Package com.opengamma.strata.pricer.swaption

Class SabrSwaptionCalibrator

java.lang.Object

com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator

public final class SabrSwaptionCalibrator
extends Object

Swaption SABR calibrator.

This calibrator takes raw data and produces calibrated SABR parameters.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrSwaptionCalibrator	DEFAULT	The default instance of the class.

Method Summary

Modifier and Type	Method	Description
Pair<DoubleArray,DoubleArray>	blackVolatilitiesShiftedFromBlackVolatilitiesShifted(double forward, double shiftOutput, double timeToExpiry, DoubleArray strikes, DoubleArray blackVolatilities, double shiftInput)	Creates an array of shifted Black volatilities from shifted Black volatilities with a different shift and the sensitivities of the Black volatilities outputs with respect to the normal volatilities inputs.
Pair<DoubleArray,DoubleArray>	blackVolatilitiesShiftedFromNormalVolatilities(double forward, double shiftOutput, double timeToExpiry, DoubleArray strikes, DoubleArray normalVolatilities)	Creates an array of shifted Black volatilities from Normal volatilities and the sensitivities of the Black volatilities with respect to the normal volatilities inputs.
Pair<DoubleArray,DoubleArray>	blackVolatilitiesShiftedFromPrices(double forward, double shiftOutput, double timeToExpiry, DoubleArray strikes, DoubleArray prices)	Creates an array of shifted Black volatilities from option prices and the sensitivities of the Black volatilities with respect to the price inputs.
SabrParametersSwaptionVolatilities	calibrateAlphaWithAtm(SwaptionVolatilitiesName name, SabrParametersSwaptionVolatilities sabr, RatesProvider ratesProvider, SwaptionVolatilities atmVolatilities, List<Tenor> tenors, List<Period> expiries, SurfaceInterpolator interpolator)	Calibrate SABR alpha parameters to a set of ATM swaption volatilities.
Pair<Double,Double>	calibrateAtmShiftedFromBlackVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, double blackVolatility, double shiftInput, DoubleArray startParameters, double shiftOutput)	Calibrate the SABR alpha parameter to an ATM Black volatility and compute the derivative of the result with respect to the input volatility.
Pair<Double,Double>	calibrateAtmShiftedFromNormalVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, double normalVolatility, DoubleArray startParameters, double shiftOutput)	Calibrate the SABR alpha parameter to an ATM normal volatility and compute the derivative of the result with respect to the input volatility.
Pair<LeastSquareResultsWithTransform,DoubleArray>	calibrateLsShiftedFromBlackVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray blackVolatilitiesInput, double shiftInput, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of Black volatilities at given moneyness by least square.
Pair<LeastSquareResultsWithTransform,DoubleArray>	calibrateLsShiftedFromNormalVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray normalVolatilities, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of normal volatilities at given moneyness.
Pair<LeastSquareResultsWithTransform,DoubleArray>	calibrateLsShiftedFromPrices(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray prices, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of option prices at given moneyness.
SabrParametersSwaptionVolatilities	calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition, ZonedDateTime calibrationDateTime, TenorRawOptionData data, RatesProvider ratesProvider, Surface betaSurface, Surface shiftSurface)	Calibrate SABR parameters to a set of raw swaption data.
SabrParametersSwaptionVolatilities	calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition, ZonedDateTime calibrationDateTime, TenorRawOptionData data, RatesProvider ratesProvider, Surface betaSurface, Surface shiftSurface, boolean stopOnMathException)	Calibrate SABR parameters to a set of raw swaption data.
static SabrSwaptionCalibrator	of(SabrVolatilityFormula sabrVolatilityFormula, DiscountingSwapProductPricer swapPricer)	Obtains an instance from a SABR volatility function provider and a swap pricer.
static SabrSwaptionCalibrator	of(SabrVolatilityFormula sabrVolatilityFormula, DiscountingSwapProductPricer swapPricer, ReferenceData refData)	Obtains an instance from a SABR volatility function provider and a swap pricer.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrSwaptionCalibrator DEFAULT

The default instance of the class.

Method Detail

of

public static SabrSwaptionCalibrator of(SabrVolatilityFormula sabrVolatilityFormula,
                                        DiscountingSwapProductPricer swapPricer)

Obtains an instance from a SABR volatility function provider and a swap pricer.

