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

Class VolVolCube

java.lang.Object
net.finmath.singleswaprate.model.volatilities.VolVolCube
All Implemented Interfaces:
VolatilityCube
public class VolVolCube extends Object implements VolatilityCube
This cube provides the volatility of the stochastic driver for each sub-tenor of the swap rate's schedule in the Piterbarg model of the annuity mapping. They are linked to normal volatilities via \[ \frac{\tau_j}{1+\tau_j S_j(0)} \rho_{i,j} \sigma_j ]\, where \(\tau\) is the accrual fraction, \(S_j(0)\) is the swap rate of the j-th subtenor evaluated at time 0, \(\sigma_j\) the volatility of the j-th subtenor at the strike and \(\rho_{i,j}\) is the correlation between the swap rates of the two tenors. We assume a correlation according to \[ \rho_{i,j} = e^{d(T_j - T_i)} \], where d is some decay parameter, given by the underlying cube.
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • VolVolCube

      public VolVolCube​(String name, LocalDate referenceDate, String referenceCubeName, Schedule schedule, double[] initialSwapRates)
      Create the volvol cube.
      Parameters:
      name - The name of the cube.
      referenceDate - The referenceDate of the cube.
      referenceCubeName - The name of the underlying cube.
      schedule - The schedule of the swap rate.
      initialSwapRates - Initial swap rates of all sub-tenors.

  • 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.

    • 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.

    • getReferenceCubeName

      public String getReferenceCubeName()

    • toString

      public String toString()
      Overrides:
      toString in class Object

    • getValue

      public double getValue​(double tenorLength, 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:
      tenorLength - End date of the underlying.
      maturity - Maturity date of the option.
      strike - Strike rate of the option.
      quotingConvention - Desired quoting convention.
      Returns:
      The volatility.

    • 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.

    • 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.

    • 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.