Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Class AbstractVolatilitySurfaceParametric

java.lang.Object

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric

All Implemented Interfaces:

Cloneable, ParameterObject, VolatilitySurface

Direct Known Subclasses:

CapletVolatilitiesParametric, CapletVolatilitiesParametricDisplacedFourParameterAnalytic, CapletVolatilitiesParametricFourParameterPicewiseConstant

public abstract class AbstractVolatilitySurfaceParametric
extends AbstractVolatilitySurface
implements ParameterObject

Base class for parametric volatility surfaces, implementing a generic calibration algorithm.

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate)
AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

Method Summary

Modifier and Type	Method	Description
AbstractVolatilitySurfaceParametric	getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric	getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory)	Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
abstract AbstractVolatilitySurfaceParametric	getCloneForParameter(double[] value)	Returns a clone of this volatility surface with modified parameters.

Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getDaycountConvention, getDiscountCurve, getForwardCurve, getName, getQuotingConvention, getReferenceDate, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.calibration.ParameterObject

getParameter, setParameter

Methods inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

getValue, getValue

Constructor Detail

AbstractVolatilitySurfaceParametric

public AbstractVolatilitySurfaceParametric(String name,
                                           LocalDate referenceDate,
                                           ForwardCurve forwardCurve,
                                           DiscountCurve discountCurve,
                                           VolatilitySurface.QuotingConvention quotingConvention,
                                           DayCountConvention daycountConvention)

AbstractVolatilitySurfaceParametric

public AbstractVolatilitySurfaceParametric(String name,
                                           LocalDate referenceDate)

Method Detail

getCloneForParameter

public abstract AbstractVolatilitySurfaceParametric getCloneForParameter(double[] value)
                                                                  throws CloneNotSupportedException

Returns a clone of this volatility surface with modified parameters.

Specified by:

getCloneForParameter in interface ParameterObject

Parameters:

value - Parameter array.

Returns:

Clone with new parameters.

Throws:

CloneNotSupportedException - Thrown if this object cannot be cloned.

getCloneCalibrated

public AbstractVolatilitySurfaceParametric getCloneCalibrated(AnalyticModel calibrationModel,
                                                              Vector<AnalyticProduct> calibrationProducts,
                                                              List<Double> calibrationTargetValues,
                                                              Map<String,Object> calibrationParameters)
                                                       throws CalculationException,
                                                              SolverException

Throws:

CalculationException

SolverException

getCloneCalibrated

public AbstractVolatilitySurfaceParametric getCloneCalibrated(AnalyticModel calibrationModel,
                                                              Vector<AnalyticProduct> calibrationProducts,
                                                              List<Double> calibrationTargetValues,
                                                              Map<String,Object> calibrationParameters,
                                                              ParameterTransformation parameterTransformation)
                                                       throws CalculationException,
                                                              SolverException

Throws:

CalculationException

SolverException

getCloneCalibrated

public AbstractVolatilitySurfaceParametric getCloneCalibrated(AnalyticModel calibrationModel,
                                                              Vector<AnalyticProduct> calibrationProducts,
                                                              List<Double> calibrationTargetValues,
                                                              Map<String,Object> calibrationParameters,
                                                              ParameterTransformation parameterTransformation,
                                                              OptimizerFactory optimizerFactory)
                                                       throws SolverException

Create a clone of this volatility surface using a generic calibration of its parameters to given market data.

Parameters:

calibrationModel - The model used during calibration (contains additional objects required during valuation, e.g. curves).

calibrationProducts - The calibration products.

calibrationTargetValues - The target values of the calibration products.

calibrationParameters - A map containing additional settings like "evaluationTime" (Double).

parameterTransformation - An optional parameter transformation.

optimizerFactory - The factory providing the optimizer to be used during calibration.

Returns:

An object having the same type as this one, using (hopefully) calibrated parameters.

Throws:

SolverException - Exception thrown when solver fails.