Module net.finmath.lib
Package net.finmath.singleswaprate.model.volatilities

Class SABRVolatilityCubeParallel

java.lang.Object
net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
All Implemented Interfaces:
Serializable, VolatilityCube
public class SABRVolatilityCubeParallel extends Object implements VolatilityCube, Serializable
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes. All SABR parameters are shared throughout the cube, with the exception of the initial volatility, which is being used to fit the curve on each point of the maturity x termination grid to the ATM levels.
Author:
Christian Fries, Roland Bachl
See Also:
Serialized Form

  • Constructor Details

    • SABRVolatilityCubeParallel

      public SABRVolatilityCubeParallel​(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay)
      Create the cube. With ibor ois decorrelation set to 1.0.
      Parameters:
      name - The name of the cube.
      referenceDate - The reference date of the cube.
      swapRateTable - Table containing base swap rates.
      sabrDisplacement - Displacement for the entire cube.
      sabrBeta - Beta for the entire cube.
      sabrRho - Rho for the entire cube.
      sabrVolvol - VolVol for the entire cube.
      baseVolTable - Table containing initial volatilities.
      correlationDecay - The correlation decay parameters of this cube.

    • SABRVolatilityCubeParallel

      public SABRVolatilityCubeParallel​(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay, double iborOisDecorrelation)
      Create the cube.
      Parameters:
      name - The name of the cube.
      referenceDate - The reference date of the cube.
      swapRateTable - Table containing base swap rates.
      sabrDisplacement - Displacement for the entire cube.
      sabrBeta - Beta for the entire cube.
      sabrRho - Rho for the entire cube.
      sabrVolvol - VolVol for the entire cube.
      baseVolTable - Table containing initial volatilities.
      correlationDecay - The correlation decay parameters of this cube.
      iborOisDecorrelation - The ibor ois decorrelation parameter of this cube.

  • Method Details

    • getValue

      public double getValue​(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilityCube
      Return the volatility at the specified coordinates in the desired quotation.
      Specified by:
      getValue in interface VolatilityCube
      Parameters:
      model - A model providing context.
      termination - End date of the underlying.
      maturity - Maturity date of the option.
      strike - Strike rate of the option.
      quotingConvention - Desired quoting convention.
      Returns:
      The volatility.

    • getValue

      public double getValue​(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilityCube
      Return the volatility at the specified coordinates in the desired quotation.
      Specified by:
      getValue in interface VolatilityCube
      Parameters:
      termination - End date of the underlying.
      maturity - Maturity date of the option.
      strike - Strike rate of the option.
      quotingConvention - Desired quoting convention.
      Returns:
      The volatility.

    • getName

      public String getName()
      Description copied from interface: VolatilityCube
      Returns the name of the volatility cube.
      Specified by:
      getName in interface VolatilityCube
      Returns:
      The name of the volatility cube.

    • getReferenceDate

      public LocalDate getReferenceDate()
      Description copied from interface: VolatilityCube
      Return the reference date of this cube, i.e. the date associated with t=0.
      Specified by:
      getReferenceDate in interface VolatilityCube
      Returns:
      The date identified as t=0.

    • getCorrelationDecay

      public double getCorrelationDecay()
      Description copied from interface: VolatilityCube
      Return the correlation decay parameter of the cube. This is used to determine the correlation between tenors in a derived volvol cube.
      Specified by:
      getCorrelationDecay in interface VolatilityCube
      Returns:
      The correlation decay parameter.

    • getParameters

      public Map<String,​Object> getParameters()
      Description copied from interface: VolatilityCube
      Returns a map with all implementation dependent parameters of this volatility cube.
      Specified by:
      getParameters in interface VolatilityCube
      Returns:
      A map of all parameters.

    • getLowestStrike

      public double getLowestStrike​(VolatilityCubeModel model)
      Description copied from interface: VolatilityCube
      Returns the lowest possible value of strike that can be evaluated by this cube. This is relevant for instance when an implementation uses a SABR model with displacement.
      Specified by:
      getLowestStrike in interface VolatilityCube
      Parameters:
      model - A model for context.
      Returns:
      Lowest possible strike this volatility cube supports.

    • getIborOisDecorrelation

      public double getIborOisDecorrelation()
      Description copied from interface: VolatilityCube
      Return the IBOR vs OIS decorrelation parameter. This parameter scales the convexity adjustment in a multi curve model, using different curves for forward rates and discounting.
      Specified by:
      getIborOisDecorrelation in interface VolatilityCube
      Returns:
      The IBOR vs OIS decorrelation parameter.