- java.lang.Object
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- net.finmath.singleswaprate.model.volatilities.VolVolCube
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- All Implemented Interfaces:
VolatilityCube
public class VolVolCube extends Object implements VolatilityCube
This cube provides the volatility of the stochastic driver for each sub-tenor of the swap rate's schedule in the Piterbarg model of the annuity mapping. They are linked to normal volatilities via \[ \frac{\tau_j}{1+\tau_j S_j(0)} \rho_{i,j} \sigma_j ]\, where \(\tau\) is the accrual fraction, \(S_j(0)\) is the swap rate of the j-th subtenor evaluated at time 0, \(\sigma_j\) the volatility of the j-th subtenor at the strike and \(\rho_{i,j}\) is the correlation between the swap rates of the two tenors. We assume a correlation according to \[ \rho_{i,j} = e^{d(T_j - T_i)} \], where d is some decay parameter, given by the underlying cube.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description VolVolCube(String name, LocalDate referenceDate, String referenceCubeName, Schedule schedule, double[] initialSwapRates)
Create the volvol 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 tenorLength, 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.String
toString()
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Constructor Detail
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VolVolCube
public VolVolCube(String name, LocalDate referenceDate, String referenceCubeName, Schedule schedule, double[] initialSwapRates)
Create the volvol cube.- Parameters:
name
- The name of the cube.referenceDate
- The referenceDate of the cube.referenceCubeName
- The name of the underlying cube.schedule
- The schedule of the swap rate.initialSwapRates
- Initial swap rates of all sub-tenors.
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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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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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getValue
public double getValue(double tenorLength, 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:
tenorLength
- 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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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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