Module net.finmath.lib

Package net.finmath.singleswaprate.calibration

Class StaticCubeCalibration

java.lang.Object

net.finmath.singleswaprate.calibration.AbstractCubeCalibration

net.finmath.singleswaprate.calibration.StaticCubeCalibration

public class StaticCubeCalibration
extends AbstractCubeCalibration

Calibration for a simple cube that only provides a single value at all coordinates.

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration

AbstractCubeCalibration.SwaptionInfo

Constructor Summary

Constructors

Constructor	Description
StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the calibrator.
StaticCubeCalibration(LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, VolatilityCubeModel model, AnnuityMapping.AnnuityMappingType annuityMappingType, double initialValue, double initialCorrelationDecay)	Create the calibrator.

Method Summary

Modifier and Type	Method	Description
protected double[]	applyParameterBounds(double[] parameters)	Apply bounds to parameters.
protected VolatilityCube	buildCube(String cubeName, double[] parameters)	Build the cube from a set of parameters.
protected void	initializeParameters()	Prepare the parameters for the start of the calibration.

Methods inherited from class net.finmath.singleswaprate.calibration.AbstractCubeCalibration

calibrate, getForwardCurveName, getInitialParameters, getMaxIterations, getModel, getNumberOfThreads, getReferenceDate, getReplicationLowerBound, getReplicationNumberOfEvaluationPoints, getReplicationUpperBound, isReplicationUseAsOffset, setCalibrationParameters, setInitialParameters, setReplicationParameters

Methods inherited from class java.lang.Object

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

Constructor Detail

StaticCubeCalibration

public StaticCubeCalibration(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.

StaticCubeCalibration

public StaticCubeCalibration(LocalDate referenceDate,
                             SwaptionDataLattice cashPayerPremiums,
                             SwaptionDataLattice cashReceiverPremiums,
                             VolatilityCubeModel model,
                             AnnuityMapping.AnnuityMappingType annuityMappingType,
                             double initialValue,
                             double initialCorrelationDecay)

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.

initialValue - The value to start the calibration at.

initialCorrelationDecay - The correlation decay to start the calibration at.

Method Detail

buildCube

protected VolatilityCube buildCube(String cubeName,
                                   double[] parameters)

Description copied from class: AbstractCubeCalibration

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

Specified by:

buildCube in class AbstractCubeCalibration

Parameters:

cubeName - The name the cube will carry.

parameters - The parameters of the cube as array.

Returns:

The volatility cube.

initializeParameters

protected void initializeParameters()

Description copied from class: AbstractCubeCalibration

Prepare the parameters for the start of the calibration.

Specified by:

initializeParameters in class AbstractCubeCalibration

applyParameterBounds

protected double[] applyParameterBounds(double[] parameters)

Description copied from class: AbstractCubeCalibration

Apply bounds to parameters. Such as volatility larger zero.

Specified by:

applyParameterBounds in class AbstractCubeCalibration

Parameters:

parameters - The raw parameters of the cube as array.

Returns:

The parameters with their respective bounds applied.