Module net.finmath.lib
Package net.finmath.singleswaprate.calibration
Classes providing calibration to market data of volatility cubes.
- Author:
- Christian Fries, Roland Bachl
-
Class Summary Class Description AbstractCubeCalibration 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
SABRCubeCalibration Calibration ofSABRVolatilityCube
using custom optimization.SABRCubeParallelCalibration Calibrates aSABRVolatilityCubeParallel
.SABRShiftedSmileCalibration Calibration of aSABRVolatilityCube
by shifting increments in the market data of cash settled swaptions onto physically settled swaptions and calibrating a SABR model on the resulting smiles.StaticCubeCalibration Calibration for a simple cube that only provides a single value at all coordinates.