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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
package net.finmath.marketdata.model.volatility.caplet;
/**
* This class is a container for all the cap data needed to perform the caplet bootstrapping.
*
* @author Daniel Willhalm
* @author Christian Fries (review and fixes)
*/
public class CapVolMarketData {
private final CapTenorStructure capTenorStructure;
private final double[] expiryVectorInYears;
private final int[] expiryVectorInMonths;
private final double[] strikeVector;
private final double[][] capVolatilities;
private final double shift;
private final int underlyingTenorInMonths;
private final int tenorChangeTimeInMonths;
private final int underlyingTenorInMonthsBeforeChange;
private final String index;
private final String indexBeforeChange;
private final String discountIndex;
/**
* The constructor of the cap volatility market data class.
* In case the underlying tenor changes throughout the expiry dates two indexes
* and tenors are submitted as parameters.
*
* @param shift The shift of the volatilities.
* @param underlyingTenorInMonths The underlying tenor in months.
* @param underlyingTenorInMonthsBeforeChange The underlying tenor in months before the tenor change.
* @param capVolatilities The matrix with cap volatilities as entries.
* @param expiryVectorInMonths The expiry dates given in months.
* @param strikeVector The caplet strikes.
* @param index The forward curve index.
* @param indexBeforeChange The forward curve index before the tenor change.
* @param discountIndex The discount curve index.
* @param capTenorStructure Enum that determines the currency.
* @param tenorChangeTimeInMonths The time in months after which the tenor changes.
*/
public CapVolMarketData(
final String index,
final String discountIndex,
final String indexBeforeChange,
final CapTenorStructure capTenorStructure,
final int[] expiryVectorInMonths,
final double[] strikeVector,
final double[][] capVolatilities,
final double shift,
final int underlyingTenorInMonths,
final int tenorChangeTimeInMonths,
final int underlyingTenorInMonthsBeforeChange) {
super();
this.capTenorStructure = capTenorStructure;
this.expiryVectorInMonths = expiryVectorInMonths;
this.strikeVector = strikeVector;
this.capVolatilities = capVolatilities;
this.shift = shift;
this.underlyingTenorInMonths = underlyingTenorInMonths;
this.tenorChangeTimeInMonths = tenorChangeTimeInMonths;
this.underlyingTenorInMonthsBeforeChange = underlyingTenorInMonthsBeforeChange;
this.index = index;
this.indexBeforeChange = indexBeforeChange;
this.discountIndex = discountIndex;
if (this.expiryVectorInMonths.length != this.capVolatilities.length) {
throw new IllegalArgumentException("number of maturities and matrix not compatible. Maturity dates: " + this.expiryVectorInMonths.length + ", Matrix rows: " + this.capVolatilities[0].length);
}
if (this.strikeVector.length != this.capVolatilities[0].length) {
throw new IllegalArgumentException("number of strikes and matrix not compatible. Strikes: " + this.strikeVector.length + ", Matrix columns: " + this.capVolatilities[0].length);
}
expiryVectorInYears = new double[this.expiryVectorInMonths.length];
for (int i = 0; i < this.expiryVectorInMonths.length; i++) {
expiryVectorInYears[i] = (this.expiryVectorInMonths[i])/12.0;
}
}
/**
* Overloaded constructor of the cap volatility market data class
* that assumes no tenor change.
*
* @param index The forward curve index.
* @param discountIndex The discount curve index.
* @param capVolatilities The matrix with cap volatilities as entries.
* @param expiryVectorInMonths The expiry dates given in months.
* @param strikeVector The caplet strikes.
* @param capTenorStructure Enum that determines the currency.
* @param shift The shift of the volatilities.
* @param underlyingTenorInMonths The underlying tenor in months.
*/
public CapVolMarketData(final String index, final String discountIndex, final CapTenorStructure capTenorStructure, final int[] expiryVectorInMonths, final double[] strikeVector, final double[][] capVolatilities, final double shift, final int underlyingTenorInMonths) {
this(index, discountIndex, null, capTenorStructure, expiryVectorInMonths, strikeVector, capVolatilities, shift, underlyingTenorInMonths, 0, underlyingTenorInMonths);
}
public double getCapVolData(final int expiry, final double strike) {
return capVolatilities[getRowIndex(expiry)][getColumnIndex(strike)];
}
public double getCapVolData(final int i, final int j) {
return capVolatilities[i][j];
}
public double getShift() {
return shift;
}
public int getNumberOfStrikes() {
return strikeVector.length;
}
public int getNumberOfExpiryDates() {
return expiryVectorInMonths.length;
}
public int getMaxExpiryInMonths() {
return expiryVectorInMonths[expiryVectorInMonths.length-1];
}
public double getMaxExpiryInYears() {
return expiryVectorInYears[expiryVectorInYears.length-1];
}
public int getExpiryInMonths(final int i) {
return expiryVectorInMonths[i];
}
public double getExpiryInYears(final int i) {
return expiryVectorInYears[i];
}
public double[][] getVolMatrix() {
return capVolatilities;
}
public double[] getStrikeVector() {
return strikeVector;
}
public int[] getExpiryVectorInMonths() {
return expiryVectorInMonths;
}
public double[] getExpiryVectorInYears() {
return expiryVectorInYears;
}
public int getRowIndex(final int expiryInMonths) {
for (int i = 0; i < expiryVectorInMonths.length; i++) {
if (expiryVectorInMonths[i]==expiryInMonths) {
return i;
}
}
return -1;
}
public double getStrike(final int j) {
return strikeVector[j];
}
public int getColumnIndex(final double strike) {
for (int j = 0; j < strikeVector.length; j++) {
if (strikeVector[j]==strike) {
return j;
}
}
return -1;
}
public CapTenorStructure getCapTenorStructure() {
return capTenorStructure;
}
public int getUnderlyingTenorInMonths() {
return underlyingTenorInMonths;
}
public int getUnderlyingTenorInMonthsBeforeChange() {
return underlyingTenorInMonthsBeforeChange;
}
public int getTenorChangeTimeInMonths() {
return tenorChangeTimeInMonths;
}
public String getIndex() {
return index;
}
public String getIndexBeforeChange() {
return indexBeforeChange;
}
public String getDiscountIndex() {
return discountIndex;
}
public void setCapVolMatrixEntry(final int i, final int j, final double newValue) {
capVolatilities[i][j] = newValue;
}
public static String getOffsetCodeFromIndex(final String index) {
final String[] split = index.split("(?<=\\D)(?=\\d)");
return split[split.length-1];
}
}