Package org.drip.state.creator

Class ScenarioLocalVolatilityBuilder

java.lang.Object

org.drip.state.creator.ScenarioLocalVolatilityBuilder

public class ScenarioLocalVolatilityBuilder
extends java.lang.Object

ScenarioLocalVolatilityBuilder implements the construction of the Local Volatility surface using the input option instruments, their Call Prices, and a wide variety of custom build schemes. It implements the following Functions:

• Create a Volatility Curve from the Calibration Instruments
• Build an Instance of the Volatility Surface using custom wire span and surface splines
• Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Scenario State Curve/Surface Builders

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ScenarioLocalVolatilityBuilder()

Method Summary

Modifier and Type	Method	Description
static MarketSurface	CubicPolynomialWireSurface(java.lang.String name, JulianDate startDate, java.lang.String currency, double riskFreeRate, double[] strikeArray, java.lang.String[] tenorArray, double[][] nodeGrid)	Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline.
static MarketSurface	CustomSplineWireSurface(java.lang.String name, JulianDate startDate, java.lang.String currency, double riskFreeRate, double[] strikeArray, double[] maturityArray, double[][] callPriceGrid, SegmentCustomBuilderControl wireSpanSegmentCustomBuilderControl, SegmentCustomBuilderControl surfaceSegmentCustomBuilderControl)	Build an Instance of the Volatility Surface using custom wire span and surface splines
static VolatilityCurve	NonlinearBuild(java.lang.String name, JulianDate spotDate, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer)	Create a Volatility Curve from the Calibration Instruments

Methods inherited from class java.lang.Object

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

Constructor Details

ScenarioLocalVolatilityBuilder

public ScenarioLocalVolatilityBuilder()

Method Details

NonlinearBuild

public static final VolatilityCurve NonlinearBuild(java.lang.String name,
JulianDate spotDate,
LatentStateLabel underlyingLatentStateLabel,
FRAStandardCapFloor[] fraStandardCapFloorArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
MergedDiscountForwardCurve discountCurve,
ForwardCurve forwardCurve,
LatentStateFixingsContainer latentStateFixingsContainer)

Create a Volatility Curve from the Calibration Instruments

Parameters:

name - Volatility Curve name

spotDate - Spot Date

underlyingLatentStateLabel - Underlying Latent State Label

fraStandardCapFloorArray - Array of the FRA Cap Floor Instruments

calibrationQuoteArray - Input Calibration Quotes

calibrationMeasureArray - Input Calibration Measures

discountCurve - Base Discount Curve

forwardCurve - Forward Curve

latentStateFixingsContainer - Latent State Fixings Container

Returns:

The Calibrated Volatility Curve

CustomSplineWireSurface

public static final MarketSurface CustomSplineWireSurface(java.lang.String name,
JulianDate startDate,
java.lang.String currency,
double riskFreeRate,
double[] strikeArray,
double[] maturityArray,
double[][] callPriceGrid,
SegmentCustomBuilderControl wireSpanSegmentCustomBuilderControl,
SegmentCustomBuilderControl surfaceSegmentCustomBuilderControl)

Build an Instance of the Volatility Surface using custom wire span and surface splines

Parameters:

name - Name of the Volatility Surface

startDate - Start/Epoch Julian Date

currency - Currency

riskFreeRate - Risk Free Discounting Rate

strikeArray - Array of Strikes

maturityArray - Array of Maturities

callPriceGrid - Double Array of the Call Prices

wireSpanSegmentCustomBuilderControl - The Wire Span Segment Customizer

surfaceSegmentCustomBuilderControl - The Surface Segment Customizer

Returns:

Instance of the Market Node Surface

CubicPolynomialWireSurface

public static final MarketSurface CubicPolynomialWireSurface(java.lang.String name,
JulianDate startDate,
java.lang.String currency,
double riskFreeRate,
double[] strikeArray,
java.lang.String[] tenorArray,
double[][] nodeGrid)

Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline.

Parameters:

name - Name of the Volatility Surface

startDate - Start/Epoch Julian Date

currency - Currency

riskFreeRate - Risk Free Discounting Rate

strikeArray - Array of Strikes

tenorArray - Array of Maturity Tenors

nodeGrid - Double Array of the Surface Nodes

Returns:

Instance of the Market Node Surface