrelation()
double	getInitialRho()
double	getInitialVolvol()
protected void	initializeParameters()	Prepare the parameters for the start of the calibration.
void	setInitialBeta(double initialBeta)
void	setInitialCorrelationDecay(double initialCorrelationDecay)
void	setInitialDisplacement(double initialDisplacement)
void	setInitialIborOisDecorrelation(double initialIborOisDecorrelation)
void	setInitialRho(double initialRho)
void	setInitialVolvol(double initialVolvol)

Methods inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration

calibrate, getForwardCurveName, getInitialParameters, getMaxIterations, getModel, getNumberOfThreads, getReferenceDate, getReplicationLowerBound, getReplicationNumberOfEvaluationPoints, getReplicationUpperBound, isReplicationUseAsOffset, setCalibrationParameters, setInitialParameters, setReplicationParameters

Methods inherited from class java.lang.Object

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

Constructor Details

SABRCubeParallelCalibration

public SABRCubeParallelCalibration(LocalDate referenceDate,
 SwaptionDataLattice cashPayerPremiums,
 SwaptionDataLattice cashReceiverPremiums,
 SwaptionDataLattice physicalATMSwaptions,
 VolatilityCubeModel model,
 AnnuityMapping.AnnuityMappingType annuityMappingType)

Create the calibrator.

Parameters:

referenceDate - The reference date of the cube.

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.

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

model - The model providing context.

annuityMappingType - The type of annuity mapping to be used for calibration.

Method Details

buildCube

protected VolatilityCube buildCube(String name,
 double[] parameters)

Description copied from class: AbstractCubeCalibration

Build the cube from a set of parameters. These need to be an array of all parameters to be calibrated.

Specified by:

buildCube in class AbstractCubeCalibration

Parameters:

name - The name the cube will carry.

parameters - The parameters of the cube as array.

Returns:

The volatility cube.

initializeParameters

protected void initializeParameters()

Description copied from class: AbstractCubeCalibration

Prepare the parameters for the start of the calibration.

Specified by:

initializeParameters in class AbstractCubeCalibration

applyParameterBounds

protected double[] applyParameterBounds(double[] parameters)

Description copied from class: AbstractCubeCalibration

Apply bounds to parameters. Such as volatility larger zero.

Specified by:

applyParameterBounds in class AbstractCubeCalibration

Parameters:

parameters - The raw parameters of the cube as array.

Returns:

The parameters with their respective bounds applied.

getInitialCorrelationDecay

public double getInitialCorrelationDecay()

setInitialCorrelationDecay

public void setInitialCorrelationDecay(double initialCorrelationDecay)

getInitialIborOisDecorrelation

public double getInitialIborOisDecorrelation()

setInitialIborOisDecorrelation

public void setInitialIborOisDecorrelation(double initialIborOisDecorrelation)

getInitialDisplacement

public double getInitialDisplacement()

setInitialDisplacement

public void setInitialDisplacement(double initialDisplacement)

getInitialBeta

public double getInitialBeta()

setInitialBeta

public void setInitialBeta(double initialBeta)

getInitialRho

public double getInitialRho()

setInitialRho

public void setInitialRho(double initialRho)

getInitialVolvol

public double getInitialVolvol()

setInitialVolvol

public void setInitialVolvol(double initialVolvol)