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. Generally these cubes store normal implied volatilities of physically settled swaptions.
- Christian Fries, Roland Bachl
Interface Summary Interface Description VolatilityCubeInterface to be implemented by classes providing a volatility cube for a
Class Summary Class Description SABRVolatilityCubeA volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes. SABRVolatilityCubeParallelA volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes. SABRVolatilityCubeParallelFactoryBuild a
SABRVolatilityCubeParallelfrom given shared parameters and marketdata.
SABRVolatilityCubeSingleSmileA simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters. ScaledVolatilityCubeA volatility cube that always returns a multiple of the value an underlying cube would return. StaticVolatilityCubeA volatility cube that always returns the given value. VolatilityCubeFactoryA factory for all volatility cubes, based on common input. VolVolCubeThis 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.