Module net.finmath.lib

Package net.finmath.marketdata.model.volatilities

Class CapletVolatilitiesParametric

java.lang.Object

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric

net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric

All Implemented Interfaces:

Cloneable, ParameterObject, VolatilitySurface

public class CapletVolatilitiesParametric
extends AbstractVolatilitySurfaceParametric

A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \). In other words, the Black volatility for maturity T is given by \[ \sqrt{ \frac{1}{T} \int_0^T ((a + b t) \exp(- c t) + d)^2 dt } \]. Note: quoting convention of the functional form is LOGNORMAL, but container may provide data in other conventions.

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.marketdata.model.volatilities.VolatilitySurface

VolatilitySurface.QuotingConvention

Constructor Summary

Constructors

Constructor	Description
CapletVolatilitiesParametric(String name, LocalDate referenceDate, double a, double b, double c, double d)	Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String name, LocalDate referenceDate, double a, double b, double c, double d, double timeScaling)	Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling)	Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling, VolatilitySurface.QuotingConvention quotingConvention)	Create a model with parameters a,b,c,d defining a lognormal volatility surface.

Method Summary

Modifier and Type	Method	Description
AbstractVolatilitySurfaceParametric	getCloneForParameter(double[] value)	Returns a clone of this volatility surface with modified parameters.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
double	getValue(double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.
double	getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)	Returns the price or implied volatility for the corresponding maturity and strike.
void	setParameter(double[] parameter)	Set the current parameter and change the state of the objects.

Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric

getCloneCalibrated, getCloneCalibrated, getCloneCalibrated

Methods inherited from class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface

clone, convertFromTo, convertFromTo, getDaycountConvention, getDiscountCurve, getForwardCurve, getName, getQuotingConvention, getReferenceDate, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

CapletVolatilitiesParametric

public CapletVolatilitiesParametric(String name,
                                    LocalDate referenceDate,
                                    ForwardCurve forwardCurve,
                                    DiscountCurve discountCurve,
                                    double a,
                                    double b,
                                    double c,
                                    double d,
                                    double timeScaling,
                                    VolatilitySurface.QuotingConvention quotingConvention)

Create a model with parameters a,b,c,d defining a lognormal volatility surface.

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

forwardCurve - The underlying forward curve.

discountCurve - The associated discount curve.

a - The parameter a

b - The parameter b

c - The parameter c

d - The parameter d

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

quotingConvention - The quoting convention reflected by the parametetric form (e.g. lognormal or normal).

CapletVolatilitiesParametric

public CapletVolatilitiesParametric(String name,
                                    LocalDate referenceDate,
                                    ForwardCurve forwardCurve,
                                    DiscountCurve discountCurve,
                                    double a,
                                    double b,
                                    double c,
                                    double d,
                                    double timeScaling)

Create a model with parameters a,b,c,d defining a lognormal volatility surface.

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

forwardCurve - The underlying forward curve.

discountCurve - The associated discount curve.

a - The parameter a

b - The parameter b

c - The parameter c

d - The parameter d

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

CapletVolatilitiesParametric

public CapletVolatilitiesParametric(String name,
                                    LocalDate referenceDate,
                                    double a,
                                    double b,
                                    double c,
                                    double d,
                                    double timeScaling)

Create a model with parameters a,b,c,d.

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

a - The parameter a

b - The parameter b

c - The parameter c

d - The parameter d

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

CapletVolatilitiesParametric

public CapletVolatilitiesParametric(String name,
                                    LocalDate referenceDate,
                                    double a,
                                    double b,
                                    double c,
                                    double d)

Create a model with parameters a,b,c,d.

Parameters:

name - The name of this volatility surface.

referenceDate - The reference date for this volatility surface, i.e., the date which defined t=0.

a - The parameter a

b - The parameter b

c - The parameter c

d - The parameter d

Method Detail

getValue

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

Description copied from interface: VolatilitySurface

Returns the price or implied volatility for the corresponding maturity and strike.

Parameters:

maturity - The option maturity for which the price or implied volatility is requested.

strike - The option strike for which the price or implied volatility is requested.

quotingConvention - The quoting convention to be used for the return value.

Returns:

The price or implied volatility depending on the quoting convention.

getValue

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

Description copied from interface: VolatilitySurface

Returns the price or implied volatility for the corresponding maturity and strike.

Parameters:

model - An analytic model providing a context. Some curves do not need this (may be null).

maturity - The option maturity for which the price or implied volatility is requested.

strike - The option strike for which the price or implied volatility is requested.

quotingConvention - The quoting convention to be used for the return value.

Returns:

The price or implied volatility depending on the quoting convention.

getParameter

public double[] getParameter()

Description copied from interface: ParameterObject

Get the current parameter associated with the state of the objects.

Returns:

The parameter.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObject

Set the current parameter and change the state of the objects.

Parameters:

parameter - The parameter associated with the new state of the objects.

getCloneForParameter

public AbstractVolatilitySurfaceParametric getCloneForParameter(double[] value)
                                                         throws CloneNotSupportedException

Description copied from class: AbstractVolatilitySurfaceParametric

Returns a clone of this volatility surface with modified parameters.

Specified by:

getCloneForParameter in interface ParameterObject

Specified by:

getCloneForParameter in class AbstractVolatilitySurfaceParametric

Parameters:

value - Parameter array.

Returns:

Clone with new parameters.

Throws:

CloneNotSupportedException - Thrown if this object cannot be cloned.