Module net.finmath.lib

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

Class CapletVolBootstrapping

java.lang.Object

net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping

public class CapletVolBootstrapping
extends Object

This class implements a caplet volatility bootstrapper. Given an object of type CapVolMarketData which contains market volatilities for caps it calculates the caplet volatilities.

Author:

Daniel Willhalm (initial version), Christian Fries (review and fixes)

Constructor Summary

Constructors

Constructor	Description
CapletVolBootstrapping(CapVolMarketData capVolMarketData, AnalyticModel parsedModel)	Overloaded constructor of the caplet bootstrapping class if a correlation provider isn't necessary.
CapletVolBootstrapping(CorrelationProvider correlationProvider, CapVolMarketData capVolMarketData, AnalyticModel parsedModel)	The constructor of the caplet bootstrapping class.

Method Summary

Modifier and Type	Method	Description
double[][]	calculateCapVolsFromCapletVols(double[][] inputCapletVolMatrix)	Method that implements the opposite direction.
double[]	getCapletFixingTimeVectorInYears()
double[][]	getCapletVolMatrix()	Method that bootstraps the caplet volatilities from the cap volatility data.
DiscountCurve	getDiscountCurve()
ForwardCurve	getForwardCurve()
AnalyticModel	getParsedModel()

Methods inherited from class java.lang.Object

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

Constructor Detail

CapletVolBootstrapping

public CapletVolBootstrapping(CorrelationProvider correlationProvider,
                              CapVolMarketData capVolMarketData,
                              AnalyticModel parsedModel)

The constructor of the caplet bootstrapping class.

Parameters:

correlationProvider - The correlationProvider which is necessary only if the underlying cap data changes its tenor (common for EUR cap data).

capVolMarketData - The market data for the caps.

parsedModel - The analytic model for forward and discount curves.

CapletVolBootstrapping

public CapletVolBootstrapping(CapVolMarketData capVolMarketData,
                              AnalyticModel parsedModel)

Overloaded constructor of the caplet bootstrapping class if a correlation provider isn't necessary.

Parameters:

capVolMarketData - The market data for the caps.

parsedModel - The analytic model for forward and discount curves.

Method Detail

getCapletVolMatrix

public double[][] getCapletVolMatrix()
                              throws CalculationException

Method that bootstraps the caplet volatilities from the cap volatility data. It is assumed that the caplet volatilities between available cap volatility data is constant. The bisection method is used as a root finder to align the cap price and the sum of caplets price.

Returns:

The bootstrapped caplet volatility matrix.

Throws:

CalculationException - Thrown if calculation fails arithmetically.

calculateCapVolsFromCapletVols

public double[][] calculateCapVolsFromCapletVols(double[][] inputCapletVolMatrix)

Method that implements the opposite direction. That means using a caplet volatility matrix the cap volatility matrix is calculated

Parameters:

inputCapletVolMatrix - The caplet volatility matrix.

Returns:

The cap volatility matrix.

getParsedModel

public AnalyticModel getParsedModel()

getDiscountCurve

public DiscountCurve getDiscountCurve()

getForwardCurve

public ForwardCurve getForwardCurve()

getCapletFixingTimeVectorInYears

public double[] getCapletFixingTimeVectorInYears()