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

Class AbstractCubeCalibration

java.lang.Object
net.finmath.singleswaprate.calibration.AbstractCubeCalibration
Direct Known Subclasses:
SABRCubeParallelCalibration, StaticCubeCalibration
public abstract class AbstractCubeCalibration extends Object
Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods:
  • buildCube
  • initializeParameters
  • applyParameterBounds
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • AbstractCubeCalibration

      public AbstractCubeCalibration​(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)
      Create the calibrator.
      Parameters:
      referenceDate - The reference date of the cube.
      cashPayerPremiums - The lattice containing market targets for cash settled payer swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
      cashReceiverPremiums - The lattice containing market targets for cash settled receiver swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
      model - The model providing context.
      annuityMappingType - The type of annuity mapping to be used for calibration.
      Throws:
      IllegalArgumentException - Triggers when data is not provided in QuotingConvention.Price.

  • Method Details

    • buildCube

      protected abstract VolatilityCube buildCube​(String name, double[] parameters)
      Build the cube from a set of parameters. These need to be an array of all parameters to be calibrated.
      Parameters:
      name - The name the cube will carry.
      parameters - The parameters of the cube as array.
      Returns:
      The volatility cube.

    • initializeParameters

      protected abstract void initializeParameters()
      Prepare the parameters for the start of the calibration.

    • applyParameterBounds

      protected abstract double[] applyParameterBounds​(double[] parameters)
      Apply bounds to parameters. Such as volatility larger zero.
      Parameters:
      parameters - The raw parameters of the cube as array.
      Returns:
      The parameters with their respective bounds applied.

    • calibrate

      public VolatilityCube calibrate​(String cubeName) throws SolverException
      Run the calibration.
      Parameters:
      cubeName - The name of the final cube.
      Returns:
      The calibrated cube.
      Throws:
      SolverException - Thrown, when solvers fail to find suitable parameters.

    • setCalibrationParameters

      public void setCalibrationParameters​(int maxIterations, int numberOfThreads)
      Set the parameters for calibration.
      Parameters:
      maxIterations - The maximum number of iterations done during calibration.
      numberOfThreads - The number of processor threads to be used.

    • getMaxIterations

      public int getMaxIterations()
      Returns:
      The maximum number of iterations of the optimizer.

    • getNumberOfThreads

      public int getNumberOfThreads()
      Returns:
      The number of threads the optimizer is allowed to use.

    • setReplicationParameters

      public void setReplicationParameters​(boolean useAsOffset, double lowerBound, double upperBound, int numberOfEvaluationPoints)
      Set the parameters for the swaption replication.
      Parameters:
      useAsOffset - Are the values of lower and upperBound to be understood as offsets from the par swap rate?
      lowerBound - The lowest strike allowed.
      upperBound - The maximal strike allowed.
      numberOfEvaluationPoints - The number of points to be evaluated during the integration.

    • isReplicationUseAsOffset

      public boolean isReplicationUseAsOffset()
      Returns:
      True when the replication bounds are to be understood as offset from the par swap rate.

    • getReplicationLowerBound

      public double getReplicationLowerBound()
      Returns:
      The lowest strike allowed during swaption replication.

    • getReplicationUpperBound

      public double getReplicationUpperBound()
      Returns:
      The maximal strike allowed during swaption replication.

    • getReplicationNumberOfEvaluationPoints

      public int getReplicationNumberOfEvaluationPoints()
      Returns:
      The number of points to be evaluated during swaption replication.

    • getReferenceDate

      public LocalDate getReferenceDate()
      Returns:
      the referenceDate

    • getModel

      public VolatilityCubeModel getModel()
      Returns:
      the model

    • getForwardCurveName

      public String getForwardCurveName()
      Returns:
      the forwardCurveName

    • getInitialParameters

      public double[] getInitialParameters()
      Returns:
      the initialParameters

    • setInitialParameters

      public void setInitialParameters​(double[] initialParameters)
      Parameters:
      initialParameters - the initialParameters to set