Uses of Class
net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
Package
Description
Classes providing calibration to market data of volatility cubes.
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
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Uses of SABRVolatilityCube in net.finmath.singleswaprate.calibration
Modifier and TypeMethodDescriptionPerform the calibrations and build the cube.Run the calibration.static SABRVolatilityCube
SABRShiftedSmileCalibration.createSABRVolatilityCube
(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation) Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility. -
Uses of SABRVolatilityCube in net.finmath.singleswaprate.model.volatilities
Modifier and TypeMethodDescriptionVolatilityCubeFactory.buildSABRVolatilityCube
(String name, VolatilityCubeModel model, int[] terminations) Build aSABRVolatilityCube
by calibration viaSABRCubeCalibration
.VolatilityCubeFactory.buildSABRVolatilityCube
(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols) Build aSABRVolatilityCube
by calibration viaSABRCubeCalibration
.VolatilityCubeFactory.buildShiftedSmileSABRCube
(String name, VolatilityCubeModel model) Build aSABRVolatilityCube
by calibration viaSABRShiftedSmileCalibration
.