Uses of Class
net.finmath.marketdata.model.volatilities.SwaptionDataLattice

Packages that use SwaptionDataLattice

Package	Description
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.parser	Contains classes for parsing files.
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
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 SwaptionDataLattice in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return SwaptionDataLattice

Modifier and Type	Method	Description
SwaptionDataLattice	SwaptionDataLattice.append(SwaptionDataLattice other, AnalyticModel model)	Append the data of another lattice to this lattice.
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, double displacement, AnalyticModel model)	Convert this lattice to store data in the given convention.
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, AnalyticModel model)	Convert this lattice to store data in the given convention.

Methods in net.finmath.marketdata.model.volatilities with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
SwaptionDataLattice	SwaptionDataLattice.append(SwaptionDataLattice other, AnalyticModel model)	Append the data of another lattice to this lattice.

Uses of SwaptionDataLattice in net.finmath.parser

Methods in net.finmath.parser that return SwaptionDataLattice

Modifier and Type	Method	Description
SwaptionDataLattice	CSVSwaptionParser.parseCSV(File atmFile, File otmFile, LocalDate referenceDate, String currency, String index, String discountCurveName)	Extract a single lattice from the pair of csv files.
SwaptionDataLattice[]	CSVSwaptionParser.parseZIP(File atmFile, File otmFile, String currency, String index, String discountCurveName)	Extract an array of SwaptionDataLattice from the zip files.
SwaptionDataLattice[]	CSVSwaptionParser.parseZIPToConvention(File atmFile, File otmFile, String currency, String index, String discountCurveName, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel... models)	Extract an array of SwaptionDataLattice from the zip files.

Methods in net.finmath.parser that return types with arguments of type SwaptionDataLattice

Modifier and Type	Method	Description
Set<SwaptionDataLattice>	CSVSwaptionParser.parseCSVMultiShift(File atmFile, File otmFile, LocalDate referenceDate, String currency, String index, String discountCurveName)	Extract a set of lattices from the pair of csv files.

Methods in net.finmath.parser with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
static LocalDate[]	CSVSwaptionParser.getReferenceDates(SwaptionDataLattice[] lattices)	Extract the reference date of each SwaptionDataLattice in an array.

Uses of SwaptionDataLattice in net.finmath.singleswaprate

Methods in net.finmath.singleswaprate that return SwaptionDataLattice

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertCashLatticeToNormalVolatility(SwaptionDataLattice cashLattice, VolatilityCubeModel model)	Convert a lattice containing cash settled swaption prices to payer normal volatilities.
static SwaptionDataLattice	Utils.convertMapOfTablesToLattice(Map<Integer,DataTable> tables, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a map of DataTable containing swaption data to a SwaptionDataLattice.
static SwaptionDataLattice	Utils.convertTableToLattice(DataTable table, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a DataTable containing swaption data to a SwaptionDataLattice.
static SwaptionDataLattice	Utils.shiftCashToPhysicalSmile(VolatilityCubeModel model, SwaptionDataLattice physicalSwaptions, SwaptionDataLattice... cashSwaptions)	Create smiles for physically settled swaptions by shifting the smiles from cash settled swaptions onto atm levels of physically settled swaptions.

Methods in net.finmath.singleswaprate with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertCashLatticeToNormalVolatility(SwaptionDataLattice cashLattice, VolatilityCubeModel model)	Convert a lattice containing cash settled swaption prices to payer normal volatilities.
static SwaptionDataLattice	Utils.shiftCashToPhysicalSmile(VolatilityCubeModel model, SwaptionDataLattice physicalSwaptions, SwaptionDataLattice... cashSwaptions)	Create smiles for physically settled swaptions by shifting the smiles from cash settled swaptions onto atm levels of physically settled swaptions.

Uses of SwaptionDataLattice in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
static SABRVolatilityCube	SABRShiftedSmileCalibration.createSABRVolatilityCube(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.
static Map<Integer,DataTable>	SABRShiftedSmileCalibration.createVolatilityCubeLattice(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model)	Return all data points as volatilities that serve as calibration targets.

Constructors in net.finmath.singleswaprate.calibration with parameters of type SwaptionDataLattice

Modifier	Constructor	Description
	AbstractCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
	SABRCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
	SABRCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Create the calibrator.
	SABRCubeParallelCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
	SABRShiftedSmileCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Create the calibrator to be able to modify calibration parameters before building the cube.
	StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
	StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay)	Create the calibrator.

Uses of SwaptionDataLattice in net.finmath.singleswaprate.data

Methods in net.finmath.singleswaprate.data with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
void	ErrorEstimation.evaluate(SwaptionDataLattice nodes, VolatilityCubeModel model)	Evaluate the market data against the model.

Constructors in net.finmath.singleswaprate.data with parameters of type SwaptionDataLattice

Modifier	Constructor	Description
	ErrorEstimation(LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, AnnuityMapping.AnnuityMappingType annuityMappingType, SwaptionDataLattice physicalPremiumsATM, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, String discountCurveName, String forwardCurveName, String volatilityCubeName, double replicationLowerBound, double replicationUpperBound, int replicationNumberOfEvaluationPoints)	Create the class.

Uses of SwaptionDataLattice in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities with parameters of type SwaptionDataLattice

Modifier and Type	Method	Description
SABRVolatilityCubeParallel	VolatilityCubeFactory.buildParallelSABRCube(String name, double rho, double volvol, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model)	Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.
static SABRVolatilityCubeParallel	SABRVolatilityCubeParallelFactory.createSABRVolatilityCubeParallel(String cubeName, LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, double correlationDecay, double iborOisDecorrelation, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, String forwardCurveName)	Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.

Constructors in net.finmath.singleswaprate.model.volatilities with parameters of type SwaptionDataLattice

Modifier	Constructor	Description
	VolatilityCubeFactory(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, double displacement, double beta, double correlationDecay, double iborOisDecorrelation, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the factory.