Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet

Class CapShiftedVol

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.Cap

net.finmath.marketdata.model.volatility.caplet.CapShiftedVol

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.

Version:

1.0

Author:

Christian Fries

To dos:

Support convexity adjustment if fixing is in arrears., Fix JavaDoc for shift.

Constructor Summary

Constructors

Constructor	Description
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).

Method Summary

Modifier and Type	Method	Description
double	getValueAsPrice(double evaluationTime, AnalyticModel model)	Returns the value of this product under the given model.

Methods inherited from class net.finmath.marketdata.products.Cap

getATMForward, getDiscountCurveName, getForwardCurveName, getImpliedVolatility, getStrike, getValue, toString

Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product

getValues

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.

Parameters:

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.

Overrides:

getValueAsPrice in class Cap

Parameters:

evaluationTime - Evaluation time.

model - The model.

Returns:

Value of this product under the given model.