Libor.LiborProcess
Class SyntheticData

java.lang.Object
  Libor.LiborProcess.SyntheticData

public class SyntheticData

extends java.lang.Object

This class has static methods to produce a set of caplet and swaption prices from the analytic pricing formulas in two separate files CapletFile and SwaptionFile in the precise format in which a Calibrator object expects these files for reading in the data.

Caplets with indices divisible by 3 are omitted to test the caplet interpolation routine. Only swaptions where the underlying swap has a period q-p of at least 5 accrual intervals are written. Consequently the dimension n of the underlying Libor process must be at least 5.

The prices are derived from a Libor process based on an EP_FactorLoading and are intended for calibration of a CS_FactorLoading.

Constructor Summary

SyntheticData(java.lang.String capletFile, java.lang.String swaptionFile)

Method Summary

static void	main(java.lang.String[] args) Test program.
void	writeData(int n) Allocates and writes the files of caplet and swaption prices into the current directory.

Methods inherited from class java.lang.Object

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

Constructor Detail

SyntheticData

public SyntheticData(java.lang.String capletFile,
                     java.lang.String swaptionFile)

Parameters:

capletFile - name of file containing caplet data.

swaptionFile - name of file containing swaption data.

Method Detail

writeData

public void writeData(int n)
               throws java.io.IOException

Allocates and writes the files of caplet and swaption prices into the current directory. A Libor process based on an EP_FactorLoading and analytic pricing formula are used. The files are written in the form in which a Calibrator object expects them to read in the data.

All initial Libors are set to L_j(0)=0.04 and at the money caplets and swaptions are written to the files.

Parameters:

n - dimension of the underlying Libor process.

Throws:

java.io.IOException

main

public static void main(java.lang.String[] args)
                 throws java.io.IOException

Test program. Writes a data set in dimension n=15.

Throws:

java.io.IOException