All Implemented Interfaces:
AnalyticProduct, Product

public class CapShiftedVol extends Cap
Implements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface. A cap is a portfolio of Caplets with a common strike, i.e., the strike is the same for all Caplets. The class can value a caplet with a given strike or given moneyness. If moneyness is given, the class calculates the ATM forward. Note that this is done by omitting the first (fixed) period, see Cap.getATMForward(AnalyticModel, boolean). Note: A fixing in arrears is not handled correctly since a convexity adjustment is currently not applied.
Christian Fries
To dos:
Support convexity adjustment if fixing is in arrears., Fix JavaDoc for shift.
  • Constructor Details

    • CapShiftedVol

      public CapShiftedVol(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName, double shift)
      Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name). The valuation is performed using analytic valuation formulas for the underlying caplets.
      schedule - A given payment schedule, i.e., a collection of Periods with fixings, payments and period length.
      forwardCurveName - The forward curve to be used for the forward of the index.
      strike - The given strike (or moneyness).
      isStrikeMoneyness - If true, then the strike argument is interpreted as moneyness, i.e. we calculate an ATM forward from the schedule.
      discountCurveName - The discount curve to be used for discounting.
      volatilitySurfaceName - The volatility surface to be used.
      shift - The shift of the volatility surface.
  • Method Details

    • getValueAsPrice

      public double getValueAsPrice(double evaluationTime, AnalyticModel model)
      Returns the value of this product under the given model.
      getValueAsPrice in class Cap
      evaluationTime - Evaluation time.
      model - The model.
      Value of this product under the given model.