Class CorrelationProviderTenorBasis

  • All Implemented Interfaces:

    public class CorrelationProviderTenorBasis
    extends Object
    implements CorrelationProvider
    This class implements a correlation provider based on iCap market data. The weekly iCap delivery consists of 3M and 6M caplet volatilities. Using those and the formulas from the Schlenkrich paper we can calculate the correlation between forward rates of the form F(0,0.5*i,0.5*i+0.3) and F(0,0.5*i+0.25,0.5*(i+1)). Those aren't enough though to convert tenors from anything else than 3M to 6M.
    Daniel Willhalm
    To dos:
    Calibrate a parameterization as suggested by Schlenkrich given the calculated 3M correlations and use this parameterization to extract all missing correlations.
    • Constructor Detail

    • Method Detail

      • getiCap3MCapletVolMatrix

        public double[][] getiCap3MCapletVolMatrix()
      • getiCap6MCapletVolMatrix

        public double[][] getiCap6MCapletVolMatrix()
      • getCorrelationMatrix3M

        public double[][] getCorrelationMatrix3M()
      • getCorrelationMatrix6M

        public double[][] getCorrelationMatrix6M()