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

Class VolatilityCubeFactory

java.lang.Object
net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
public class VolatilityCubeFactory extends Object
A factory for all volatility cubes, based on common input.
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • VolatilityCubeFactory

      public VolatilityCubeFactory(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, double displacement, double beta, double correlationDecay, double iborOisDecorrelation, AnnuityMapping.AnnuityMappingType annuityMappingType)
      Create the factory.
      Parameters:
      referenceDate - The reference date the cubes will have.
      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.
      physicalPremiumsATM - Table containing physical settled swaption atm premiums.
      displacement - The displacement a cube should use.
      beta - The SABR beta parameter SABR cube should use.
      correlationDecay - The correlation decay parameter a cube should use.
      iborOisDecorrelation - The ibor ois decorrelation a cube should use.
      annuityMappingType - The type of annuity mapping to use when building the cube.

  • Method Details

    • buildParallelSABRCube

      public SABRVolatilityCubeParallel buildParallelSABRCube(String name, double rho, double volvol, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model)
      Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.
      Parameters:
      name - The name of the cube.
      rho - The SABR parameter rho.
      volvol - The SABR volvol parameter.
      physicalATMSwaptions - Lattice containing at-the-money values of physically settled swaptions.
      model - The model for context.
      Returns:
      The cube.

    • buildShiftedSmileSABRCube

      public SABRVolatilityCube buildShiftedSmileSABRCube(String name, VolatilityCubeModel model) throws SolverException
      Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.
      Parameters:
      name - The name of the cube.
      model - The model for context.
      Returns:
      The calibrated cube.
      Throws:
      SolverException - Thrown when solvers fail to find suitable parameters.

    • buildSABRVolatilityCube

      public SABRVolatilityCube buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations) throws SolverException
      Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
      Parameters:
      name - The name of the cube.
      model - The model for context.
      terminations - The terminations to calibrate to in each slice.
      Returns:
      The calibrated cube.
      Throws:
      SolverException - Thrown when either the calibration of final or initial parameters (if not provided) fails.

    • buildSABRVolatilityCube

      public SABRVolatilityCube buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols) throws SolverException
      Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
      Parameters:
      name - The name of the cube.
      model - The model for context.
      terminations - The terminations to calibrate to in each slice.
      initialRhos - Table containing initial rhos for the calibration.
      initialBaseVols - Table containing initial base volatilities for the calibration.
      initialVolvols - Table containing initial volvols for the calibration.
      Returns:
      The calibrated cube.
      Throws:
      SolverException - Thrown when either the calibration of final or initial parameters (if not provided) fails.

    • getNumberOfThreads

      public int getNumberOfThreads()
      Returns:
      The number of threads for calibration.

    • getMaxIterations

      public int getMaxIterations()
      Returns:
      The maximum number of iterations during calibration.

    • setCalibrationParameters

      public void setCalibrationParameters(int maxIterations, int numberOfThreads)
      Set the parameters for calibration.
      Parameters:
      maxIterations - The maximum number of iterations done during calibration.
      numberOfThreads - The number of processor threads to be used.

    • setReplicationParameters

      public void setReplicationParameters(double lowerBound, double upperBound, int numberOfEvaluationPoints)
      Set the parameters for replication.
      Parameters:
      lowerBound - The lowest swap rate to be evaluated.
      upperBound - The highest swap rate to be evaluated.
      numberOfEvaluationPoints - The number of points to be evaluated during replication.

    • getReplicationLowerBound

      public double getReplicationLowerBound()
      Returns:
      The lowest swap rate to be evaluated during replication.

    • getReplicationUpperBound

      public double getReplicationUpperBound()
      Returns:
      The highest swap rate to be evaluated during replication.

    • getReplicationNumberOfEvaluationPoints

      public double getReplicationNumberOfEvaluationPoints()
      Returns:
      The number of points to be evaluated during replication.