Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Class SwaptionATMMarketDataFromArray

java.lang.Object

net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray

All Implemented Interfaces:

SwaptionMarketData

public class SwaptionATMMarketDataFromArray
extends Object
implements SwaptionMarketData

Simple swaption market data class. The class does currently not provide a surface interpolation like SABR. This will be added in a future version.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
SwaptionATMMarketDataFromArray(double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Method Summary

Modifier and Type	Method	Description
TimeDiscretization	getOptionMaturities()
double	getSwapPeriodLength()
TimeDiscretization	getTenor()
double	getValue(double optionMatruity, double tenorLength, double periodLength, double strike)	Returns the option price of a swaption for a given option maturity and tenor length.
double	getVolatility(double optionMatruity, double tenorLength)
double	getVolatility(double optionMatruity, double tenorLength, double periodLength, double strike)	Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Methods inherited from class java.lang.Object

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

Constructor Details

SwaptionATMMarketDataFromArray

public SwaptionATMMarketDataFromArray(double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)

SwaptionATMMarketDataFromArray

public SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)

SwaptionATMMarketDataFromArray

public SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Method Details

getOptionMaturities

public TimeDiscretization getOptionMaturities()

Specified by:

getOptionMaturities in interface SwaptionMarketData

getTenor

public TimeDiscretization getTenor()

Specified by:

getTenor in interface SwaptionMarketData

getSwapPeriodLength

public double getSwapPeriodLength()

Specified by:

getSwapPeriodLength in interface SwaptionMarketData

getValue

public double getValue(double optionMatruity, double tenorLength, double periodLength, double strike)

Description copied from interface: SwaptionMarketData

Returns the option price of a swaption for a given option maturity and tenor length.

Specified by:

getValue in interface SwaptionMarketData

Parameters:

optionMatruity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The option price.

getVolatility

public double getVolatility(double optionMatruity, double tenorLength)

getVolatility

public double getVolatility(double optionMatruity, double tenorLength, double periodLength, double strike)

Description copied from interface: SwaptionMarketData

Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Specified by:

getVolatility in interface SwaptionMarketData

Parameters:

optionMatruity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The implied volatility.