Module net.finmath.lib
Package net.finmath.singleswaprate.calibration

Class StaticCubeCalibration

java.lang.Object
net.finmath.singleswaprate.calibration.AbstractCubeCalibration
net.finmath.singleswaprate.calibration.StaticCubeCalibration
public class StaticCubeCalibration extends AbstractCubeCalibration
Calibration for a simple cube that only provides a single value at all coordinates.
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • StaticCubeCalibration

      public StaticCubeCalibration​(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, 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.
      model - The model providing context.
      annuityMappingType - The type of annuity mapping to be used for calibration.

    • StaticCubeCalibration

      public StaticCubeCalibration​(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay)
      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.
      model - The model providing context.
      annuityMappingType - The type of annuity mapping to be used for calibration.
      initialValue - The value to start the calibration at.
      initialCorrelationDecay - The correlation decay to start the calibration at.

  • Method Details

    • buildCube

      protected VolatilityCube buildCube​(String cubeName, 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:
      cubeName - 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.