- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.SwaptionATM
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- All Implemented Interfaces:
Product
,Swaption
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class SwaptionATM extends AbstractLIBORMonteCarloProduct implements Swaption
A lightweight ATM swaption product used for calibration.- Version:
- 1.0
- Author:
- Stefan Sedlmair, Christian Fries
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Nested Class Summary
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Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption
Swaption.ValueUnit
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Constructor Summary
Constructors Constructor Description SwaptionATM(double[] swapTenor, Swaption.ValueUnit valueUnit)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getImpliedBachelierATMOptionVolatility(RandomVariable optionValue, double optionMaturity, double swapAnnuity)
Calculates ATM Bachelier implied volatilities.RandomVariable
getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData, getValues
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Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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SwaptionATM
public SwaptionATM(double[] swapTenor, Swaption.ValueUnit valueUnit)
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:TermStructureMonteCarloProduct
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.- Specified by:
getValue
in interfaceTermStructureMonteCarloProduct
- Specified by:
getValue
in classAbstractLIBORMonteCarloProduct
- Parameters:
evaluationTime
- The time on which this products value should be observed.model
- The model used to price the product.- Returns:
- The random variable representing the value of the product discounted to evaluation time
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getImpliedBachelierATMOptionVolatility
public RandomVariable getImpliedBachelierATMOptionVolatility(RandomVariable optionValue, double optionMaturity, double swapAnnuity)
Calculates ATM Bachelier implied volatilities.- Parameters:
optionValue
- RandomVarable representing the value of the optionoptionMaturity
- Time to maturity.swapAnnuity
- The swap annuity as seen on valuation time.- Returns:
- The Bachelier implied volatility.
- See Also:
AnalyticFormulas.bachelierOptionImpliedVolatility(double, double, double, double, double)
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