Module net.finmath.lib
Class ScaledVolatilityCube
- java.lang.Object
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- net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
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- All Implemented Interfaces:
VolatilityCube
public class ScaledVolatilityCube extends Object implements VolatilityCube
A volatility cube that always returns a multiple of the value an underlying cube would return.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description ScaledVolatilityCube(String name, LocalDate referenceDate, String referenceCubeName, double coefficient, double correlationDecay)
ScaledVolatilityCube(String name, LocalDate referenceDate, String referenceCubeName, double coefficient, double correlationDecay, double iborOisDecorrelation)
Create the cube.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
getCorrelationDecay()
Return the correlation decay parameter of the cube.double
getIborOisDecorrelation()
Return the IBOR vs OIS decorrelation parameter.double
getLowestStrike(VolatilityCubeModel model)
Returns the lowest possible value of strike that can be evaluated by this cube.String
getName()
Returns the name of the volatility cube.Map<String,Object>
getParameters()
Returns a map with all implementation dependent parameters of this volatility cube.String
getReferenceCubeName()
LocalDate
getReferenceDate()
Return the reference date of this cube, i.e.double
getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Return the volatility at the specified coordinates in the desired quotation.double
getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Return the volatility at the specified coordinates in the desired quotation.
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Constructor Detail
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ScaledVolatilityCube
public ScaledVolatilityCube(String name, LocalDate referenceDate, String referenceCubeName, double coefficient, double correlationDecay, double iborOisDecorrelation)
Create the cube.- Parameters:
name
- The name of the cube.referenceDate
- The reference date of the cube.referenceCubeName
- The name of the underlying cube.coefficient
- The coefficient with which the value of the underlying cube is to be multiplied.correlationDecay
- The correlation decay parameter of the cube.iborOisDecorrelation
- The ibor ois decorrelation parameter of the cube.
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Method Detail
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getValue
public double getValue(VolatilityCubeModel model, double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface:VolatilityCube
Return the volatility at the specified coordinates in the desired quotation.- Specified by:
getValue
in interfaceVolatilityCube
- Parameters:
model
- A model providing context.termination
- End date of the underlying.maturity
- Maturity date of the option.strike
- Strike rate of the option.quotingConvention
- Desired quoting convention.- Returns:
- The volatility.
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getValue
public double getValue(double termination, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
Description copied from interface:VolatilityCube
Return the volatility at the specified coordinates in the desired quotation.- Specified by:
getValue
in interfaceVolatilityCube
- Parameters:
termination
- End date of the underlying.maturity
- Maturity date of the option.strike
- Strike rate of the option.quotingConvention
- Desired quoting convention.- Returns:
- The volatility.
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getName
public String getName()
Description copied from interface:VolatilityCube
Returns the name of the volatility cube.- Specified by:
getName
in interfaceVolatilityCube
- Returns:
- The name of the volatility cube.
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getReferenceDate
public LocalDate getReferenceDate()
Description copied from interface:VolatilityCube
Return the reference date of this cube, i.e. the date associated with t=0.- Specified by:
getReferenceDate
in interfaceVolatilityCube
- Returns:
- The date identified as t=0.
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getReferenceCubeName
public String getReferenceCubeName()
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getCorrelationDecay
public double getCorrelationDecay()
Description copied from interface:VolatilityCube
Return the correlation decay parameter of the cube. This is used to determine the correlation between tenors in a derived volvol cube.- Specified by:
getCorrelationDecay
in interfaceVolatilityCube
- Returns:
- The correlation decay parameter.
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getParameters
public Map<String,Object> getParameters()
Description copied from interface:VolatilityCube
Returns a map with all implementation dependent parameters of this volatility cube.- Specified by:
getParameters
in interfaceVolatilityCube
- Returns:
- A map of all parameters.
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getLowestStrike
public double getLowestStrike(VolatilityCubeModel model)
Description copied from interface:VolatilityCube
Returns the lowest possible value of strike that can be evaluated by this cube. This is relevant for instance when an implementation uses a SABR model with displacement.- Specified by:
getLowestStrike
in interfaceVolatilityCube
- Parameters:
model
- A model for context.- Returns:
- Lowest possible strike this volatility cube supports.
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getIborOisDecorrelation
public double getIborOisDecorrelation()
Description copied from interface:VolatilityCube
Return the IBOR vs OIS decorrelation parameter. This parameter scales the convexity adjustment in a multi curve model, using different curves for forward rates and discounting.- Specified by:
getIborOisDecorrelation
in interfaceVolatilityCube
- Returns:
- The IBOR vs OIS decorrelation parameter.
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