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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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package net.finmath.singleswaprate.model.volatilities;
import java.time.LocalDate;
import net.finmath.marketdata.model.volatilities.SwaptionDataLattice;
import net.finmath.optimizer.SolverException;
import net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType;
import net.finmath.singleswaprate.calibration.SABRCubeCalibration;
import net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration;
import net.finmath.singleswaprate.data.DataTable;
import net.finmath.singleswaprate.model.VolatilityCubeModel;
import net.finmath.time.SchedulePrototype;
/**
* A factory for all volatility cubes, based on common input.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
public class VolatilityCubeFactory {
//input
private final LocalDate referenceDate;
private final double displacement;
private final double beta;
private final double correlationDecay;
private final double iborOisDecorrelation;
private final SwaptionDataLattice cashPayerPremiums;
private final SwaptionDataLattice cashReceiverPremiums;
private final SwaptionDataLattice physicalPremiumsATM;
private final AnnuityMappingType annuityMappingType;
private int maxIterations = 250;
private int numberOfThreads = Runtime.getRuntime().availableProcessors();
private final boolean replicationUseAsOffset = true;
private double replicationLowerBound = -0.15;
private double replicationUpperBound = 0.15;
private int replicationNumberOfEvaluationPoints = 500;
/**
* Create the factory.
*
* @param referenceDate The reference date the cubes will have.
* @param cashPayerPremiums The lattice containing market targets for cash settled payer swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
* @param cashReceiverPremiums The lattice containing market targets for cash settled receiver swaptions. The lattice needs to be quoted in QuotingConvention.PRICE.
* @param physicalPremiumsATM Table containing physical settled swaption atm premiums.
* @param displacement The displacement a cube should use.
* @param beta The SABR beta parameter SABR cube should use.
* @param correlationDecay The correlation decay parameter a cube should use.
* @param iborOisDecorrelation The ibor ois decorrelation a cube should use.
* @param annuityMappingType The type of annuity mapping to use when building the cube.
*/
public VolatilityCubeFactory(final LocalDate referenceDate, final SwaptionDataLattice cashPayerPremiums, final SwaptionDataLattice cashReceiverPremiums, final SwaptionDataLattice physicalPremiumsATM,
final double displacement, final double beta, final double correlationDecay, final double iborOisDecorrelation, final AnnuityMappingType annuityMappingType) {
super();
this.referenceDate = referenceDate;
this.cashPayerPremiums = cashPayerPremiums;
this.cashReceiverPremiums = cashReceiverPremiums;
this.physicalPremiumsATM = physicalPremiumsATM;
this.displacement = displacement;
this.beta = beta;
this.correlationDecay = correlationDecay;
this.iborOisDecorrelation = iborOisDecorrelation;
this.annuityMappingType = annuityMappingType;
}
/**
* Build a {@link SABRVolatilityCubeParallel} from parameters via {@link SABRVolatilityCubeParallelFactory}.
*
* @param name The name of the cube.
* @param rho The SABR parameter rho.
* @param volvol The SABR volvol parameter.
* @param physicalATMSwaptions Lattice containing at-the-money values of physically settled swaptions.
* @param model The model for context.
* @return The cube.
*/
public SABRVolatilityCubeParallel buildParallelSABRCube(final String name, final double rho, final double volvol, final SwaptionDataLattice physicalATMSwaptions,
final VolatilityCubeModel model) {
final SchedulePrototype fixMetaSchedule = cashPayerPremiums.getFixMetaSchedule();
final SchedulePrototype floatMetaSchedule = cashReceiverPremiums.getFloatMetaSchedule();
final String forwardCurveName = cashPayerPremiums.getForwardCurveName();
return SABRVolatilityCubeParallelFactory.createSABRVolatilityCubeParallel(name, referenceDate, fixMetaSchedule, floatMetaSchedule, displacement, beta, rho, volvol,
correlationDecay, iborOisDecorrelation, physicalATMSwaptions, model, forwardCurveName);
}
/**
* Build a {@link SABRVolatilityCube} by calibration via {@link SABRShiftedSmileCalibration}.
*
* @param name The name of the cube.
* @param model The model for context.
* @return The calibrated cube.
*
* @throws SolverException Thrown when solvers fail to find suitable parameters.
