Module net.finmath.lib
Package net.finmath.singleswaprate.model.volatilities

Class StaticVolatilityCube

java.lang.Object
net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
All Implemented Interfaces:
VolatilityCube
public class StaticVolatilityCube extends Object implements VolatilityCube
A volatility cube that always returns the given value.
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • StaticVolatilityCube

      public StaticVolatilityCube​(String name, LocalDate referenceDate, double correlationDecay, double iborOisDecorrelation, double value)
      Create the cube.
      Parameters:
      name - The name of the cube.
      referenceDate - The reference date of the cube.
      correlationDecay - The correlation decay parameter of the cube.
      iborOisDecorrelation - The ibor ois decorrelation parameter of the cube.
      value - The value this cube is to return.

    • StaticVolatilityCube

      public StaticVolatilityCube​(String name, LocalDate referenceDate, double correlationDecay, double value)
      Create the cube. With ibor ois decorrelation set to 1.0.
      Parameters:
      name - The name of the cube.
      referenceDate - The reference date of the cube.
      correlationDecay - The correlation decay parameter of the cube.
      value - The value this cube is to return.

    • StaticVolatilityCube

      public StaticVolatilityCube​(String name, LocalDate referenceDate, double value)
      Create the cube. With ibor ois decorrelation set to 1.0 and correlation decay set to 0.0.
      Parameters:
      name - The name of the cube.
      referenceDate - The reference date of the cube.
      value - The value this cube is to return.

  • Method Details

    • getValue

      public double getValue​(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilityCube
      Return the volatility at the specified coordinates in the desired quotation.
      Specified by:
      getValue in interface VolatilityCube
      Parameters:
      model - A model providing context.
      termination - End date of the underlying.
      maturity - Maturity date of the option.
      strike - Strike rate of the option.
      quotingConvention - Desired quoting convention.
      Returns:
      The volatility.

    • getValue

      public double getValue​(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
      Description copied from interface: VolatilityCube
      Return the volatility at the specified coordinates in the desired quotation.
      Specified by:
      getValue in interface VolatilityCube
      Parameters:
      termination - End date of the underlying.
      maturity - Maturity date of the option.
      strike - Strike rate of the option.
      quotingConvention - Desired quoting convention.
      Returns:
      The volatility.

    • getName

      public String getName()
      Description copied from interface: VolatilityCube
      Returns the name of the volatility cube.
      Specified by:
      getName in interface VolatilityCube
      Returns:
      The name of the volatility cube.

    • getReferenceDate

      public LocalDate getReferenceDate()
      Description copied from interface: VolatilityCube
      Return the reference date of this cube, i.e. the date associated with t=0.
      Specified by:
      getReferenceDate in interface VolatilityCube
      Returns:
      The date identified as t=0.

    • getCorrelationDecay

      public double getCorrelationDecay()
      Description copied from interface: VolatilityCube
      Return the correlation decay parameter of the cube. This is used to determine the correlation between tenors in a derived volvol cube.
      Specified by:
      getCorrelationDecay in interface VolatilityCube
      Returns:
      The correlation decay parameter.

    • getIborOisDecorrelation

      public double getIborOisDecorrelation()
      Description copied from interface: VolatilityCube
      Return the IBOR vs OIS decorrelation parameter. This parameter scales the convexity adjustment in a multi curve model, using different curves for forward rates and discounting.
      Specified by:
      getIborOisDecorrelation in interface VolatilityCube
      Returns:
      The IBOR vs OIS decorrelation parameter.

    • getParameters

      public Map<String,​Object> getParameters()
      Description copied from interface: VolatilityCube
      Returns a map with all implementation dependent parameters of this volatility cube.
      Specified by:
      getParameters in interface VolatilityCube
      Returns:
      A map of all parameters.

    • getLowestStrike

      public double getLowestStrike​(VolatilityCubeModel model)
      Description copied from interface: VolatilityCube
      Returns the lowest possible value of strike that can be evaluated by this cube. This is relevant for instance when an implementation uses a SABR model with displacement.
      Specified by:
      getLowestStrike in interface VolatilityCube
      Parameters:
      model - A model for context.
      Returns:
      Lowest possible strike this volatility cube supports.