net.finmath.marketdata.model.volatility.caplet.CapVolMarketData

public class CapVolMarketData
extends Object

This class is a container for all the cap data needed to perform the caplet bootstrapping.

Author:: Daniel Willhalm, Christian Fries (review and fixes)

Constructor Summary

Constructors
Constructor	Description
`CapVolMarketData(String index, String discountIndex, String indexBeforeChange, CapTenorStructure capTenorStructure, int[] expiryVectorInMonths, double[] strikeVector, double[][] capVolatilities, double shift, int underlyingTenorInMonths, int tenorChangeTimeInMonths, int underlyingTenorInMonthsBeforeChange)`	The constructor of the cap volatility market data class.
`CapVolMarketData(String index, String discountIndex, CapTenorStructure capTenorStructure, int[] expiryVectorInMonths, double[] strikeVector, double[][] capVolatilities, double shift, int underlyingTenorInMonths)`	Overloaded constructor of the cap volatility market data class that assumes no tenor change.

Method Summary

Modifier and Type	Method	Description
`CapTenorStructure`	`getCapTenorStructure()`
`double`	`getCapVolData(int expiry, double strike)`
`double`	`getCapVolData(int i, int j)`
`int`	`getColumnIndex(double strike)`
`String`	`getDiscountIndex()`
`int`	`getExpiryInMonths(int i)`
`double`	`getExpiryInYears(int i)`
`int[]`	`getExpiryVectorInMonths()`
`double[]`	`getExpiryVectorInYears()`
`String`	`getIndex()`
`String`	`getIndexBeforeChange()`
`int`	`getMaxExpiryInMonths()`
`double`	`getMaxExpiryInYears()`
`int`	`getNumberOfExpiryDates()`
`int`	`getNumberOfStrikes()`
`static String`	`getOffsetCodeFromIndex(String index)`
`int`	`getRowIndex(int expiryInMonths)`
`double`	`getShift()`
`double`	`getStrike(int j)`
`double[]`	`getStrikeVector()`
`int`	`getTenorChangeTimeInMonths()`
`int`	`getUnderlyingTenorInMonths()`
`int`	`getUnderlyingTenorInMonthsBeforeChange()`
`double[][]`	`getVolMatrix()`
`void`	`setCapVolMatrixEntry(int i, int j, double newValue)`

Methods inherited from class java.lang.Object

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

Constructor Details
- CapVolMarketData
  
  public CapVolMarketData(String index, String discountIndex, String indexBeforeChange, CapTenorStructure capTenorStructure, int[] expiryVectorInMonths, double[] strikeVector, double[][] capVolatilities, double shift, int underlyingTenorInMonths, int tenorChangeTimeInMonths, int underlyingTenorInMonthsBeforeChange)
  
  The constructor of the cap volatility market data class. In case the underlying tenor changes throughout the expiry dates two indexes and tenors are submitted as parameters.
  
  Parameters:
  
  shift - The shift of the volatilities.
  
  underlyingTenorInMonths - The underlying tenor in months.
  
  underlyingTenorInMonthsBeforeChange - The underlying tenor in months before the tenor change.
  
  capVolatilities - The matrix with cap volatilities as entries.
  
  expiryVectorInMonths - The expiry dates given in months.
  
  strikeVector - The caplet strikes.
  
  index - The forward curve index.
  
  indexBeforeChange - The forward curve index before the tenor change.
  
  discountIndex - The discount curve index.
  
  capTenorStructure - Enum that determines the currency.
  
  tenorChangeTimeInMonths - The time in months after which the tenor changes.
- CapVolMarketData
  
  public CapVolMarketData(String index, String discountIndex, CapTenorStructure capTenorStructure, int[] expiryVectorInMonths, double[] strikeVector, double[][] capVolatilities, double shift, int underlyingTenorInMonths)
  
  Overloaded constructor of the cap volatility market data class that assumes no tenor change.
  
  Parameters:
  
  index - The forward curve index.
  
  discountIndex - The discount curve index.
  
  capVolatilities - The matrix with cap volatilities as entries.
  
  expiryVectorInMonths - The expiry dates given in months.
  
  strikeVector - The caplet strikes.
  
  capTenorStructure - Enum that determines the currency.
  
  shift - The shift of the volatilities.
  
  underlyingTenorInMonths - The underlying tenor in months.
Method Details
- getCapVolData
  
  public double getCapVolData(int expiry, double strike)
- getCapVolData
  
  public double getCapVolData(int i, int j)
- getShift
  
  public double getShift()
- getNumberOfStrikes
  
  public int getNumberOfStrikes()
- getNumberOfExpiryDates
  
  public int getNumberOfExpiryDates()
- getMaxExpiryInMonths
  
  public int getMaxExpiryInMonths()
- getMaxExpiryInYears
  
  public double getMaxExpiryInYears()
- getExpiryInMonths
  
  public int getExpiryInMonths(int i)
- getExpiryInYears
  
  public double getExpiryInYears(int i)
- getVolMatrix
  
  public double[][] getVolMatrix()
- getStrikeVector
  
  public double[] getStrikeVector()
- getExpiryVectorInMonths
  
  public int[] getExpiryVectorInMonths()
- getExpiryVectorInYears
  
  public double[] getExpiryVectorInYears()
- getRowIndex
  
  public int getRowIndex(int expiryInMonths)
- getStrike
  
  public double getStrike(int j)
- getColumnIndex
  
  public int getColumnIndex(double strike)
- getCapTenorStructure
  
  public CapTenorStructure getCapTenorStructure()
- getUnderlyingTenorInMonths
  
  public int getUnderlyingTenorInMonths()
- getUnderlyingTenorInMonthsBeforeChange
  
  public int getUnderlyingTenorInMonthsBeforeChange()
- getTenorChangeTimeInMonths
  
  public int getTenorChangeTimeInMonths()
- getIndex
  
  public String getIndex()
- getIndexBeforeChange
  
  public String getIndexBeforeChange()
- getDiscountIndex
  
  public String getDiscountIndex()
- setCapVolMatrixEntry
  
  public void setCapVolMatrixEntry(int i, int j, double newValue)
- getOffsetCodeFromIndex
  
  public static String getOffsetCodeFromIndex(String index)

Class CapVolMarketData

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Details

Method Details