## Uses of Interfacenet.finmath.singleswaprate.model.volatilities.VolatilityCube

• Packages that use VolatilityCube
Package Description
net.finmath.singleswaprate.calibration
Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.model
Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.model.volatilities
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.
• ### Uses of VolatilityCube in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration that return VolatilityCube
Modifier and Type Method Description
protected abstract VolatilityCube AbstractCubeCalibration.buildCube​(String name, double[] parameters)
Build the cube from a set of parameters.
protected VolatilityCube SABRCubeParallelCalibration.buildCube​(String name, double[] parameters)
protected VolatilityCube StaticCubeCalibration.buildCube​(String cubeName, double[] parameters)
VolatilityCube AbstractCubeCalibration.calibrate​(String cubeName)
Run the calibration.
• ### Uses of VolatilityCube in net.finmath.singleswaprate.model

Methods in net.finmath.singleswaprate.model that return VolatilityCube
Modifier and Type Method Description
VolatilityCube AnalyticModelWithVolatilityCubes.getVolatilityCube​(String name)
VolatilityCube VolatilityCubeModel.getVolatilityCube​(String name)
Get a volatility cube by a given name.
Methods in net.finmath.singleswaprate.model that return types with arguments of type VolatilityCube
Modifier and Type Method Description
Map<String,​VolatilityCube> AnalyticModelWithVolatilityCubes.getVolatilityCubes()
Map<String,​VolatilityCube> VolatilityCubeModel.getVolatilityCubes()
Returns an unmodifiable map of all volatility cubes in the model.
Methods in net.finmath.singleswaprate.model with parameters of type VolatilityCube
Modifier and Type Method Description
VolatilityCubeModel AnalyticModelWithVolatilityCubes.addVolatilityCube​(String volatilityCubeName, VolatilityCube volatilityCube)
VolatilityCubeModel AnalyticModelWithVolatilityCubes.addVolatilityCube​(VolatilityCube volatilityCube)
VolatilityCubeModel VolatilityCubeModel.addVolatilityCube​(String volatilityCubeName, VolatilityCube volatilityCube)
Add a reference to the given volatility cube to this model under the name provided.
VolatilityCubeModel VolatilityCubeModel.addVolatilityCube​(VolatilityCube volatilityCube)
Add a reference to the given volatility cube to this model.
• ### Uses of VolatilityCube in net.finmath.singleswaprate.model.volatilities

Classes in net.finmath.singleswaprate.model.volatilities that implement VolatilityCube
Modifier and Type Class Description
class  SABRVolatilityCube
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
class  SABRVolatilityCubeParallel
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
class  SABRVolatilityCubeSingleSmile
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  ScaledVolatilityCube
A volatility cube that always returns a multiple of the value an underlying cube would return.
class  StaticVolatilityCube
A volatility cube that always returns the given value.
class  VolVolCube
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.