Module net.finmath.lib

Package net.finmath.singleswaprate.model.volatilities

Class SABRVolatilityCubeSingleSmile

java.lang.Object

net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile

All Implemented Interfaces:

Serializable, VolatilityCube

public class SABRVolatilityCubeSingleSmile
extends Object
implements VolatilityCube, Serializable

A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.

Author:

Christian Fries, Roland Bachl

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
SABRVolatilityCubeSingleSmile(String name, LocalDate referenceDate, double underlying, double sabrAlpha, double sabrBeta, double sabrRho, double sabrNu, double sabrDisplacement)	Create the cube.
SABRVolatilityCubeSingleSmile(String name, LocalDate referenceDate, double underlying, double sabrAlpha, double sabrBeta, double sabrRho, double sabrNu, double sabrDisplacement, double correlationDecay)	Create the cube.
SABRVolatilityCubeSingleSmile(String name, LocalDate referenceDate, double underlying, double sabrAlpha, double sabrBeta, double sabrRho, double sabrNu, double sabrDisplacement, double correlationDecay, double iborOisDecorrelation)	Create the cube.

Method Summary

Modifier and Type	Method	Description
Object	clone()
double	getCorrelationDecay()	Return the correlation decay parameter of the cube.
double	getIborOisDecorrelation()	Return the IBOR vs OIS decorrelation parameter.
double	getLowestStrike(VolatilityCubeModel model)	Returns the lowest possible value of strike that can be evaluated by this cube.
String	getName()	Returns the name of the volatility cube.
Map<String,Object>	getParameters()	Returns a map with all implementation dependent parameters of this volatility cube.
LocalDate	getReferenceDate()	Return the reference date of this cube, i.e.
double	getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
double	getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Return the volatility at the specified coordinates in the desired quotation.
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

SABRVolatilityCubeSingleSmile

public SABRVolatilityCubeSingleSmile(String name,
                                     LocalDate referenceDate,
                                     double underlying,
                                     double sabrAlpha,
                                     double sabrBeta,
                                     double sabrRho,
                                     double sabrNu,
                                     double sabrDisplacement)

Create the cube.

Parameters:

name - The name of the cube.

referenceDate - The reference date of the cube.

underlying - The dummy underlying to be used for the SABR model.

sabrAlpha - The initial value of the stochastic volatility process of the SABR model.

sabrBeta - The beta CEV parameter of the SABR model.

sabrRho - Correlation (leverages) of the stochastic volatility.

sabrNu - Volatility of the stochastic volatility (vol-of-vol).

sabrDisplacement - The displacement parameter of the smile.

SABRVolatilityCubeSingleSmile

public SABRVolatilityCubeSingleSmile(String name,
                                     LocalDate referenceDate,
                                     double underlying,
                                     double sabrAlpha,
                                     double sabrBeta,
                                     double sabrRho,
                                     double sabrNu,
                                     double sabrDisplacement,
                                     double correlationDecay)

Create the cube.

Parameters:

name - The name of the cube.

referenceDate - The reference date of the cube.

underlying - The dummy underlying to be used for the SABR model.

sabrAlpha - The initial value of the stochastic volatility process of the SABR model.

sabrBeta - The beta CEV parameter of the SABR model.

sabrRho - Correlation (leverages) of the stochastic volatility.

sabrNu - Volatility of the stochastic volatility (vol-of-vol).

sabrDisplacement - The displacement parameter of the smile.

correlationDecay - The correlation decay inherent to this cube.

SABRVolatilityCubeSingleSmile

public SABRVolatilityCubeSingleSmile(String name,
                                     LocalDate referenceDate,
                                     double underlying,
                                     double sabrAlpha,
                                     double sabrBeta,
                                     double sabrRho,
                                     double sabrNu,
                                     double sabrDisplacement,
                                     double correlationDecay,
                                     double iborOisDecorrelation)

Create the cube.

Parameters:

name - The name of the cube.

referenceDate - The reference date of the cube.

underlying - The dummy underlying to be used for the SABR model.

sabrAlpha - The initial value of the stochastic volatility process of the SABR model.

sabrBeta - The beta CEV parameter of the SABR model.

sabrRho - Correlation (leverages) of the stochastic volatility.

sabrNu - Volatility of the stochastic volatility (vol-of-vol).

sabrDisplacement - The displacement parameter of the smile.

correlationDecay - The correlation decay inherent to this cube.

iborOisDecorrelation - The ibor ois decorrealtion parameter of this cube.

Method Detail

getValue

public double getValue(VolatilityCubeModel model,
                       double termination,
                       double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

Description copied from interface: VolatilityCube

Return the volatility at the specified coordinates in the desired quotation.

Specified by:

getValue in interface VolatilityCube

Parameters:

model - A model providing context.

termination - End date of the underlying.

maturity - Maturity date of the option.

strike - Strike rate of the option.

quotingConvention - Desired quoting convention.

Returns:

The volatility.

getValue

public double getValue(double termination,
                       double maturity,
                       double strike,
                       VolatilitySurface.QuotingConvention quotingConvention)

Description copied from interface: VolatilityCube

Return the volatility at the specified coordinates in the desired quotation.

Specified by:

getValue in interface VolatilityCube

Parameters:

termination - End date of the underlying.

maturity - Maturity date of the option.

strike - Strike rate of the option.

quotingConvention - Desired quoting convention.

Returns:

The volatility.

getName

public String getName()

Description copied from interface: VolatilityCube

Returns the name of the volatility cube.

Specified by:

getName in interface VolatilityCube

Returns:

The name of the volatility cube.

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: VolatilityCube

Return the reference date of this cube, i.e. the date associated with t=0.

Specified by:

getReferenceDate in interface VolatilityCube

Returns:

The date identified as t=0.

toString

public String toString()

Overrides:

toString in class Object

clone

public Object clone()
             throws CloneNotSupportedException

Overrides:

clone in class Object

Throws:

CloneNotSupportedException

getCorrelationDecay

public double getCorrelationDecay()

Description copied from interface: VolatilityCube

Return the correlation decay parameter of the cube. This is used to determine the correlation between tenors in a derived volvol cube.

Specified by:

getCorrelationDecay in interface VolatilityCube

Returns:

The correlation decay parameter.

getParameters

public Map<String,Object> getParameters()

Description copied from interface: VolatilityCube

Returns a map with all implementation dependent parameters of this volatility cube.

Specified by:

getParameters in interface VolatilityCube

Returns:

A map of all parameters.

getLowestStrike

public double getLowestStrike(VolatilityCubeModel model)

Description copied from interface: VolatilityCube

Returns the lowest possible value of strike that can be evaluated by this cube. This is relevant for instance when an implementation uses a SABR model with displacement.

Specified by:

getLowestStrike in interface VolatilityCube

Parameters:

model - A model for context.

Returns:

Lowest possible strike this volatility cube supports.

getIborOisDecorrelation

public double getIborOisDecorrelation()

Description copied from interface: VolatilityCube

Return the IBOR vs OIS decorrelation parameter. This parameter scales the convexity adjustment in a multi curve model, using different curves for forward rates and discounting.

Specified by:

getIborOisDecorrelation in interface VolatilityCube

Returns:

The IBOR vs OIS decorrelation parameter.