The swap pricer is used to compute the forward rate required for calibration.

Parameters:

sabrVolatilityFormula - the SABR implied volatility formula

swapPricer - the swap pricer

Returns:

the calibrator

of

public static SabrSwaptionCalibrator of(SabrVolatilityFormula sabrVolatilityFormula,
                                        DiscountingSwapProductPricer swapPricer,
                                        ReferenceData refData)

Obtains an instance from a SABR volatility function provider and a swap pricer.

The swap pricer is used to compute the forward rate required for calibration.

Parameters:

sabrVolatilityFormula - the SABR implied volatility formula

swapPricer - the swap pricer

refData - the reference data

Returns:

the calibrator

calibrateWithFixedBetaAndShift

public SabrParametersSwaptionVolatilities calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition,
                                                                         ZonedDateTime calibrationDateTime,
                                                                         TenorRawOptionData data,
                                                                         RatesProvider ratesProvider,
                                                                         Surface betaSurface,
                                                                         Surface shiftSurface)

Calibrate SABR parameters to a set of raw swaption data.

The SABR parameters are calibrated with fixed beta and fixed shift surfaces. The raw data can be (shifted) log-normal volatilities, normal volatilities or option prices

Parameters:

definition - the definition of the calibration to be performed

calibrationDateTime - the data and time of the calibration

data - the map of raw option data, keyed by tenor

ratesProvider - the rate provider used to compute the swap forward rates

betaSurface - the beta surface

shiftSurface - the shift surface

Returns:

the SABR volatility object

calibrateWithFixedBetaAndShift

public SabrParametersSwaptionVolatilities calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition,
                                                                         ZonedDateTime calibrationDateTime,
                                                                         TenorRawOptionData data,
                                                                         RatesProvider ratesProvider,
                                                                         Surface betaSurface,
                                                                         Surface shiftSurface,
                                                                         boolean stopOnMathException)

Calibrate SABR parameters to a set of raw swaption data.

The SABR parameters are calibrated with fixed beta and fixed shift surfaces. The raw data can be (shifted) log-normal volatilities, normal volatilities or option prices

This method offers the flexibility to skip the data sets that throw a MathException (stopOnMathException = false). The option to skip those data sets should be use with care, as part of the input data may be unused in the output.

Parameters:

definition - the definition of the calibration to be performed

calibrationDateTime - the data and time of the calibration

data - the map of raw option data, keyed by tenor

ratesProvider - the rate provider used to compute the swap forward rates

betaSurface - the beta surface

shiftSurface - the shift surface

stopOnMathException - flag indicating if the calibration should stop on math exceptions or skip the expiries/tenors which throw MathException

Returns:

the SABR volatility object

calibrateAlphaWithAtm

public SabrParametersSwaptionVolatilities calibrateAlphaWithAtm(SwaptionVolatilitiesName name,
                                                                SabrParametersSwaptionVolatilities sabr,
                                                                RatesProvider ratesProvider,
                                                                SwaptionVolatilities atmVolatilities,
                                                                List<Tenor> tenors,
                                                                List<Period> expiries,
                                                                SurfaceInterpolator interpolator)

Calibrate SABR alpha parameters to a set of ATM swaption volatilities.

The SABR parameters are calibrated with all the parameters other than alpha (beta, rhu, nu, shift) fixed. The at-the-money volatilities can be log-normal or normal volatilities.

Parameters:

name - the name

sabr - the SABR parameters from which the beta, rho, nu and shift are extracted

ratesProvider - the rate provider used to compute the swap forward rates

atmVolatilities - the swaption volatilities containing the ATM volatilities to be calibrated

tenors - the tenors for which the alpha parameter should be calibrated

expiries - the expiries for which the alpha parameter should be calibrated

interpolator - the interpolator for the alpha surface

Returns:

the SABR volatility object

calibrateLsShiftedFromBlackVolatilities

public Pair<LeastSquareResultsWithTransform,DoubleArray> calibrateLsShiftedFromBlackVolatilities(BusinessDayAdjustment bda,
                                                                                                       ZonedDateTime calibrationDateTime,
                                                                                                       DayCount dayCount,
                                                                                                       Period periodToExpiry,
                                                                                                       double forward,
                                                                                                       DoubleArray strikesLike,
                                                                                                       ValueType strikeType,
                                                                                                       DoubleArray blackVolatilitiesInput,
                                                                                                       double shiftInput,
                                                                                                       DoubleArray startParameters,
                                                                                                       BitSet fixedParameters,
                                                                                                       double shiftOutput)

Calibrate the SABR parameters to a set of Black volatilities at given moneyness by least square.

