Module net.finmath.lib

Package net.finmath.singleswaprate.calibration

Class AbstractCubeCalibration

java.lang.Object

net.finmath.singleswaprate.calibration.AbstractCubeCalibration

Direct Known Subclasses:

SABRCubeParallelCalibration, StaticCubeCalibration

public abstract class AbstractCubeCalibration
extends Object

Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods:

• buildCube
• initializeParameters
• applyParameterBounds

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
protected class	AbstractCubeCalibration.SwaptionInfo	Compact identifier for the swaptions to be created during the optimization.

Constructor Summary

Constructors

Constructor	Description
AbstractCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.

Method Summary

Modifier and Type	Method	Description
protected abstract double[]	applyParameterBounds(double[] parameters)	Apply bounds to parameters.
protected abstract VolatilityCube	buildCube(String name, double[] parameters)	Build the cube from a set of parameters.
VolatilityCube	calibrate(String cubeName)	Run the calibration.
String	getForwardCurveName()
double[]	getInitialParameters()
int	getMaxIterations()
VolatilityCubeModel	getModel()
int	getNumberOfThreads()
LocalDate	getReferenceDate()
double	getReplicationLowerBound()
int	getReplicationNumberOfEvaluationPoints()
double	getReplicationUpperBound()
protected abstract void	initializeParameters()	Prepare the parameters for the start of the calibration.
boolean	isReplicationUseAsOffset()
void	setCalibrationParameters(int maxIterations, int numberOfThreads)	Set the parameters for calibration.
void	setInitialParameters(double[] initialParameters)
void	setReplicationParameters(boolean useAsOffset, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Set the parameters for the swaption replication.

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractCubeCalibration

public AbstractCubeCalibration(LocalDate referenceDate,
                               SwaptionDataLattice cashPayerPremiums,
                               SwaptionDataLattice cashReceiverPremiums,
                               VolatilityCubeModel model,
                               AnnuityMapping.AnnuityMappingType annuityMappingType)

Create the calibrator.

Parameters:

referenceDate - The reference date of the cube.

cashPayerPremiums - The lattice containing market targets for cash settled payer swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.

cashReceiverPremiums - The lattice containing market targets for cash settled receiver swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.

model - The model providing context.

annuityMappingType - The type of annuity mapping to be used for calibration.

Throws:

IllegalArgumentException - Triggers when data is not provided in QuotingConvention.Price.

Method Detail

buildCube

protected abstract VolatilityCube buildCube(String name,
                                            double[] parameters)

Build the cube from a set of parameters. These need to be an array of all parameters to be calibrated.

Parameters:

name - The name the cube will carry.

parameters - The parameters of the cube as array.

Returns:

The volatility cube.

initializeParameters

protected abstract void initializeParameters()

Prepare the parameters for the start of the calibration.

applyParameterBounds

protected abstract double[] applyParameterBounds(double[] parameters)

Apply bounds to parameters. Such as volatility larger zero.

Parameters:

parameters - The raw parameters of the cube as array.

Returns:

The parameters with their respective bounds applied.

calibrate

public VolatilityCube calibrate(String cubeName)
                         throws SolverException

Run the calibration.

Parameters:

cubeName - The name of the final cube.

Returns:

The calibrated cube.

Throws:

SolverException - Thrown, when solvers fail to find suitable parameters.

setCalibrationParameters

public void setCalibrationParameters(int maxIterations,
                                     int numberOfThreads)

Set the parameters for calibration.

Parameters:

maxIterations - The maximum number of iterations done during calibration.

numberOfThreads - The number of processor threads to be used.

getMaxIterations

public int getMaxIterations()

Returns:

The maximum number of iterations of the optimizer.

getNumberOfThreads

public int getNumberOfThreads()

Returns:

The number of threads the optimizer is allowed to use.

setReplicationParameters

public void setReplicationParameters(boolean useAsOffset,
                                     double lowerBound,
                                     double upperBound,
                                     int numberOfEvaluationPoints)

Set the parameters for the swaption replication.

Parameters:

useAsOffset - Are the values of lower and upperBound to be understood as offsets from the par swap rate?

lowerBound - The lowest strike allowed.

upperBound - The maximal strike allowed.

numberOfEvaluationPoints - The number of points to be evaluated during the integration.

isReplicationUseAsOffset

public boolean isReplicationUseAsOffset()

Returns:

True when the replication bounds are to be understood as offset from the par swap rate.

getReplicationLowerBound

public double getReplicationLowerBound()

Returns:

The lowest strike allowed during swaption replication.

getReplicationUpperBound

public double getReplicationUpperBound()

Returns:

The maximal strike allowed during swaption replication.

getReplicationNumberOfEvaluationPoints

public int getReplicationNumberOfEvaluationPoints()

Returns:

The number of points to be evaluated during swaption replication.

getReferenceDate

public LocalDate getReferenceDate()

Returns:

the referenceDate

getModel

public VolatilityCubeModel getModel()

Returns:

the model

getForwardCurveName

public String getForwardCurveName()

Returns:

the forwardCurveName

getInitialParameters

public double[] getInitialParameters()

Returns:

the initialParameters

setInitialParameters

public void setInitialParameters(double[] initialParameters)

Parameters:

initialParameters - the initialParameters to set