/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
/**
* Sets of market data used in tests.
*/
public class SABRDataSets {
/**
* The linear interpolator/ flat extrapolator. Used for SABR parameters interpolation.
*/
private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_2D = new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
/**
* The standard day count 30/360 used in the data set.
*/
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Expiry is between 0 and 10 years, maturity between 0 and 10 years.
* Beta is 0.5. Alpha 0.05 at 1Y and 0.06 at 10Y. Rho 0.50 at 1Y and 0.30 at 10Y. Nu -0.25 at 1Y and 0.00 at 10Y.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5,
0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1() {
return createSABR1(new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Alpha data is bumped by a given shift with respect to SABR1.
* @param sabrFunction The SABR function.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift,
0.05 + shift, 0.05 + shift, 0.05 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1AlphaBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final double shift) {
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped() {
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Beta data is bumped by a given shift with respect to SABR1.
* @param sabrFunction The SABR function.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1BetaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5 + shift, 0.5 + shift, 0.5 + shift,
0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift,
0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Beta data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1BetaBumped(final double shift) {
return createSABR1BetaBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by the shift with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
-0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1RhoBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final double shift) {
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped() {
final double shift = 0.0001;
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1NuBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final double shift) {
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped() {
final double shift = 0.0001;
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
}
public static SABRInterestRateParameters createSABR1ParameterBumped(final double shift, final int parameterNumber) {
switch (parameterNumber) {
case 0:
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
case 1:
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
case 2:
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
default:
return null;
}
}
/**
* Create a set of SABR parameter surface (linearly interpolated and flat extrapolated) with a given SABR function.
* The expirations and tenors are not on a full grid (short expiries with shorter tenors).
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR2() {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.05,
0.06, 0.07, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.03, 0.04, 0.05, 0.06, 0.04, 0.05, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.5, 0.5,
0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.25,
-0.25, -0.25, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated and flat extrapolated) with a given SABR function.
* The expirations and tenors are not on a full grid (short expiries with shorter tenors).
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR3() {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.03,
0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.026, 0.026, 0.022, 0.020, 0.029, 0.028, 0.027, 0.026, 0.03, 0.031, 0.032}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.25,
0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.15,
-0.15, -0.15, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.00, 0.25, 0.10, 0.40, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.45, 0.25, 0.25, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
}
}