Class SABRCubeParallelCalibration

    • Constructor Detail

      • SABRCubeParallelCalibration

        public SABRCubeParallelCalibration​(LocalDate referenceDate,
                                           SwaptionDataLattice cashPayerPremiums,
                                           SwaptionDataLattice cashReceiverPremiums,
                                           SwaptionDataLattice physicalATMSwaptions,
                                           VolatilityCubeModel model,
                                           AnnuityMapping.AnnuityMappingType annuityMappingType)
        Create the calibrator.
        Parameters:
        referenceDate - The reference date of the cube.
        cashPayerPremiums - The lattice containing market targets for cash settled payer swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
        cashReceiverPremiums - The lattice containing market targets for cash settled receiver swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
        physicalATMSwaptions - Lattice containing at-the-money values of physically settled swaptions.
        model - The model providing context.
        annuityMappingType - The type of annuity mapping to be used for calibration.
    • Method Detail

      • buildCube

        protected VolatilityCube buildCube​(String name,
                                           double[] parameters)
        Description copied from class: AbstractCubeCalibration
        Build the cube from a set of parameters. These need to be an array of all parameters to be calibrated.
        Specified by:
        buildCube in class AbstractCubeCalibration
        Parameters:
        name - The name the cube will carry.
        parameters - The parameters of the cube as array.
        Returns:
        The volatility cube.
      • applyParameterBounds

        protected double[] applyParameterBounds​(double[] parameters)
        Description copied from class: AbstractCubeCalibration
        Apply bounds to parameters. Such as volatility larger zero.
        Specified by:
        applyParameterBounds in class AbstractCubeCalibration
        Parameters:
        parameters - The raw parameters of the cube as array.
        Returns:
        The parameters with their respective bounds applied.
      • getInitialCorrelationDecay

        public double getInitialCorrelationDecay()
      • setInitialCorrelationDecay

        public void setInitialCorrelationDecay​(double initialCorrelationDecay)
      • getInitialIborOisDecorrelation

        public double getInitialIborOisDecorrelation()
      • setInitialIborOisDecorrelation

        public void setInitialIborOisDecorrelation​(double initialIborOisDecorrelation)
      • getInitialDisplacement

        public double getInitialDisplacement()
      • setInitialDisplacement

        public void setInitialDisplacement​(double initialDisplacement)
      • getInitialBeta

        public double getInitialBeta()
      • setInitialBeta

        public void setInitialBeta​(double initialBeta)
      • getInitialRho

        public double getInitialRho()
      • setInitialRho

        public void setInitialRho​(double initialRho)
      • getInitialVolvol

        public double getInitialVolvol()
      • setInitialVolvol

        public void setInitialVolvol​(double initialVolvol)