com.opengamma.strata.pricer.capfloor

Class DirectIborCapletFloorletVolatilityCalibrator

java.lang.Object

com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityCalibrator

public class DirectIborCapletFloorletVolatilityCalibrator
extends Object

Caplet volatilities calibration to cap volatilities.

The volatilities of the constituent caplets in the market caps are "model parameters" and calibrated to the market data under the penalty constraint. The penalty is based on the second-order finite difference differentiation along the strike and expiry dimensions.

If the shift curve is not present in DirectIborCapletFloorletVolatilityDefinition, the resultant volatility type is the same as the input volatility type. e.g., Black caplet volatilities are returned if Black cap volatilities are plugged in, and normal caplet volatilities are returned otherwise. On the other hand, if the shift curve is present in DirectIborCapletFloorletVolatilityDefinition, Black caplet volatilities are returned for any input volatility type.

The calibration is conducted once the cap volatilities are converted to cap prices. Thus the error values in RawOptionData are applied in the price space rather than the volatility space.

Method Summary

Modifier and Type	Method and 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 DirectIborCapletFloorletVolatilityCalibrator	of(VolatilityIborCapFloorLegPricer pricer, double epsilon, ReferenceData referenceData) Obtains 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)
static DirectIborCapletFloorletVolatilityCalibrator	standard() Obtains the standard instance.
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

Method Detail

standard

public static DirectIborCapletFloorletVolatilityCalibrator standard()

Obtains the standard instance.

Returns:

the instance

of

public static DirectIborCapletFloorletVolatilityCalibrator of(VolatilityIborCapFloorLegPricer pricer,
                                                              double epsilon,
                                                              ReferenceData referenceData)

Obtains an instance.

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

Parameters:

pricer - the cap 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)