All the associated swaptions have the same expiration date, given by a period from calibration time, and the same tenor.

Parameters:

bda - the business day adjustment for the exercise date adjustment

calibrationDateTime - the calibration date and time

dayCount - the day count for the computation of the time to exercise

periodToExpiry - the period to expiry

forward - the forward price/rate

strikesLike - the options strike-like dimension

strikeType - the strike type

blackVolatilitiesInput - the option (call/payer) implied volatilities in shifted Black model

shiftInput - the shift used to computed the input implied shifted Black volatilities

startParameters - the starting parameters for the calibration. If one or more of the parameters are fixed, the starting value will be used as the fixed parameter.

fixedParameters - the flag for the fixed parameters that are not calibrated

shiftOutput - the shift to calibrate the shifted SABR

Returns:

the least square results and the derivative of the shifted log-normal used for calibration with respect to the raw data

calibrateAtmShiftedFromBlackVolatilities

public Pair<Double,Double> calibrateAtmShiftedFromBlackVolatilities(BusinessDayAdjustment bda,
                                                                          ZonedDateTime calibrationDateTime,
                                                                          DayCount dayCount,
                                                                          Period periodToExpiry,
                                                                          double forward,
                                                                          double blackVolatility,
                                                                          double shiftInput,
                                                                          DoubleArray startParameters,
                                                                          double shiftOutput)

Calibrate the SABR alpha parameter to an ATM Black volatility and compute the derivative of the result with respect to the input volatility.

Parameters:

bda - the business day adjustment for the exercise date adjustment

calibrationDateTime - the calibration date and time

dayCount - the day count for the computation of the time to exercise

periodToExpiry - the period to expiry

forward - the forward price/rate

blackVolatility - the option (call/payer) Black implied volatility

shiftInput - the shift used to computed the input implied shifted Black volatilities

startParameters - the starting parameters for the calibration. The alpha parameter is used as a starting point for the root-finding, the other parameters are fixed.

shiftOutput - the shift to calibrate the shifted SABR

Returns:

the alpha calibrated and its derivative with respect to the volatility

blackVolatilitiesShiftedFromBlackVolatilitiesShifted

public Pair<DoubleArray,DoubleArray> blackVolatilitiesShiftedFromBlackVolatilitiesShifted(double forward,
                                                                                                double shiftOutput,
                                                                                                double timeToExpiry,
                                                                                                DoubleArray strikes,
                                                                                                DoubleArray blackVolatilities,
                                                                                                double shiftInput)

Creates an array of shifted Black volatilities from shifted Black volatilities with a different shift and the sensitivities of the Black volatilities outputs with respect to the normal volatilities inputs.

Parameters:

forward - the forward rate

shiftOutput - the shift required in the output

timeToExpiry - the time to expiration

strikes - the option strikes

blackVolatilities - the shifted implied Black volatilities

shiftInput - the shift used in the input Black implied volatilities

Returns:

the shifted black volatilities and their derivatives

calibrateLsShiftedFromPrices

public Pair<LeastSquareResultsWithTransform,DoubleArray> calibrateLsShiftedFromPrices(BusinessDayAdjustment bda,
                                                                                            ZonedDateTime calibrationDateTime,
                                                                                            DayCount dayCount,
                                                                                            Period periodToExpiry,
                                                                                            double forward,
                                                                                            DoubleArray strikesLike,
                                                                                            ValueType strikeType,
                                                                                            DoubleArray prices,
                                                                                            DoubleArray startParameters,
                                                                                            BitSet fixedParameters,
                                                                                            double shiftOutput)

Calibrate the SABR parameters to a set of option prices at given moneyness.

All the associated swaptions have the same expiration date, given by a period from calibration time, and the same tenor.

