Class TenorConverter

  • public class TenorConverter
    extends Object
    This class implements a caplet volatility tenor converter. Given a correlationprovider, the current caplet vol data and the new tenor it converts the volatilities to the new tenor using the method suggested in the paper by Schlenkrich.
    Daniel Willhalm
    • Constructor Detail

      • TenorConverter

        public TenorConverter​(CorrelationProvider correlationProvider,
                              int currentTenorInMonths,
                              int newTenorInMonths,
                              double[] capletFixingTimeVectorInYears,
                              double[] strikeVector,
                              double[][] capletVolatilities,
                              CapTenorStructure capTenorStructure,
                              AnalyticModel analyticModel2,
                              String indexForDiscount,
                              String indexOldTenor,
                              String indexNewTenor)
        The constructor of the tenor conversion class
        correlationProvider - The correlation provider.
        currentTenorInMonths - The tenor of the current caplet volatilities.
        newTenorInMonths - The target tenor.
        capletFixingTimeVectorInYears - The fixing times of the caplets.
        strikeVector - The strikes of the caplets.
        capletVolatilities - The caplet volatilities.
        capTenorStructure - Enum determining the currency.
        analyticModel2 - The analytic model containing the curves.
        indexForDiscount - Index of the discount curve.
        indexOldTenor - Index of the old forward curve.
        indexNewTenor - Index of the new forward curve.
    • Method Detail

      • convertTenor

        public double[][] convertTenor()
                                throws CalculationException
        Method that converts the current tenor caplet volatilities to the new tenor.
        Caplet volatility matrix adapted to the new tenor.
        CalculationException - Thrown if conversion fails arithmetically.