Module net.finmath.lib
Package net.finmath.singleswaprate

Class Utils

java.lang.Object
net.finmath.singleswaprate.Utils
public class Utils extends Object
A collection of utility methods for dealing with the net.finmath.singleswaprate package.
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • Utils

      public Utils()

  • Method Details

    • convertTableToLattice

      public static SwaptionDataLattice convertTableToLattice​(DataTable table, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)
      Convert a DataTable containing swaption data to a SwaptionDataLattice. The table needs to be in DataTable.TableConvention.MONTHS.
      Parameters:
      table - The table in convention DataTable.TableConvention.MONTHS containing swaption data.
      quotingConvention - The quoting convention of the data.
      referenceDate - The reference date associated with the swaptions.
      discountCurveName - The name of the discount curve to be used for the swaptions.
      forwardCurveName - The name of the forward curve to be used for the swaptions.
      fixMetaSchedule - The ScheduleMetaData to be used for the fix schedules of the swaptions.
      floatMetaSchedule - The ScheduleMetaData to be used for the float schedules of the swaptions.
      Returns:
      SwaptionDataLattice containing the swaptions of the table.

    • convertMapOfTablesToLattice

      public static SwaptionDataLattice convertMapOfTablesToLattice​(Map<Integer,​DataTable> tables, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)
      Convert a map of DataTable containing swaption data to a SwaptionDataLattice. The data of the swaptions is arranged in tables by moneyness, which is used as key in the map. The tables need to be in DataTable.TableConvention.MONTHS.
      Parameters:
      tables - A map of tables, containing swaption data in convention DataTable.TableConvention.MONTHS, per moneyness.
      quotingConvention - The quoting convention of the data.
      referenceDate - The reference date associated with the swaptions.
      discountCurveName - The name of the discount curve to be used for the swaptions.
      forwardCurveName - The name of the forward curve to be used for the swaptions.
      fixMetaSchedule - The ScheduleMetaData to be used for the fix schedules of the swaptions.
      floatMetaSchedule - The ScheduleMetaData to be used for the float schedules of the swaptions.
      Returns:
      SwaptionDataLattice containing the swaptions of the tables.

    • shiftCashToPhysicalSmile

      public static SwaptionDataLattice shiftCashToPhysicalSmile​(VolatilityCubeModel model, SwaptionDataLattice physicalSwaptions, SwaptionDataLattice... cashSwaptions)
      Create smiles for physically settled swaptions by shifting the smiles from cash settled swaptions onto atm levels of physically settled swaptions.
      Parameters:
      model - Contains curves to translate swaption data to normal volatility. Can be null, if data already in normal volatility.
      physicalSwaptions - The physically settled atm swaptions.
      cashSwaptions - The smile points with corresponding atm nodes of cash swaptions.
      Returns:
      The lattice containing the shifted physically settled swaption smiles.

    • convertCashLatticeToNormalVolatility

      public static SwaptionDataLattice convertCashLatticeToNormalVolatility​(SwaptionDataLattice cashLattice, VolatilityCubeModel model)
      Convert a lattice containing cash settled swaption prices to payer normal volatilities. Conversion assumes put-call-parity.
      Parameters:
      cashLattice - The lattice of cash settled swaptions.
      model - The model containing curves for conversion.
      Returns:
      The converted lattice.