Parameters:

bda - the business day adjustment for the exercise date adjustment

calibrationDateTime - the calibration date and time

dayCount - the day count for the computation of the time to exercise

periodToExpiry - the period to expiry

forward - the forward price/rate

strikesLike - the options strike-like dimension

strikeType - the strike type

prices - the option (call/payer) prices

startParameters - the starting parameters for the calibration. If one or more of the parameters are fixed, the starting value will be used as the fixed parameter.

fixedParameters - the flag for the fixed parameters that are not calibrated

shiftOutput - the shift to calibrate the shifted SABR

Returns:

SABR parameters

blackVolatilitiesShiftedFromPrices

public Pair<DoubleArray,DoubleArray> blackVolatilitiesShiftedFromPrices(double forward,
                                                                              double shiftOutput,
                                                                              double timeToExpiry,
                                                                              DoubleArray strikes,
                                                                              DoubleArray prices)

Creates an array of shifted Black volatilities from option prices and the sensitivities of the Black volatilities with respect to the price inputs.

Parameters:

forward - the forward rate

shiftOutput - the shift required in the output

timeToExpiry - the time to expiration

strikes - the option strikes

prices - the option prices

Returns:

the shifted black volatilities and their derivatives

calibrateLsShiftedFromNormalVolatilities

public Pair<LeastSquareResultsWithTransform,DoubleArray> calibrateLsShiftedFromNormalVolatilities(BusinessDayAdjustment bda,
                                                                                                        ZonedDateTime calibrationDateTime,
                                                                                                        DayCount dayCount,
                                                                                                        Period periodToExpiry,
                                                                                                        double forward,
                                                                                                        DoubleArray strikesLike,
                                                                                                        ValueType strikeType,
                                                                                                        DoubleArray normalVolatilities,
                                                                                                        DoubleArray startParameters,
                                                                                                        BitSet fixedParameters,
                                                                                                        double shiftOutput)

Calibrate the SABR parameters to a set of normal volatilities at given moneyness.

All the associated swaptions have the same expiration date, given by a period from calibration time, and the same tenor.

Parameters:

bda - the business day adjustment for the exercise date adjustment

calibrationDateTime - the calibration date and time

dayCount - the day count for the computation of the time to exercise

periodToExpiry - the period to expiry

forward - the forward price/rate

strikesLike - the options strike-like dimension

strikeType - the strike type

normalVolatilities - the option (call/payer) normal model implied volatilities

startParameters - the starting parameters for the calibration. If one or more of the parameters are fixed, the starting value will be used as the fixed parameter.

fixedParameters - the flag for the fixed parameters that are not calibrated

shiftOutput - the shift to calibrate the shifted SABR

Returns:

the least square results and the derivative of the shifted log-normal used for calibration with respect to the raw data

calibrateAtmShiftedFromNormalVolatilities

public Pair<Double,Double> calibrateAtmShiftedFromNormalVolatilities(BusinessDayAdjustment bda,
                                                                           ZonedDateTime calibrationDateTime,
                                                                           DayCount dayCount,
                                                                           Period periodToExpiry,
                                                                           double forward,
                                                                           double normalVolatility,
                                                                           DoubleArray startParameters,
                                                                           double shiftOutput)

Calibrate the SABR alpha parameter to an ATM normal volatility and compute the derivative of the result with respect to the input volatility.

Parameters:

bda - the business day adjustment for the exercise date adjustment

calibrationDateTime - the calibration date and time

dayCount - the day count for the computation of the time to exercise

periodToExpiry - the period to expiry

forward - the forward price/rate

normalVolatility - the option (call/payer) normal model implied volatility

startParameters - the starting parameters for the calibration. The alpha parameter is used as a starting point for the root-finding, the other parameters are fixed.

shiftOutput - the shift to calibrate the shifted SABR

Returns:

the alpha calibrated and its derivative with respect to the volatility

blackVolatilitiesShiftedFromNormalVolatilities

public Pair<DoubleArray,DoubleArray> blackVolatilitiesShiftedFromNormalVolatilities(double forward,
                                                                                          double shiftOutput,
                                                                                          double timeToExpiry,
                                                                                          DoubleArray strikes,
                                                                                          DoubleArray normalVolatilities)

Creates an array of shifted Black volatilities from Normal volatilities and the sensitivities of the Black volatilities with respect to the normal volatilities inputs.

The transformation between normal and Black volatility is done using BlackFormulaRepository.impliedVolatilityFromNormalApproximated(double, double, double, double).

Parameters:

forward - the forward rate

shiftOutput - the shift required in the output

timeToExpiry - the time to expiration

strikes - the option strikes

normalVolatilities - the normal volatilities

Returns:

the shifted black volatilities and their derivatives