Uses of Interface
net.finmath.singleswaprate.model.VolatilityCubeModel

Packages that use VolatilityCubeModel

Package	Description
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
net.finmath.singleswaprate.annuitymapping	Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.model.volatilities	Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Uses of VolatilityCubeModel in net.finmath.singleswaprate

Methods in net.finmath.singleswaprate with parameters of type VolatilityCubeModel

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertCashLatticeToNormalVolatility(SwaptionDataLattice cashLattice, VolatilityCubeModel model)	Convert a lattice containing cash settled swaption prices to payer normal volatilities.
static SwaptionDataLattice	Utils.shiftCashToPhysicalSmile(VolatilityCubeModel model, SwaptionDataLattice physicalSwaptions, SwaptionDataLattice... cashSwaptions)	Create smiles for physically settled swaptions by shifting the smiles from cash settled swaptions onto atm levels of physically settled swaptions.

Uses of VolatilityCubeModel in net.finmath.singleswaprate.annuitymapping

Methods in net.finmath.singleswaprate.annuitymapping with parameters of type VolatilityCubeModel

Modifier and Type	Method	Description
AnnuityMapping	AnnuityMappingFactory.build(AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model)	Build the annuity mapping.
static AnnuityMapping	AnnuityMappingFactory.buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model)	Build an annuity mapping.
static AnnuityMapping	AnnuityMappingFactory.buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Build an annuity mapping.

Constructors in net.finmath.singleswaprate.annuitymapping with parameters of type VolatilityCubeModel

Constructor	Description
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)	Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)	Create the annuity mapping.
ExponentialNormalizer(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, VolatilityCubeModel model)	Create the exponential normalizer from information of the product.
MultiPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String forwardCurveName, String volatilityCubeName, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Create the annuity mapping.
MultiPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, VolatilityCubeModel model, String discountCurveName, String forwardCurveName, String volatilityCubeName)	Create the annuity mapping.

Uses of VolatilityCubeModel in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration that return VolatilityCubeModel

Modifier and Type	Method	Description
VolatilityCubeModel	AbstractCubeCalibration.getModel()

Constructors in net.finmath.singleswaprate.calibration with parameters of type VolatilityCubeModel

Constructor	Description
AbstractCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
SABRCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
SABRCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Create the calibrator.
SABRCubeParallelCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
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.

Uses of VolatilityCubeModel in net.finmath.singleswaprate.data

Methods in net.finmath.singleswaprate.data with parameters of type VolatilityCubeModel

Modifier and Type	Method	Description
void	ErrorEstimation.evaluate(SwaptionDataLattice nodes, VolatilityCubeModel model)	Evaluate the market data against the model.
double	ErrorEstimation.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	ErrorEstimation.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	ErrorEstimation.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	ErrorEstimation.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.

Uses of VolatilityCubeModel in net.finmath.singleswaprate.model

Classes in net.finmath.singleswaprate.model that implement VolatilityCubeModel

Modifier and Type	Class	Description
class	AnalyticModelWithVolatilityCubes	Implementation of VolatilityCubeModel based on AnalyticModelFromCurvesAndVols.

Methods in net.finmath.singleswaprate.model that return VolatilityCubeModel

Modifier and Type	Method	Description
VolatilityCubeModel	AnalyticModelWithVolatilityCubes.addVolatilityCube(String volatilityCubeName, VolatilityCube volatilityCube)
VolatilityCubeModel	AnalyticModelWithVolatilityCubes.addVolatilityCube(VolatilityCube volatilityCube)
VolatilityCubeModel	VolatilityCubeModel.addVolatilityCube(String volatilityCubeName, VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model under the name provided.
VolatilityCubeModel	VolatilityCubeModel.addVolatilityCube(VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model.

Uses of VolatilityCubeModel in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities with parameters of type VolatilityCubeModel

Modifier and Type	Method	Description
SABRVolatilityCubeParallel	VolatilityCubeFactory.buildParallelSABRCube(String name, double rho, double volvol, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model)	Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildShiftedSmileSABRCube(String name, VolatilityCubeModel model)	Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.
static SABRVolatilityCubeParallel	SABRVolatilityCubeParallelFactory.createSABRVolatilityCubeParallel(String cubeName, LocalDate referenceDate, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, double correlationDecay, double iborOisDecorrelation, SwaptionDataLattice physicalATMSwaptions, VolatilityCubeModel model, String forwardCurveName)	Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.
double	SABRVolatilityCube.getLowestStrike(VolatilityCubeModel model)
double	SABRVolatilityCubeParallel.getLowestStrike(VolatilityCubeModel model)
double	SABRVolatilityCubeSingleSmile.getLowestStrike(VolatilityCubeModel model)
double	ScaledVolatilityCube.getLowestStrike(VolatilityCubeModel model)
double	StaticVolatilityCube.getLowestStrike(VolatilityCubeModel model)
double	VolatilityCube.getLowestStrike(VolatilityCubeModel model)	Returns the lowest possible value of strike that can be evaluated by this cube.
double	VolVolCube.getLowestStrike(VolatilityCubeModel model)
double	SABRVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeParallel.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	SABRVolatilityCubeSingleSmile.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	ScaledVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	StaticVolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	VolatilityCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
double	VolVolCube.getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)

Uses of VolatilityCubeModel in net.finmath.singleswaprate.products

Methods in net.finmath.singleswaprate.products with parameters of type VolatilityCubeModel

Modifier and Type	Method	Description
protected abstract AnnuityMapping	AbstractSingleSwapRateProduct.buildAnnuityMapping(VolatilityCubeModel model)	Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping.
protected AnnuityMapping	AnnuityDummyProduct.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	CashSettledPayerSwaption.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	CashSettledReceiverSwaption.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	ConstantMaturitySwap.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	NormalizingDummyProduct.buildAnnuityMapping(VolatilityCubeModel model)
double	AbstractAnalyticVolatilityCubeProduct.getValue(VolatilityCubeModel model)	Return the valuation of the product at time 0 using the given model.
double	AbstractSingleSwapRateProduct.getValue(double evaluationTime, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Return the valuation of the product using the given model.
double	AbstractSingleSwapRateProduct.getValue(double evaluationTime, VolatilityCubeModel model)
double	AnalyticVolatilityCubeProduct.getValue(double evaluationTime, VolatilityCubeModel model)	Return the valuation of the product using the given model.
protected abstract double	AbstractSingleSwapRateProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Essentially the second derivative of the payoff function.
protected double	AnnuityDummyProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected abstract double	AbstractSingleSwapRateProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Payoff function of the product.
protected double	AnnuityDummyProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected abstract double	AbstractSingleSwapRateProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	As some products have a portion of their weight in a singular point, this is portion is split off from the hedgeweight and added after the integration.
protected double	AnnuityDummyProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	AbstractSingleSwapRateProduct.valueCall(double optionStrike, VolatilityCubeModel model, double swapRate)	Value of a call option on the swap rate.
protected double	AbstractSingleSwapRateProduct.valuePut(double optionStrike, VolatilityCubeModel model, double swapRate)	Value of a put option on the swap rate.