Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletVolatilityBootstrapper

java.lang.Object

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapper

public class SabrIborCapletFloorletVolatilityBootstrapper
extends Object

Caplet volatilities calibration to cap volatilities based on SABR model.

The SABR model parameters are computed by bootstrapping along the expiry time dimension. The result is a complete set of curves for the SABR parameters spanned by the expiry time. The position of the node points on the resultant curves corresponds to market cap expiries, and are interpolated by a local interpolation scheme. See SabrIborCapletFloorletVolatilityBootstrapDefinition for detail.

The calibration to SABR is computed once the option volatility date is converted to prices. Thus we should note that the error values in RawOptionData are applied in the price space rather than the volatility space.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrIborCapletFloorletVolatilityBootstrapper	DEFAULT	Default implementation.

Method Summary

Modifier and Type	Method	Description
IborCapletFloorletVolatilityCalibrationResult	calibrate(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData, RatesProvider ratesProvider)	Calibrates caplet volatilities to cap volatilities.
protected VolatilityIborCapFloorLegPricer	getLegPricer()	Gets the leg pricer.
protected ReferenceData	getReferenceData()	Gets the reference data.
static SabrIborCapletFloorletVolatilityBootstrapper	of(VolatilityIborCapFloorLegPricer pricer, SabrIborCapletFloorletPeriodPricer sabrPeriodPricer, double epsilon, ReferenceData referenceData)	Creates an instance.
protected void	reduceRawData(IborCapletFloorletVolatilityDefinition definition, RatesProvider ratesProvider, DoubleArray strikes, DoubleArray volatilityData, DoubleArray errors, LocalDate startDate, LocalDate endDate, SurfaceMetadata metadata, Function<Surface,IborCapletFloorletVolatilities> volatilityFunction, List<Double> timeList, List<Double> strikeList, List<Double> volList, List<ResolvedIborCapFloorLeg> capList, List<Double> priceList, List<Double> errorList)
protected Function<Surface,IborCapletFloorletVolatilities>	volatilitiesFunction(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData)

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrIborCapletFloorletVolatilityBootstrapper DEFAULT

Default implementation.

Method Detail

of

public static SabrIborCapletFloorletVolatilityBootstrapper of(VolatilityIborCapFloorLegPricer pricer,
                                                              SabrIborCapletFloorletPeriodPricer sabrPeriodPricer,
                                                              double epsilon,
                                                              ReferenceData referenceData)

Creates an instance.

The epsilon is the parameter used in NonLinearLeastSquare, where the iteration stops when certain quantities are smaller than this parameter.

Parameters:

pricer - the cap/floor pricer to convert quoted volatilities to prices

sabrPeriodPricer - the SABR pricer

epsilon - the epsilon parameter

referenceData - the reference data

Returns:

the instance

calibrate

public IborCapletFloorletVolatilityCalibrationResult calibrate(IborCapletFloorletVolatilityDefinition definition,
                                                               ZonedDateTime calibrationDateTime,
                                                               RawOptionData capFloorData,
                                                               RatesProvider ratesProvider)

Calibrates caplet volatilities to cap volatilities.

Parameters:

definition - the caplet volatility definition

calibrationDateTime - the calibration time

capFloorData - the cap data

ratesProvider - the rates provider

Returns:

the calibration result

getReferenceData

protected ReferenceData getReferenceData()

Gets the reference data.

Returns:

the reference data

getLegPricer

protected VolatilityIborCapFloorLegPricer getLegPricer()

Gets the leg pricer.

Returns:

the leg pricer

reduceRawData

protected void reduceRawData(IborCapletFloorletVolatilityDefinition definition,
                             RatesProvider ratesProvider,
                             DoubleArray strikes,
                             DoubleArray volatilityData,
                             DoubleArray errors,
                             LocalDate startDate,
                             LocalDate endDate,
                             SurfaceMetadata metadata,
                             Function<Surface,IborCapletFloorletVolatilities> volatilityFunction,
                             List<Double> timeList,
                             List<Double> strikeList,
                             List<Double> volList,
                             List<ResolvedIborCapFloorLeg> capList,
                             List<Double> priceList,
                             List<Double> errorList)

volatilitiesFunction

protected Function<Surface,IborCapletFloorletVolatilities> volatilitiesFunction(IborCapletFloorletVolatilityDefinition definition,
                                                                                      ZonedDateTime calibrationDateTime,
                                                                                      RawOptionData capFloorData)