Module net.finmath.lib

Package net.finmath.singleswaprate

Class Utils

java.lang.Object

net.finmath.singleswaprate.Utils

public class Utils
extends Object

A collection of utility methods for dealing with the net.finmath.singleswaprate package.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
Utils()

Method Summary

Modifier and Type	Method	Description
static SwaptionDataLattice	convertCashLatticeToNormalVolatility(SwaptionDataLattice cashLattice, VolatilityCubeModel model)	Convert a lattice containing cash settled swaption prices to payer normal volatilities.
static SwaptionDataLattice	convertMapOfTablesToLattice(Map<Integer,DataTable> tables, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a map of DataTable containing swaption data to a SwaptionDataLattice.
static SwaptionDataLattice	convertTableToLattice(DataTable table, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a DataTable containing swaption data to a SwaptionDataLattice.
static SwaptionDataLattice	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.

Methods inherited from class java.lang.Object

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

Constructor Detail

Utils

public Utils()

Method Detail

convertTableToLattice

public static SwaptionDataLattice convertTableToLattice(DataTable table,
                                                        SwaptionDataLattice.QuotingConvention quotingConvention,
                                                        LocalDate referenceDate,
                                                        String discountCurveName,
                                                        String forwardCurveName,
                                                        SchedulePrototype fixMetaSchedule,
                                                        SchedulePrototype floatMetaSchedule)

Convert a DataTable containing swaption data to a SwaptionDataLattice. The table needs to be in DataTable.TableConvention.MONTHS.

Parameters:

table - The table in convention DataTable.TableConvention.MONTHS containing swaption data.

quotingConvention - The quoting convention of the data.

referenceDate - The reference date associated with the swaptions.

discountCurveName - The name of the discount curve to be used for the swaptions.

forwardCurveName - The name of the forward curve to be used for the swaptions.

fixMetaSchedule - The ScheduleMetaData to be used for the fix schedules of the swaptions.

floatMetaSchedule - The ScheduleMetaData to be used for the float schedules of the swaptions.

Returns:

SwaptionDataLattice containing the swaptions of the table.

convertMapOfTablesToLattice

public static SwaptionDataLattice convertMapOfTablesToLattice(Map<Integer,DataTable> tables,
                                                              SwaptionDataLattice.QuotingConvention quotingConvention,
                                                              LocalDate referenceDate,
                                                              String discountCurveName,
                                                              String forwardCurveName,
                                                              SchedulePrototype fixMetaSchedule,
                                                              SchedulePrototype floatMetaSchedule)

Convert a map of DataTable containing swaption data to a SwaptionDataLattice. The data of the swaptions is arranged in tables by moneyness, which is used as key in the map. The tables need to be in DataTable.TableConvention.MONTHS.

Parameters:

tables - A map of tables, containing swaption data in convention DataTable.TableConvention.MONTHS, per moneyness.

quotingConvention - The quoting convention of the data.

referenceDate - The reference date associated with the swaptions.

discountCurveName - The name of the discount curve to be used for the swaptions.

forwardCurveName - The name of the forward curve to be used for the swaptions.

fixMetaSchedule - The ScheduleMetaData to be used for the fix schedules of the swaptions.

floatMetaSchedule - The ScheduleMetaData to be used for the float schedules of the swaptions.

Returns:

SwaptionDataLattice containing the swaptions of the tables.

shiftCashToPhysicalSmile

public static SwaptionDataLattice 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.

Parameters:

model - Contains curves to translate swaption data to normal volatility. Can be null, if data already in normal volatility.

physicalSwaptions - The physically settled atm swaptions.

cashSwaptions - The smile points with corresponding atm nodes of cash swaptions.

Returns:

The lattice containing the shifted physically settled swaption smiles.

convertCashLatticeToNormalVolatility

public static SwaptionDataLattice convertCashLatticeToNormalVolatility(SwaptionDataLattice cashLattice,
                                                                       VolatilityCubeModel model)

Convert a lattice containing cash settled swaption prices to payer normal volatilities. Conversion assumes put-call-parity.

Parameters:

cashLattice - The lattice of cash settled swaptions.

model - The model containing curves for conversion.

Returns:

The converted lattice.