Class SABRCubeParallelCalibration


public class SABRCubeParallelCalibration extends AbstractCubeCalibration
Christian Fries, Roland Bachl
  • Constructor Details

    • SABRCubeParallelCalibration

      public SABRCubeParallelCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)
      Create the calibrator.
      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.
      physicalATMSwaptions - Lattice containing at-the-money values of physically settled swaptions.
      model - The model providing context.
      annuityMappingType - The type of annuity mapping to be used for calibration.
  • Method Details

    • buildCube

      protected VolatilityCube buildCube(String name, double[] parameters)
      Description copied from class: AbstractCubeCalibration
      Build the cube from a set of parameters. These need to be an array of all parameters to be calibrated.
      Specified by:
      buildCube in class AbstractCubeCalibration
      name - The name the cube will carry.
      parameters - The parameters of the cube as array.
      The volatility cube.
    • initializeParameters

      protected void initializeParameters()
      Description copied from class: AbstractCubeCalibration
      Prepare the parameters for the start of the calibration.
      Specified by:
      initializeParameters in class AbstractCubeCalibration
    • applyParameterBounds

      protected double[] applyParameterBounds(double[] parameters)
      Description copied from class: AbstractCubeCalibration
      Apply bounds to parameters. Such as volatility larger zero.
      Specified by:
      applyParameterBounds in class AbstractCubeCalibration
      parameters - The raw parameters of the cube as array.
      The parameters with their respective bounds applied.
    • getInitialCorrelationDecay

      public double getInitialCorrelationDecay()
    • setInitialCorrelationDecay

      public void setInitialCorrelationDecay(double initialCorrelationDecay)
    • getInitialIborOisDecorrelation

      public double getInitialIborOisDecorrelation()
    • setInitialIborOisDecorrelation

      public void setInitialIborOisDecorrelation(double initialIborOisDecorrelation)
    • getInitialDisplacement

      public double getInitialDisplacement()
    • setInitialDisplacement

      public void setInitialDisplacement(double initialDisplacement)
    • getInitialBeta

      public double getInitialBeta()
    • setInitialBeta

      public void setInitialBeta(double initialBeta)
    • getInitialRho

      public double getInitialRho()
    • setInitialRho

      public void setInitialRho(double initialRho)
    • getInitialVolvol

      public double getInitialVolvol()
    • setInitialVolvol

      public void setInitialVolvol(double initialVolvol)