Class DirectIborCapletFloorletVolatilityDefinition

    • Method Detail

      • of

        public static DirectIborCapletFloorletVolatilityDefinition of​(IborCapletFloorletVolatilitiesName name,
                                                                      IborIndex index,
                                                                      DayCount dayCount,
                                                                      double lambdaExpiry,
                                                                      double lambdaStrike,
                                                                      GridSurfaceInterpolator interpolator,
                                                                      Curve shiftCurve)
        Obtains an instance with shift curve.
        name - the name of the volatilities
        index - the Ibor index
        dayCount - the day count to use
        lambdaExpiry - the penalty intensity parameter for time dimension
        lambdaStrike - the penalty intensity parameter for strike dimension
        interpolator - the surface interpolator
        shiftCurve - the shift surface
        the instance
      • computePenaltyMatrix

        public DoubleMatrix computePenaltyMatrix​(DoubleArray strikes,
                                                 DoubleArray expiries)
        Computes penalty matrix.

        The penalty matrix is based on the second order finite difference differentiation in PenaltyMatrixGenerator. The number of node points in each direction must be greater than 2 in order to compute the second order derivative.

        strikes - the strikes
        expiries - the expiries
        the penalty matrix
      • getLambdaExpiry

        public double getLambdaExpiry()
        Gets penalty intensity parameter for expiry dimension.
        the value of the property
      • getLambdaStrike

        public double getLambdaStrike()
        Gets penalty intensity parameter for strike dimension.
        the value of the property
      • getInterpolator

        public GridSurfaceInterpolator getInterpolator()
        Gets the interpolator for the caplet volatilities.
        the value of the property, not null
      • getShiftCurve

        public java.util.Optional<Curve> getShiftCurve()
        Gets the shift parameter of shifted Black model.

        The x value of the curve is the expiry. The market volatilities are calibrated to shifted Black model if this field is not null.

        the optional value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        toString in class java.lang.Object