Module net.finmath.lib

Package net.finmath.singleswaprate.model.volatilities

Class SABRVolatilityCubeParallelFactory

java.lang.Object

net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallelFactory

public class SABRVolatilityCubeParallelFactory
extends Object

Build a SABRVolatilityCubeParallel from given shared parameters and marketdata. This factory does not calibrate the cube, instead with the given parameters a SABR smile is being build onto every node on the tenor grid. The market date is used to adjust the smile to match market values at atm level.

Author:

Christian Fries, Roland Bachl

Method Summary

Modifier and Type	Method	Description
static SABRVolatilityCubeParallel	createSABRVolatilityCubeParallel(String cubeName, LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, double correlationDecay, double iborOisDecorrelation, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, String forwardCurveName)	Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.

Methods inherited from class java.lang.Object

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

Method Details

createSABRVolatilityCubeParallel

public static SABRVolatilityCubeParallel createSABRVolatilityCubeParallel(String cubeName,
 LocalDate referenceDate,
 SchedulePrototype fixMetaSchedule,
 SchedulePrototype floatMetaSchedule,
 double sabrDisplacement,
 double sabrBeta,
 double sabrRho,
 double sabrVolvol,
 double correlationDecay,
 double iborOisDecorrelation,
 SwaptionDataLattice physicalATMSwaptions,
 VolatilityCubeModel model,
 String forwardCurveName)

Build a SABRVolatilityCubeParallel from given shared parameters and marketdata. This factory does not calibrate the cube, instead with the given parameters a SABR smile is being build onto every node on the tenor grid. The market date is used to adjust the smile to match market values at atm level.

Parameters:

cubeName - The name of the cube.

referenceDate - The reference date of the cube.

fixMetaSchedule - The schedule meta data to use on the fix legs to match the target market data.

floatMetaSchedule - The schedule meta data to use on the float legs to match the target market data.

sabrDisplacement - The displacement of the SABR curves of the cube.

sabrBeta - The SABR beta parameter of the cube.

sabrRho - The SABR rho parameter of the cube.

sabrVolvol - The SABR volvol parameter of the cube.

correlationDecay - The correlation decay parameter of the cube.

iborOisDecorrelation - The ibor ois decorrelation parameter of the cube.

physicalATMSwaptions - Lattice containing at-the-money values of physically settled swaptions.

model - The model for context.

forwardCurveName - The name of the forward curve to use, when fitting the atm level.

Returns:

The cube.