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

Class CapletVolatilitiesParametricDisplacedFourParameterAnalytic

java.lang.Object
net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
All Implemented Interfaces:
Cloneable, ParameterObject, VolatilitySurface
public class CapletVolatilitiesParametricDisplacedFourParameterAnalytic extends AbstractVolatilitySurfaceParametric
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \). In other words, the Black volatility of the displaced rate for maturity T is given by \[ \sqrt{ \frac{1}{T} \int_0^T ((a + b t) \exp(- c t) + d)^2 dt } \]. The displacement may be either set as a fixed parameter (isDisplacementCalibrateable = false) or as a free parameter (isDisplacementCalibrateable = true). This will alter the behavior of the getCloneForParameter method which either requires a double[4] or a double[5] argument.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • CapletVolatilitiesParametricDisplacedFourParameterAnalytic

      public CapletVolatilitiesParametricDisplacedFourParameterAnalytic​(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double displacement, boolean isDisplacementCalibrateable, double a, double b, double c, double d, double timeScaling)
      Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
      Parameters:
      name - The name of this volatility surface.
      referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.
      forwardCurve - The underlying forward curve.
      discountCurve - The associated discount curve.
      displacement - The displacement for the forward rate.
      isDisplacementCalibrateable - Boolean specifying if the displacement parameter is considered a free parameter of the model.
      a - The parameter a
      b - The parameter b
      c - The parameter c
      d - The parameter d
      timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

  • Method Details

    • getValue

      public double getValue​(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilitySurface
      Returns the price or implied volatility for the corresponding maturity and strike.
      Parameters:
      maturity - The option maturity for which the price or implied volatility is requested.
      strike - The option strike for which the price or implied volatility is requested.
      quotingConvention - The quoting convention to be used for the return value.
      Returns:
      The price or implied volatility depending on the quoting convention.

    • getValue

      public double getValue​(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilitySurface
      Returns the price or implied volatility for the corresponding maturity and strike.
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (may be null).
      maturity - The option maturity for which the price or implied volatility is requested.
      strike - The option strike for which the price or implied volatility is requested.
      quotingConvention - The quoting convention to be used for the return value.
      Returns:
      The price or implied volatility depending on the quoting convention.

    • getParameter

      public double[] getParameter()
      Description copied from interface: ParameterObject
      Get the current parameter associated with the state of the objects.
      Returns:
      The parameter.

    • setParameter

      public void setParameter​(double[] parameter)
      Description copied from interface: ParameterObject
      Set the current parameter and change the state of the objects.
      Parameters:
      parameter - The parameter associated with the new state of the objects.

    • getCloneForParameter

      public AbstractVolatilitySurfaceParametric getCloneForParameter​(double[] value) throws CloneNotSupportedException
      Description copied from class: AbstractVolatilitySurfaceParametric
      Returns a clone of this volatility surface with modified parameters.
      Specified by:
      getCloneForParameter in interface ParameterObject
      Specified by:
      getCloneForParameter in class AbstractVolatilitySurfaceParametric
      Parameters:
      value - Parameter array.
      Returns:
      Clone with new parameters.
      Throws:
      CloneNotSupportedException - Thrown if this object cannot be cloned.