Module net.finmath.lib
Package net.finmath.singleswaprate.model.volatilities
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters. Generally these cubes store normal implied volatilities of physically settled swaptions.
- Author:
- Christian Fries, Roland Bachl
-
Interface Summary Interface Description VolatilityCube Interface to be implemented by classes providing a volatility cube for aVolatilityCubeModel
. -
Class Summary Class Description SABRVolatilityCube A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.SABRVolatilityCubeParallel A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.SABRVolatilityCubeParallelFactory Build aSABRVolatilityCubeParallel
from given shared parameters and marketdata.SABRVolatilityCubeSingleSmile A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.ScaledVolatilityCube A volatility cube that always returns a multiple of the value an underlying cube would return.StaticVolatilityCube A volatility cube that always returns the given value.VolatilityCubeFactory A factory for all volatility cubes, based on common input.VolVolCube 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.