net.finmath.montecarlo.interestrate.products

Class SwaptionATM

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwaptionATM

All Implemented Interfaces:

ProductInterface

public class SwaptionATM
extends AbstractLIBORMonteCarloProduct

A lightweight ATM swaption product used for calibration.

Author:

Stefan Sedlmair, Christian Fries

Constructor Summary

Constructors

Constructor and Description
SwaptionATM(double[] swapTenor, SwaptionSimple.ValueUnit valueUnit)

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	getImpliedBachelierATMOptionVolatility(RandomVariableInterface optionValue, double optionMaturity, double swapAnnuity) Calculates ATM Bachelier implied volatilities.
RandomVariableInterface	getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

SwaptionATM

public SwaptionATM(double[] swapTenor,
                   SwaptionSimple.ValueUnit valueUnit)

Method Detail

getValue

public RandomVariableInterface getValue(double evaluationTime,
                                        LIBORModelMonteCarloSimulationInterface model)
                                 throws CalculationException

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

Throws:

CalculationException

getImpliedBachelierATMOptionVolatility

public RandomVariableInterface getImpliedBachelierATMOptionVolatility(RandomVariableInterface optionValue,
                                                                      double optionMaturity,
                                                                      double swapAnnuity)

Calculates ATM Bachelier implied volatilities.

Parameters:

optionValue - RandomVarable representing the value of the option

optionMaturity - Time to maturity.

swapAnnuity - The swap annuity as seen on valuation time.

Returns:

The Bachelier implied volatility.

See Also:

AnalyticFormulas.bachelierOptionImpliedVolatility(double, double, double, double, double)