Package 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. It exposes the following functions:

• Calibrate a Volatility Curve
• Create an array of tenor bumped Volatility curves
• Create an tenor named map of tenor bumped Volatility curves

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Bootable Discount, Credit, Volatility States

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
VolatilityCurveScenario()

Method Summary

Modifier and Type	Method	Description
static VolatilityCurve	Standard(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a Volatility Curve
static VolatilityCurve[]	Tenor(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an array of tenor bumped Volatility curves
CaseInsensitiveTreeMap<VolatilityCurve>	TenorMap(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	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 Details

VolatilityCurveScenario

public VolatilityCurveScenario()

Method Details

Standard

public static final VolatilityCurve Standard(java.lang.String name,
ValuationParams valuationParams,
LatentStateLabel underlyingLatentStateLabel,
FRAStandardCapFloor[] fraStandardCapFloorArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
boolean flat,
MergedDiscountForwardCurve discountCurve,
ForwardCurve forwardCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Calibrate a Volatility Curve

Parameters:

name - Volatility Curve name

valuationParams - ValuationParams

underlyingLatentStateLabel - Underlying Latent State Label

fraStandardCapFloorArray - Array of the FRA Cap Floor Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

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

discountCurve - Discount Curve

forwardCurve - Forward Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

VolatilityCurve Instance

Tenor

public static final VolatilityCurve[] Tenor(java.lang.String name,
ValuationParams valuationParams,
LatentStateLabel underlyingLatentStateLabel,
FRAStandardCapFloor[] fraStandardCapFloorArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
boolean flat,
double bump,
MergedDiscountForwardCurve discountCurve,
ForwardCurve forwardCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Create an array of tenor bumped Volatility curves

Parameters:

name - Volatility Curve Name

valuationParams - ValuationParams

underlyingLatentStateLabel - Underlying Latent State Label

fraStandardCapFloorArray - Array of the FRA Cap Floor Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

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

bump - Amount of bump applied to the tenor

discountCurve - Base Discount Curve

forwardCurve - Forward Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Array of Volatility Curves

TenorMap

public CaseInsensitiveTreeMap<VolatilityCurve> TenorMap(java.lang.String name,
ValuationParams valuationParams,
LatentStateLabel underlyingLatentStateLabel,
FRAStandardCapFloor[] fraStandardCapFloorArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
boolean flat,
double bump,
MergedDiscountForwardCurve discountCurve,
ForwardCurve forwardCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Create an tenor named map of tenor bumped Volatility curves

Parameters:

name - Volatility Curve name

valuationParams - ValuationParams

underlyingLatentStateLabel - Underlying Latent State Label

fraStandardCapFloorArray - Array of the FRA Cap Floor Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

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

bump - Amount of bump applied to the tenor

discountCurve - Base Discount Curve

forwardCurve - Forward Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Tenor named map of tenor bumped Volatility curves