Package net.finmath.singleswaprate.model.volatilities

Class SABRVolatilityCube

java.lang.Object

net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube

All Implemented Interfaces:

Serializable, VolatilityCube

public class SABRVolatilityCube
extends Object
implements VolatilityCube, Serializable

A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes. The SABR parameters \( \beta \) and displacement are globally set for the entire cube. For the other SABR parameters the cube stores a grid of maturity x termination and a set of parameters for each node of this grid. Between the nodes of this grid, the SABR parameters are interpolated.

Author:

Christian Fries, Roland Bachl

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
SABRVolatilityCube(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, DataTable rhoTable, DataTable baseVolTable, DataTable volvolTable, double correlationDecay)	Create the cube.
SABRVolatilityCube(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, DataTable rhoTable, DataTable baseVolTable, DataTable volvolTable, double correlationDecay, double iborOisDecorrelation)	Create the cube.

Method Summary

Modifier and Type	Method	Description
DataTable	getBaseVolTable()
double	getCorrelationDecay()	Return the correlation decay parameter of the cube.
double	getIborOisDecorrelation()	Return the IBOR vs OIS decorrelation parameter.
double	getLowestStrike(VolatilityCubeModel model)	Returns the lowest possible value of strike that can be evaluated by this cube.
String	getName()	Returns the name of the volatility cube.
Map<String,Object>	getParameters()	Returns a map with all implementation dependent parameters of this volatility cube.
LocalDate	getReferenceDate()	Return the reference date of this cube, i.e. the date associated with t=0.
DataTable	getRhoTable()
DataTable	getUnderlyingTable()
double	getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
double	getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
DataTable	getVolvolTable()

Methods inherited from class java.lang.Object

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

Constructor Detail

SABRVolatilityCube

public SABRVolatilityCube(String name,
                          LocalDate referenceDate,
                          DataTable swapRateTable,
                          double sabrDisplacement,
                          double sabrBeta,
                          DataTable rhoTable,
                          DataTable baseVolTable,
                          DataTable volvolTable,
                          double correlationDecay)

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.

swapRateTable - Table containing base swap rates.

sabrDisplacement - Displacement for the entire cube.

sabrBeta - Beta for the entire cube.

rhoTable - Table containing rhos.

baseVolTable - Table containing initial volatilities.

volvolTable - Table containing volvols.

correlationDecay - The correlation decay parameters of this cube.

SABRVolatilityCube

public SABRVolatilityCube(String name,
                          LocalDate referenceDate,
                          DataTable swapRateTable,
                          double sabrDisplacement,
                          double sabrBeta,
                          DataTable rhoTable,
                          DataTable baseVolTable,
                          DataTable volvolTable,
                          double correlationDecay,
                          double iborOisDecorrelation)

Create the cube.

Parameters:

name - The name of the cube.

referenceDate - The reference date of the cube.

swapRateTable - Table containing base swap rates.

sabrDisplacement - Displacement for the entire cube.

sabrBeta - Beta for the entire cube.

rhoTable - Table containing rhos.

baseVolTable - Table containing initial volatilities.

volvolTable - Table containing volvols.

correlationDecay - The correlation decay parameters of this cube.

iborOisDecorrelation - The ibor ois decorrelation parameter of this cube.

Method Detail

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.

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.

getUnderlyingTable

public DataTable getUnderlyingTable()

Returns:

The table of swap rates.

getRhoTable

public DataTable getRhoTable()

Returns:

The table of rhos.

getBaseVolTable

public DataTable getBaseVolTable()

Returns:

The table containing initial volatilities.

getVolvolTable

public DataTable getVolvolTable()

Returns:

The table containing volvols.