net.finmath.marketdata.model.volatilities

Class SwaptionMarketData

java.lang.Object

net.finmath.marketdata.model.volatilities.SwaptionMarketData

All Implemented Interfaces:

AbstractSwaptionMarketData

public class SwaptionMarketData
extends java.lang.Object
implements AbstractSwaptionMarketData

Simple swaption market data class. The class does currently not provide a surface interpolation like SABR. This will be added in a future version.

Constructor Summary

Constructors

Constructor and Description
SwaptionMarketData(double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionMarketData(ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionMarketData(ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve, TimeDiscretizationInterface optionMatruities, TimeDiscretizationInterface tenor, double swapPeriodLength, double[][] impliedVolatilities)

Method Summary

Modifier and Type	Method and Description
TimeDiscretizationInterface	getOptionMaturities()
double	getSwapPeriodLength()
TimeDiscretizationInterface	getTenor()
double	getValue(double optionMatruity, double tenorLength, double periodLength, double strike) Returns the option price of a swaption for a given option maturity and tenor length.
double	getVolatility(double optionMatruity, double tenorLength)
double	getVolatility(double optionMatruity, double tenorLength, double periodLength, double strike) Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SwaptionMarketData

public SwaptionMarketData(double[] optionMaturities,
                          double[] tenor,
                          double swapPeriodLength,
                          double[][] impliedVolatilities)

SwaptionMarketData

public SwaptionMarketData(ForwardCurveInterface forwardCurve,
                          DiscountCurveInterface discountCurve,
                          double[] optionMaturities,
                          double[] tenor,
                          double swapPeriodLength,
                          double[][] impliedVolatilities)

SwaptionMarketData

public SwaptionMarketData(ForwardCurveInterface forwardCurve,
                          DiscountCurveInterface discountCurve,
                          TimeDiscretizationInterface optionMatruities,
                          TimeDiscretizationInterface tenor,
                          double swapPeriodLength,
                          double[][] impliedVolatilities)

Method Detail

getOptionMaturities

public TimeDiscretizationInterface getOptionMaturities()

Specified by:

getOptionMaturities in interface AbstractSwaptionMarketData

getTenor

public TimeDiscretizationInterface getTenor()

Specified by:

getTenor in interface AbstractSwaptionMarketData

getSwapPeriodLength

public double getSwapPeriodLength()

Specified by:

getSwapPeriodLength in interface AbstractSwaptionMarketData

getValue

public double getValue(double optionMatruity,
                       double tenorLength,
                       double periodLength,
                       double strike)

Description copied from interface: AbstractSwaptionMarketData

Returns the option price of a swaption for a given option maturity and tenor length.

Specified by:

getValue in interface AbstractSwaptionMarketData

Parameters:

optionMatruity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The option price.

getVolatility

public double getVolatility(double optionMatruity,
                            double tenorLength)

getVolatility

public double getVolatility(double optionMatruity,
                            double tenorLength,
                            double periodLength,
                            double strike)

Description copied from interface: AbstractSwaptionMarketData

Returns the option implied volatility of a swaption for a given option maturity and tenor length.

Specified by:

getVolatility in interface AbstractSwaptionMarketData

Parameters:

optionMatruity - The option maturity.

tenorLength - The tenor length.

periodLength - The period length of the floating rate period.

strike - The strike (swap) rate.

Returns:

The implied volatility.