Uses of Interface
net.finmath.singleswaprate.data.DataTable

Packages that use DataTable

Package	Description
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
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.

Uses of DataTable in net.finmath.singleswaprate

Methods in net.finmath.singleswaprate with parameters of type DataTable

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertTableToLattice(DataTable table, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a DataTable containing swaption data to a SwaptionDataLattice.

Method parameters in net.finmath.singleswaprate with type arguments of type DataTable

Modifier and Type	Method	Description
static SwaptionDataLattice	Utils.convertMapOfTablesToLattice(Map<Integer,DataTable> tables, SwaptionDataLattice.QuotingConvention quotingConvention, LocalDate referenceDate, String discountCurveName, String forwardCurveName, SchedulePrototype fixMetaSchedule, SchedulePrototype floatMetaSchedule)	Convert a map of DataTable containing swaption data to a SwaptionDataLattice.

Uses of DataTable in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration that return types with arguments of type DataTable

Modifier and Type	Method	Description
static Map<Integer,DataTable>	SABRShiftedSmileCalibration.createVolatilityCubeLattice(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model)	Return all data points as volatilities that serve as calibration targets.

Methods in net.finmath.singleswaprate.calibration with parameters of type DataTable

Modifier and Type	Method	Description
void	SABRCubeCalibration.setInitialParameters(DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Prepare the parameters for the start of the calibration.

Uses of DataTable in net.finmath.singleswaprate.data

Classes in net.finmath.singleswaprate.data that implement DataTable

Modifier and Type	Class	Description
class	DataTableBasic	A basic implementation of DataTable, which provides no means of inter- or extrapolation.
class	DataTableExtrapolated	Extends DataTableBasic with the capacity to inter- and extrapolate values off the tenor grid.
class	DataTableInterpolated	Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes.
class	DataTableLight	A basic implementation of DataTable, which only allows access to data via int and provides no means of inter- or extrapolation.
class	DataTableLinear	Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes, using BiLinearInterpolation Note that the interpolation is done to the accuracy of the table convention.

Methods in net.finmath.singleswaprate.data that return DataTable

Modifier and Type	Method	Description
DataTable	DataTable.addPoint(int maturity, int termination, double value)	Add a point to the grid of the table.
DataTable	DataTableBasic.addPoint(int maturity, int termination, double value)
DataTable	DataTable.addPoints(int[] maturities, int[] terminations, double[] values)	Add an array of points to the table.
DataTable	DataTableBasic.addPoints(int[] maturities, int[] terminations, double[] values)
DataTable	DataTable.clone()

Methods in net.finmath.singleswaprate.data with parameters of type DataTable

Modifier and Type	Method	Description
static Map<String,Object>	DataTable.exportTable(DataTable table)	Provides an overview of the contents of this table as basic java objects sorted in an unmodifiable map.

Uses of DataTable in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities that return DataTable

Modifier and Type	Method	Description
DataTable	SABRVolatilityCube.getBaseVolTable()
DataTable	SABRVolatilityCube.getRhoTable()
DataTable	SABRVolatilityCube.getUnderlyingTable()
DataTable	SABRVolatilityCube.getVolvolTable()

Methods in net.finmath.singleswaprate.model.volatilities with parameters of type DataTable

Modifier and Type	Method	Description
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.

Constructors in net.finmath.singleswaprate.model.volatilities with parameters of type DataTable

Constructor	Description
SABRVolatilityCube(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, DataTable rhoTable, DataTable baseVolTable, DataTable volvolTable, double correlationDecay)	Create the cube.
SABRVolatilityCube(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, DataTable rhoTable, DataTable baseVolTable, DataTable volvolTable, double correlationDecay, double iborOisDecorrelation)	Create the cube.
SABRVolatilityCubeParallel(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay)	Create the cube.
SABRVolatilityCubeParallel(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement, double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay, double iborOisDecorrelation)	Create the cube.