Module net.finmath.lib

Package net.finmath.singleswaprate.data

Class ErrorEstimation

java.lang.Object

net.finmath.singleswaprate.data.ErrorEstimation

public class ErrorEstimation
extends Object

Provides several error estimates between values taken from market data and values taken from a model. The estimates first have to be generated, after which each estimate can be requested.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor

Description

ErrorEstimation(LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, AnnuityMapping.AnnuityMappingType annuityMappingType, SwaptionDataLattice physicalPremiumsATM, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, String discountCurveName, String forwardCurveName, String volatilityCubeName, double replicationLowerBound, double replicationUpperBound, int replicationNumberOfEvaluationPoints)

Create the class.

Method Summary

Modifier and Type	Method	Description
void	evaluate(SwaptionDataLattice nodes, VolatilityCubeModel model)	Evaluate the market data against the model.
double	getCashAverageError()	Get the average error in cash settled swaption premiums.
double	getCashAverageError(int maturity, int termination, VolatilityCubeModel model)	Get the average error in cash settled swaption premiums at a specific node on the tenor grid.
double	getCashAverageErrorPercent()	Get the average error in cash settled swaption premiums, in percent difference from the market data.
double	getCashAverageErrorPercent(int maturity, int termination, VolatilityCubeModel model)	Get the average error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
double	getCashMaxError()	Get the maximal error in cash settled swaption premiums.
double	getCashMaxError(int maturity, int termination, VolatilityCubeModel model)	Get the maximal error in cash settled swaption premiums at a specific node on the tenor grid.
double	getCashMaxErrorPercent()	Get the maximal error in cash settled swaption premiums, in percent difference from the market data.
double	getCashMaxErrorPercent(int maturity, int termination, VolatilityCubeModel model)	Get the maximal error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
double	getPhysicalAverageError()	Get the average error in physically settled swaption premiums.
double	getPhysicalAverageErrorPercent()	Get the average error in physically settled swaption premiums, in percent difference from the market data.
double	getPhysicalMaxError()	Get the maximal error in physically settled swaption premiums.
double	getPhysicalMaxErrorPercent()	Get the maximal error in physically settled swaption premiums, in percent difference from the market data.

Methods inherited from class java.lang.Object

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

Constructor Detail

ErrorEstimation

public ErrorEstimation(LocalDate referenceDate,
                       SchedulePrototype fixMetaSchedule,
                       SchedulePrototype floatMetaSchedule,
                       AnnuityMapping.AnnuityMappingType annuityMappingType,
                       SwaptionDataLattice physicalPremiumsATM,
                       SwaptionDataLattice cashPayerPremiums,
                       SwaptionDataLattice cashReceiverPremiums,
                       String discountCurveName,
                       String forwardCurveName,
                       String volatilityCubeName,
                       double replicationLowerBound,
                       double replicationUpperBound,
                       int replicationNumberOfEvaluationPoints)
                throws IOException

Create the class.

Parameters:

referenceDate - The reference date.

fixMetaSchedule - The meta data with which to create schedules from the tenor grid for the fixed leg.

floatMetaSchedule - The meta data with which to create schedules from the tenor grid for the float leg.

annuityMappingType - The type of annuity mapping to use for cash settled swaptions.

physicalPremiumsATM - The lattice containing atm physically settled swaption premiums.

cashPayerPremiums - The lattice containing cash payer premiums.

cashReceiverPremiums - The lattice containing cash receiver premiums.

discountCurveName - The name of the discount curve in the model.

forwardCurveName - The name of the forward curve in the model.

volatilityCubeName - The name of the volatility cube in the model.

replicationLowerBound - The lowest strike to use during replication.

replicationUpperBound - The highest strike to use during replication.

replicationNumberOfEvaluationPoints - The number of strikes to evaluate during replication.

Throws:

IOException - Thrown when there is a problem fetching data from the MarketDataHandler.

Method Detail

evaluate

public void evaluate(SwaptionDataLattice nodes,
                     VolatilityCubeModel model)

Evaluate the market data against the model. The nodes to be evaluated on are given by a lattice. The values of the lattice are not taken into account, only their position. If no lattice (null) is provided, all available data is evaluated.

Parameters:

nodes - A lattice indicating on which points errors should be evaluated. Optional.

model - The model against which to evaluate.

getCashAverageError

public double getCashAverageError()

Get the average error in cash settled swaption premiums.

Returns:

The average error in cash settled swaption premiums.

getCashMaxError

public double getCashMaxError()

Get the maximal error in cash settled swaption premiums.

Returns:

The maximal error in cash settled swaption premiums.

getCashAverageErrorPercent

public double getCashAverageErrorPercent()

Get the average error in cash settled swaption premiums, in percent difference from the market data.

Returns:

The average error in cash settled swaption premiums, in percent difference from the market data.

getCashMaxErrorPercent

public double getCashMaxErrorPercent()

Get the maximal error in cash settled swaption premiums, in percent difference from the market data.

Returns:

The maximal error in cash settled swaption premiums, in percent difference from the market data.

getPhysicalAverageError

public double getPhysicalAverageError()

Get the average error in physically settled swaption premiums.

Returns:

The average error in physically settled swaption premiums.

getPhysicalMaxError

public double getPhysicalMaxError()

Get the maximal error in physically settled swaption premiums.

Returns:

The maximal error in physically settled swaption premiums.

getPhysicalAverageErrorPercent

public double getPhysicalAverageErrorPercent()

Get the average error in physically settled swaption premiums, in percent difference from the market data.

Returns:

The average error in physically settled swaption premiums, in percent difference from the market data.

getPhysicalMaxErrorPercent

public double getPhysicalMaxErrorPercent()

Get the maximal error in physically settled swaption premiums, in percent difference from the market data.

Returns:

The maximal error in physically settled swaption premiums, in percent difference from the market data.

getCashAverageError

public double getCashAverageError(int maturity,
                                  int termination,
                                  VolatilityCubeModel model)

Get the average error in cash settled swaption premiums at a specific node on the tenor grid.

Parameters:

maturity - The maturity at which to evaluate.

termination - The termination at which to evaluate.

model - The model against which to evaluate.

Returns:

The average error in cash settled swaption premiums.

getCashMaxError

public double getCashMaxError(int maturity,
                              int termination,
                              VolatilityCubeModel model)

Get the maximal error in cash settled swaption premiums at a specific node on the tenor grid.

Parameters:

maturity - The maturity at which to evaluate.

termination - The termination at which to evaluate.

model - The model against which to evaluate.

Returns:

The maximal error in cash settled swaption premiums.

getCashAverageErrorPercent

public double getCashAverageErrorPercent(int maturity,
                                         int termination,
                                         VolatilityCubeModel model)

Get the average error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.

Parameters:

maturity - The maturity at which to evaluate.

termination - The termination at which to evaluate.

model - The model against which to evaluate.

Returns:

The average error in cash settled swaption premiums, in percent difference from the market data.

getCashMaxErrorPercent

public double getCashMaxErrorPercent(int maturity,
                                     int termination,
                                     VolatilityCubeModel model)

Get the maximal error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.

Parameters:

maturity - The maturity at which to evaluate.

termination - The termination at which to evaluate.

model - The model against which to evaluate.

Returns:

The maximal error in cash settled swaption premiums, in percent difference from the market data.