com.opengamma.strata.pricer.bond

Class BlackBondFutureExpiryLogMoneynessVolatilities

java.lang.Object

com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackBondFutureVolatilities, BondFutureVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class BlackBondFutureExpiryLogMoneynessVolatilities
extends Object
implements BlackBondFutureVolatilities, org.joda.beans.ImmutableBean, Serializable

Data provider of volatility for bond future options in the log-normal or Black model.

The volatility is represented by a surface on the expiry and log moneyness. The expiry is measured in number of days (not time) according to a day-count convention.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BlackBondFutureExpiryLogMoneynessVolatilities.Builder The bean-builder for BlackBondFutureExpiryLogMoneynessVolatilities.
static class	BlackBondFutureExpiryLogMoneynessVolatilities.Meta The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.

Method Summary

Modifier and Type	Method and Description
static BlackBondFutureExpiryLogMoneynessVolatilities.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
BondFutureVolatilitiesName	getName() Gets the name of these volatilities.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
Surface	getSurface() Gets the Black volatility surface.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static BlackBondFutureExpiryLogMoneynessVolatilities.Meta	meta() The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.
BlackBondFutureExpiryLogMoneynessVolatilities.Meta	metaBean()
static BlackBondFutureExpiryLogMoneynessVolatilities	of(ZonedDateTime valuationDateTime, InterpolatedNodalSurface surface) Obtains an instance from the implied volatility surface and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
BlackBondFutureExpiryLogMoneynessVolatilities.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(double expiry, LocalDate fixingDate, double strikePrice, double futurePrice) Calculates the volatility at the specified expiry.
BlackBondFutureExpiryLogMoneynessVolatilities	withParameter(int parameterIndex, double newValue)
BlackBondFutureExpiryLogMoneynessVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.pricer.bond.BlackBondFutureVolatilities

getVolatilityType

Methods inherited from interface com.opengamma.strata.pricer.bond.BondFutureVolatilities

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static BlackBondFutureExpiryLogMoneynessVolatilities of(ZonedDateTime valuationDateTime,
                                                               InterpolatedNodalSurface surface)

Obtains an instance from the implied volatility surface and the date-time for which it is valid.

The surface is specified by an instance of Surface, such as InterpolatedNodalSurface. The surface must contain the correct metadata:

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.LOG_MONEYNESS
• The z-value type must be ValueType.BLACK_VOLATILITY
• The day count must be set in the additional information using SurfaceInfoType.DAY_COUNT

Suitable surface metadata can be created using Surfaces.blackVolatilityByExpiryLogMoneyness(String, DayCount).

Parameters:

valuationDateTime - the valuation date-time

surface - the implied volatility surface

Returns:

the volatilities

getName

public BondFutureVolatilitiesName getName()

Description copied from interface: BondFutureVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface BondFutureVolatilities

Returns:

the name

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public BlackBondFutureExpiryLogMoneynessVolatilities withParameter(int parameterIndex,
                                                                   double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface BlackBondFutureVolatilities

Specified by:

withParameter in interface BondFutureVolatilities

withPerturbation

public BlackBondFutureExpiryLogMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface BlackBondFutureVolatilities

Specified by:

withPerturbation in interface BondFutureVolatilities

volatility

public double volatility(double expiry,
                         LocalDate fixingDate,
                         double strikePrice,
                         double futurePrice)

Description copied from interface: BondFutureVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by BondFutureVolatilities.relativeTime(ZonedDateTime).

Specified by:

volatility in interface BondFutureVolatilities

Parameters:

expiry - the time to expiry as a year fraction

fixingDate - the underlying future fixing date

strikePrice - the option strike rate

futurePrice - the forward rate

Returns:

the volatility

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: BondFutureVolatilities

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Specified by:

parameterSensitivity in interface BondFutureVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: BondFutureVolatilities

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Specified by:

relativeTime in interface BondFutureVolatilities

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction

meta

public static BlackBondFutureExpiryLogMoneynessVolatilities.Meta meta()

The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.

Returns:

the meta-bean, not null

builder

public static BlackBondFutureExpiryLogMoneynessVolatilities.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public BlackBondFutureExpiryLogMoneynessVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Specified by:

getValuationDateTime in interface BondFutureVolatilities

Returns:

the value of the property, not null

getSurface

public Surface getSurface()

Gets the Black volatility surface.

The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the log-moneyness.

Returns:

the value of the property, not null

toBuilder

public BlackBondFutureExpiryLogMoneynessVolatilities.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object