*/
public SABRVolatilityCube buildShiftedSmileSABRCube(final String name, final VolatilityCubeModel model)
throws SolverException {
final SABRShiftedSmileCalibration calibrator = new SABRShiftedSmileCalibration(referenceDate,
cashPayerPremiums, cashReceiverPremiums, physicalPremiumsATM, model, displacement, beta, correlationDecay, iborOisDecorrelation);
calibrator.setCalibrationParameters(maxIterations, numberOfThreads);
return calibrator.build(name);
}
/**
* Build a {@link SABRVolatilityCube} by calibration via {@link SABRCubeCalibration}.
*
* @param name The name of the cube.
* @param model The model for context.
* @param terminations The terminations to calibrate to in each slice.
* @return The calibrated cube.
*
* @throws SolverException Thrown when either the calibration of final or initial parameters (if not provided) fails.
*/
public SABRVolatilityCube buildSABRVolatilityCube(final String name, final VolatilityCubeModel model, final int[] terminations) throws SolverException {
final SABRCubeCalibration calibrator = new SABRCubeCalibration(referenceDate, cashPayerPremiums, cashReceiverPremiums, physicalPremiumsATM, model,
annuityMappingType, displacement, beta, correlationDecay, iborOisDecorrelation);
calibrator.setCalibrationParameters(maxIterations, numberOfThreads);
calibrator.setReplicationParameters(replicationUseAsOffset, replicationLowerBound, replicationUpperBound, replicationNumberOfEvaluationPoints);
return calibrator.calibrate(name, terminations);
}
/**
* Build a {@link SABRVolatilityCube} by calibration via {@link SABRCubeCalibration}.
*
* @param name The name of the cube.
* @param model The model for context.
* @param terminations The terminations to calibrate to in each slice.
* @param initialRhos Table containing initial rhos for the calibration.
* @param initialBaseVols Table containing initial base volatilities for the calibration.
* @param initialVolvols Table containing initial volvols for the calibration.
* @return The calibrated cube.
*
* @throws SolverException Thrown when either the calibration of final or initial parameters (if not provided) fails.
*/
public SABRVolatilityCube buildSABRVolatilityCube(final String name, final VolatilityCubeModel model, final int[] terminations,
final DataTable initialRhos, final DataTable initialBaseVols, final DataTable initialVolvols) throws SolverException {
final SABRCubeCalibration calibrator = new SABRCubeCalibration(referenceDate, cashPayerPremiums, cashReceiverPremiums, physicalPremiumsATM, model,
annuityMappingType, displacement, beta, correlationDecay, iborOisDecorrelation);
calibrator.setCalibrationParameters(maxIterations, numberOfThreads);
calibrator.setReplicationParameters(replicationUseAsOffset, replicationLowerBound, replicationUpperBound, replicationNumberOfEvaluationPoints);
calibrator.setInitialParameters(initialRhos, initialBaseVols, initialVolvols);
return calibrator.calibrate(name, terminations);
}
/**
* @return The number of threads for calibration.
*/
public int getNumberOfThreads() {
return numberOfThreads;
}
/**
* @return The maximum number of iterations during calibration.
*/
public int getMaxIterations() {
return maxIterations;
}
/**
* Set the parameters for calibration.
*
* @param maxIterations The maximum number of iterations done during calibration.
* @param numberOfThreads The number of processor threads to be used.
*/
public void setCalibrationParameters( final int maxIterations, final int numberOfThreads) {
this.maxIterations = maxIterations;
this.numberOfThreads = numberOfThreads;
}
/**
* Set the parameters for replication.
*
* @param lowerBound The lowest swap rate to be evaluated.
* @param upperBound The highest swap rate to be evaluated.
* @param numberOfEvaluationPoints The number of points to be evaluated during replication.
*/
public void setReplicationParameters(final double lowerBound, final double upperBound, final int numberOfEvaluationPoints) {
this.replicationLowerBound = lowerBound;
this.replicationUpperBound = upperBound;
this.replicationNumberOfEvaluationPoints = numberOfEvaluationPoints;
}
/**
* @return The lowest swap rate to be evaluated during replication.
*/
public double getReplicationLowerBound() {
return replicationLowerBound;
}
/**
* @return The highest swap rate to be evaluated during replication.
*/
public double getReplicationUpperBound() {
return replicationUpperBound;
}
/**
* @return The number of points to be evaluated during replication.
*/
public double getReplicationNumberOfEvaluationPoints() {
return replicationNumberOfEvaluationPoints;
}
}