Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet

Class CapVolMarketData

java.lang.Object

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 Detail

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 Detail

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)