Module net.finmath.lib

Package net.finmath.fouriermethod.calibration

Class CalibratedModel

java.lang.Object

net.finmath.fouriermethod.calibration.CalibratedModel

public class CalibratedModel
extends Object

This class solves a calibration problem. The problem is defined in terms of:

• a generic container of market data OptionSurfaceData.
• a generic pricing model.
• a generic calibration algorithm.
• a generic pricer for claims.

The class supports both calibration in terms of:

• Prices
• Log-normal implied volatilities.
• Normal implied volatilities.

To change the calibration entity please change the convention in the option surface. The calibration entity (i.e. price/vol/normal vol) is directly detected from market data.

Author:

Alessandro Gnoatto

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CalibratedModel.OptimizationResult	Helper class for calibration results.

Constructor Summary

Constructors

Constructor	Description
CalibratedModel(OptionSurfaceData surface, CalibratableProcess model, OptimizerFactory optimizerFactory, EuropeanOptionSmile pricer, double[] initialParameters, double[] parameterStep)	Create the calibration from data.

Method Summary

Modifier and Type	Method	Description
CalibratedModel.OptimizationResult	getCalibration()	Solves the calibration problem thus providing a calibrated model.

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibratedModel

public CalibratedModel(OptionSurfaceData surface,
                       CalibratableProcess model,
                       OptimizerFactory optimizerFactory,
                       EuropeanOptionSmile pricer,
                       double[] initialParameters,
                       double[] parameterStep)

Create the calibration from data.

Parameters:

surface - The target calibration instruments. They dictate the calibration entity: vol/price.

model - The model to calibrate.

optimizerFactory - Factory providing the optimizer to use.

pricer - How do we compute prices: Carr Madan, Cos, Conv, Lewis...

initialParameters - Initial parameters

parameterStep - Parameter steps.

Method Detail

getCalibration

public CalibratedModel.OptimizationResult getCalibration()
                                                  throws SolverException

Solves the calibration problem thus providing a calibrated model.

Returns:

the calibrated model wrapped in an CalibratedModel.OptimizationResult.

Throws:

SolverException - Thrown if the calibration problem cannot be solved.