- java.lang.Object
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- net.finmath.singleswaprate.calibration.AbstractCubeCalibration
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- net.finmath.singleswaprate.calibration.StaticCubeCalibration
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public class StaticCubeCalibration extends AbstractCubeCalibration
Calibration for a simple cube that only provides a single value at all coordinates.- Author:
- Christian Fries, Roland Bachl
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Nested Class Summary
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Nested classes/interfaces inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
AbstractCubeCalibration.SwaptionInfo
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Constructor Summary
Constructors Constructor Description StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)
Create the calibrator.StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay)
Create the calibrator.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected double[]
applyParameterBounds(double[] parameters)
Apply bounds to parameters.protected VolatilityCube
buildCube(String cubeName, double[] parameters)
Build the cube from a set of parameters.protected void
initializeParameters()
Prepare the parameters for the start of the calibration.-
Methods inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
calibrate, getForwardCurveName, getInitialParameters, getMaxIterations, getModel, getNumberOfThreads, getReferenceDate, getReplicationLowerBound, getReplicationNumberOfEvaluationPoints, getReplicationUpperBound, isReplicationUseAsOffset, setCalibrationParameters, setInitialParameters, setReplicationParameters
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Constructor Detail
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StaticCubeCalibration
public StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, 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.model
- The model providing context.annuityMappingType
- The type of annuity mapping to be used for calibration.
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StaticCubeCalibration
public StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay)
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.model
- The model providing context.annuityMappingType
- The type of annuity mapping to be used for calibration.initialValue
- The value to start the calibration at.initialCorrelationDecay
- The correlation decay to start the calibration at.
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Method Detail
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buildCube
protected VolatilityCube buildCube(String cubeName, 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 classAbstractCubeCalibration
- Parameters:
cubeName
- The name the cube will carry.parameters
- The parameters of the cube as array.- Returns:
- The volatility cube.
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initializeParameters
protected void initializeParameters()
Description copied from class:AbstractCubeCalibration
Prepare the parameters for the start of the calibration.- Specified by:
initializeParameters
in classAbstractCubeCalibration
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applyParameterBounds
protected double[] applyParameterBounds(double[] parameters)
Description copied from class:AbstractCubeCalibration
Apply bounds to parameters. Such as volatility larger zero.- Specified by:
applyParameterBounds
in classAbstractCubeCalibration
- Parameters:
parameters
- The raw parameters of the cube as array.- Returns:
- The parameters with their respective bounds applied.
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