Uses of Interface
net.finmath.singleswaprate.model.volatilities.VolatilityCube
Package
Description
Classes providing calibration to market data of volatility cubes.
Classes extending the regular analytic model, see
net.finmath.marketdata.model
, with the capacity to hold volatility cubes,
see VolatilityCube
.Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
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Uses of VolatilityCube in net.finmath.singleswaprate.calibration
Modifier and TypeMethodDescriptionprotected abstract VolatilityCube
Build the cube from a set of parameters.protected VolatilityCube
protected VolatilityCube
Run the calibration. -
Uses of VolatilityCube in net.finmath.singleswaprate.model
Modifier and TypeMethodDescriptionAnalyticModelWithVolatilityCubes.getVolatilityCube
(String name) VolatilityCubeModel.getVolatilityCube
(String name) Get a volatility cube by a given name.Modifier and TypeMethodDescriptionAnalyticModelWithVolatilityCubes.getVolatilityCubes()
VolatilityCubeModel.getVolatilityCubes()
Returns an unmodifiable map of all volatility cubes in the model.Modifier and TypeMethodDescriptionAnalyticModelWithVolatilityCubes.addVolatilityCube
(String volatilityCubeName, VolatilityCube volatilityCube) AnalyticModelWithVolatilityCubes.addVolatilityCube
(VolatilityCube volatilityCube) VolatilityCubeModel.addVolatilityCube
(String volatilityCubeName, VolatilityCube volatilityCube) Add a reference to the given volatility cube to this model under the name provided.VolatilityCubeModel.addVolatilityCube
(VolatilityCube volatilityCube) Add a reference to the given volatility cube to this model. -
Uses of VolatilityCube in net.finmath.singleswaprate.model.volatilities
Modifier and TypeClassDescriptionclass
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.class
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.class
A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.class
A volatility cube that always returns a multiple of the value an underlying cube would return.class
A volatility cube that always returns the given value.class
This cube provides the volatility of the stochastic driver for each sub-tenor of the swap rate's schedule in the Piterbarg model of the annuity mapping.