org.drip.state.boot

Class VolatilityCurveScenario

java.lang.Object

org.drip.state.boot.VolatilityCurveScenario

public class VolatilityCurveScenario
extends java.lang.Object

VolatilityCurveScenario uses the Volatility calibration instruments along with the component calibrator to produce scenario Volatility curves.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
VolatilityCurveScenario()

Method Summary

Modifier and Type	Method and Description
static VolatilityCurve	Standard(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Volatility Curve
static VolatilityCurve[]	Tenor(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped Volatility curves
CaseInsensitiveTreeMap<VolatilityCurve>	TenorMap(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped Volatility curves

Methods inherited from class java.lang.Object

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

Constructor Detail

VolatilityCurveScenario

public VolatilityCurveScenario()

Method Detail

Standard

public static final VolatilityCurve Standard(java.lang.String strName,
                                             ValuationParams valParams,
                                             LatentStateLabel lslUnderlying,
                                             FRAStandardCapFloor[] aFRACapFloor,
                                             double[] adblCalibQuote,
                                             java.lang.String[] astrCalibMeasure,
                                             boolean bFlat,
                                             MergedDiscountForwardCurve dc,
                                             ForwardCurve fc,
                                             LatentStateFixingsContainer lsfc,
                                             ValuationCustomizationParams vcp)

Calibrate a Volatility Curve

Parameters:

strName - Volatility Curve name

valParams - ValuationParams

lslUnderlying - Underlying Latent State Label

aFRACapFloor - Array of the FRA Cap Floor Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

bFlat - Flat Calibration (True), or real bootstrapping (false)

dc - Discount Curve

fc - Forward Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

VolatilityCurve Instance

Tenor

public static final VolatilityCurve[] Tenor(java.lang.String strName,
                                            ValuationParams valParams,
                                            LatentStateLabel lslUnderlying,
                                            FRAStandardCapFloor[] aFRACapFloor,
                                            double[] adblCalibQuote,
                                            java.lang.String[] astrCalibMeasure,
                                            boolean bFlat,
                                            double dblBump,
                                            MergedDiscountForwardCurve dc,
                                            ForwardCurve fc,
                                            LatentStateFixingsContainer lsfc,
                                            ValuationCustomizationParams vcp)

Create an array of tenor bumped Volatility curves

Parameters:

strName - Volatility Curve Name

valParams - ValuationParams

lslUnderlying - Underlying Latent State Label

aFRACapFloor - Array of the FRA Cap Floor Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

bFlat - Flat Calibration (True), or real bootstrapping (false)

dblBump - Amount of bump applied to the tenor

dc - Base Discount Curve

fc - Forward Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Array of Volatility Curves

TenorMap

public CaseInsensitiveTreeMap<VolatilityCurve> TenorMap(java.lang.String strName,
                                                        ValuationParams valParams,
                                                        LatentStateLabel lslUnderlying,
                                                        FRAStandardCapFloor[] aFRACapFloor,
                                                        double[] adblCalibQuote,
                                                        java.lang.String[] astrCalibMeasure,
                                                        boolean bFlat,
                                                        double dblBump,
                                                        MergedDiscountForwardCurve dc,
                                                        ForwardCurve fc,
                                                        LatentStateFixingsContainer lsfc,
                                                        ValuationCustomizationParams vcp)

Create an tenor named map of tenor bumped Volatility curves

Parameters:

strName - Volatility Curve name

valParams - ValuationParams

lslUnderlying - Underlying Latent State Label

aFRACapFloor - Array of the FRA Cap Floor Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

bFlat - Flat Calibration (True), or real bootstrapping (false)

dblBump - Amount of bump applied to the tenor

dc - Base Discount Curve

fc - Forward Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Tenor named map of tenor bumped Volatility curves