Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class SwaptionATM

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwaptionATM

All Implemented Interfaces:

Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct

public class SwaptionATM
extends AbstractTermStructureMonteCarloProduct
implements Swaption

A lightweight ATM swaption product used for calibration.

Version:

1.0

Author:

Stefan Sedlmair, Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption

Swaption.ValueUnit

Constructor Summary

Constructors

Constructor	Description
SwaptionATM(double[] swapTenor, Swaption.ValueUnit valueUnit)

Method Summary

Modifier and Type	Method	Description
RandomVariable	getImpliedBachelierATMOptionVolatility(RandomVariable optionValue, double optionMaturity, double swapAnnuity)	Calculates ATM Bachelier implied volatilities.
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

SwaptionATM

public SwaptionATM(double[] swapTenor,
 Swaption.ValueUnit valueUnit)

Method Details

getValue

public RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel model)
                        throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractTermStructureMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getImpliedBachelierATMOptionVolatility

public RandomVariable getImpliedBachelierATMOptionVolatility(RandomVariable optionValue,
 double optionMaturity,
 double swapAnnuity)

Calculates ATM Bachelier implied volatilities.

Parameters:

optionValue - RandomVarable representing the value of the option

optionMaturity - Time to maturity.

swapAnnuity - The swap annuity as seen on valuation time.

Returns:

The Bachelier implied volatility.

See Also:

• AnalyticFormulas.bachelierOptionImpliedVolatility(double, double, double, double, double)