Module net.finmath.lib
Package net.finmath.singleswaprate.model.volatilities
package net.finmath.singleswaprate.model.volatilities
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. Generally these cubes store normal implied volatilities of physically settled swaptions.
- Author:
- Christian Fries, Roland Bachl
-
Interface SummaryInterfaceDescriptionInterface to be implemented by classes providing a volatility cube for a
VolatilityCubeModel. -
Class SummaryClassDescriptionA volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.Build a
SABRVolatilityCubeParallelfrom given shared parameters and marketdata.A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.A volatility cube that always returns a multiple of the value an underlying cube would return.A volatility cube that always returns the given value.A factory for all volatility cubes, based on common input.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.