Uses of Enum
net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType
Package
Description
Classes providing options for the annuity mapping function.
Classes providing calibration to market data of volatility cubes.
Provides classes to store and interact with market data.
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
Provides interface specification and implementation of product based on a single interest rate curve.
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Uses of AnnuityMapping.AnnuityMappingType in net.finmath.singleswaprate.annuitymapping
Modifier and TypeMethodDescriptionReturns the enum constant of this type with the specified name.static AnnuityMapping.AnnuityMappingType[]
AnnuityMapping.AnnuityMappingType.values()
Returns an array containing the constants of this enum type, in the order they are declared.Modifier and TypeMethodDescriptionAnnuityMappingFactory.build
(AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model) Build the annuity mapping.static AnnuityMapping
AnnuityMappingFactory.buildAnnuityMapping
(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model) Build an annuity mapping.static AnnuityMapping
AnnuityMappingFactory.buildAnnuityMapping
(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model, double lowerBound, double upperBound, int numberOfEvaluationPoints) Build an annuity mapping. -
Uses of AnnuityMapping.AnnuityMappingType in net.finmath.singleswaprate.calibration
ModifierConstructorDescriptionAbstractCubeCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the calibrator.SABRCubeCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the calibrator.SABRCubeCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation) Create the calibrator.SABRCubeParallelCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the calibrator.StaticCubeCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the calibrator.StaticCubeCalibration
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay) Create the calibrator. -
Uses of AnnuityMapping.AnnuityMappingType in net.finmath.singleswaprate.data
ModifierConstructorDescriptionErrorEstimation
(LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, AnnuityMapping.AnnuityMappingType annuityMappingType, SwaptionDataLattice physicalPremiumsATM, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, String discountCurveName, String forwardCurveName, String volatilityCubeName, double replicationLowerBound, double replicationUpperBound, int replicationNumberOfEvaluationPoints) Create the class. -
Uses of AnnuityMapping.AnnuityMappingType in net.finmath.singleswaprate.model.volatilities
ModifierConstructorDescriptionVolatilityCubeFactory
(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, double displacement, double beta, double correlationDecay, double iborOisDecorrelation, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the factory. -
Uses of AnnuityMapping.AnnuityMappingType in net.finmath.singleswaprate.products
ModifierConstructorDescriptionAnnuityDummyProduct
(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the dummy product with the annuity mapping specified by type.CashSettledPayerSwaption
(Schedule fixSchedule, Schedule floatSchedule, double strike, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the product.CashSettledPayerSwaption
(Schedule fixSchedule, Schedule floatSchedule, double strike, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType, double replicationLowerBound, double replicationUpperBound, int replicationNumberOfEvaluationPoints) Create the product with custom replication settings.CashSettledReceiverSwaption
(Schedule fixSchedule, Schedule floatSchedule, double strike, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the product.CashSettledReceiverSwaption
(Schedule fixSchedule, Schedule floatSchedule, double strike, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType, double replicationLowerBound, double replicationUpperBound, int replicationNumberOfEvaluationPoints) Create the product with custom replication settings.ConstantMaturitySwap
(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType) Create the single swap rate product.