net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel Maven / Gradle / Ivy

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package net.finmath.singleswaprate.model.volatilities;

import java.io.Serializable;
import java.time.LocalDate;
import java.util.HashMap;
import java.util.Map;

import net.finmath.functions.AnalyticFormulas;
import net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention;
import net.finmath.singleswaprate.data.DataTable;
import net.finmath.singleswaprate.model.VolatilityCubeModel;

/**
 * A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes. All SABR parameters are shared throughout the cube,
 * with the exception of the initial volatility, which is being used to fit the curve on each point of the maturity x termination grid to the ATM levels.
 *
 * @author Christian Fries
 * @author Roland Bachl
 *
 */
public class SABRVolatilityCubeParallel implements VolatilityCube, Serializable {

	/**
	 *
	 */
	private static final long serialVersionUID = 4210804671265036606L;
	private final String name;
	private final LocalDate referenceDate;

	private final DataTable underlyingTable;

	private final double iborOisDecorrelation;


	//SABR parameters
	private final double sabrDisplacement;
	private final double sabrBeta;

	private final double sabrRho;
	private final double sabrVolvol;
	private final DataTable baseVolTable;


	//for later use in VolVolCube
	private final double correlationDecay;

	private final QuotingConvention quotingConvention = QuotingConvention.VOLATILITYNORMAL;

	/**
	 * Create the cube. With ibor ois decorrelation set to 1.0.
	 *
	 * @param name The name of the cube.
	 * @param referenceDate The reference date of the cube.
	 * @param swapRateTable Table containing base swap rates.
	 * @param sabrDisplacement Displacement for the entire cube.
	 * @param sabrBeta Beta for the entire cube.
	 * @param sabrRho Rho for the entire cube.
	 * @param sabrVolvol VolVol for the entire cube.
	 * @param baseVolTable Table containing initial volatilities.
	 * @param correlationDecay The correlation decay parameters of this cube.
	 */
	public SABRVolatilityCubeParallel(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement,
			double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay) {
		this(name, referenceDate, swapRateTable, sabrDisplacement, sabrBeta, sabrRho, sabrVolvol, baseVolTable, correlationDecay, 1.0);
	}

	/**
	 * Create the cube.
	 *
	 * @param name The name of the cube.
	 * @param referenceDate The reference date of the cube.
	 * @param swapRateTable Table containing base swap rates.
	 * @param sabrDisplacement Displacement for the entire cube.
	 * @param sabrBeta Beta for the entire cube.
	 * @param sabrRho Rho for the entire cube.
	 * @param sabrVolvol VolVol for the entire cube.
	 * @param baseVolTable Table containing initial volatilities.
	 * @param correlationDecay The correlation decay parameters of this cube.
	 * @param iborOisDecorrelation The ibor ois decorrelation parameter of this cube.
	 */
	public SABRVolatilityCubeParallel(String name, LocalDate referenceDate, DataTable swapRateTable, double sabrDisplacement,
			double sabrBeta, double sabrRho, double sabrVolvol, DataTable baseVolTable, double correlationDecay, double iborOisDecorrelation) {
		super();
		this.name = name;
		this.referenceDate = referenceDate;
		this.underlyingTable = swapRateTable;
		this.sabrBeta = sabrBeta;
		this.sabrRho = sabrRho;
		this.sabrVolvol = sabrVolvol;
		this.sabrDisplacement = sabrDisplacement;
		this.correlationDecay = correlationDecay;
		this.baseVolTable = baseVolTable;
		this.iborOisDecorrelation = iborOisDecorrelation;
	}

	@Override
	public double getValue(VolatilityCubeModel model, double termination, double maturity, double strike, QuotingConvention quotingConvention) {

		if(termination getParameters() {
		Map map = new HashMap<>();
		map.put("sabrBeta", sabrBeta);
		map.put("sabrRho", sabrRho);
		map.put("sabrVolvol", sabrVolvol);
		map.put("sabrDisplacement", sabrDisplacement);
		map.put("underlyingTable", underlyingTable.clone());
		map.put("baseVolTable", baseVolTable.clone());
		map.put("Inherent correlationDecay", correlationDecay);
		map.put("iborOisDecorrelation", iborOisDecorrelation);

		return map;
	}


	@Override
	public double getLowestStrike(VolatilityCubeModel model) {
		return -sabrDisplacement;
	}


	@Override
	public double getIborOisDecorrelation() {
		return iborOisDecorrelation;
	}

}