com.opengamma.strata.pricer.bond

Interface BondYieldVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

NormalBondYieldExpiryDurationVolatilities

public interface BondYieldVolatilities
extends MarketDataView, ParameterizedData

Volatilities for bond options.

The volatilities are stored as bond yield equivalent volatilities but are converted to bond price volatilities through the formula "price volatility = duration * yield * yield volatility".

Method Summary

Modifier and Type	Method and Description
Currency	getCurrency() Gets the currency for which the data is valid.
BondVolatilitiesName	getName() Gets the name of these volatilities.
default LocalDate	getValuationDate() Gets the valuation date.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
ValueType	getVolatilityType() Gets the type of volatility returned by the volatility(double, double, double, double) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... pointSensitivities) Calculates the parameter sensitivity.
default double	priceVolatilityEquivalent(double duration, double yieldVolatility) Calculates the price volatility equivalent to the yield volatility.
default double	priceVolatilityEquivalent(double expiry, double duration, double strike, double forward) Calculates the price volatility equivalent to the yield volatility.
default double	priceVolatilityEquivalent(ZonedDateTime expiryDateTime, double duration, double strike, double forward) Calculates the price volatility equivalent to the yield volatility.
default ValueDerivatives	priceVolatilityEquivalentAd(double duration, double yieldVolatility) Calculates the price volatility equivalent to the yield volatility and its derivatives.
default ValueDerivatives	priceVolatilityEquivalentAd(double expiry, double duration, double strike, double forward) Calculates the price volatility equivalent to the yield volatility and its derivatives.
default ValueDerivatives	priceVolatilityEquivalentAd(ZonedDateTime expiryDateTime, double duration, double strike, double forward) Calculates the price volatility equivalent to the yield volatility and its derivatives.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
double	volatility(double expiry, double duration, double strike, double forward) Calculates the volatility at the specified expiry.
default double	volatility(ZonedDateTime expiryDateTime, double duration, double strike, double forward) Calculates the volatility at the specified expiry.
BondYieldVolatilities	withParameter(int parameterIndex, double newValue)
BondYieldVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getCurrency

Currency getCurrency()

Gets the currency for which the data is valid.

Returns:

the currency

getName

BondVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getVolatilityType

ValueType getVolatilityType()

Gets the type of volatility returned by the volatility(double, double, double, double) method.

Returns:

the type

getValuationDateTime

ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Returns:

the valuation date-time

getValuationDate

default LocalDate getValuationDate()

Gets the valuation date.

The volatilities are calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

withParameter

BondYieldVolatilities withParameter(int parameterIndex,
                                    double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

BondYieldVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

volatility

double volatility(double expiry,
                  double duration,
                  double strike,
                  double forward)

Calculates the volatility at the specified expiry.

This relies on expiry supplied by relativeTime(ZonedDateTime).

Parameters:

expiry - the time to expiry as a year fraction

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

volatility

default double volatility(ZonedDateTime expiryDateTime,
                          double duration,
                          double strike,
                          double forward)

Calculates the volatility at the specified expiry.

Parameters:

expiryDateTime - the option expiry

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

priceVolatilityEquivalent

default double priceVolatilityEquivalent(double expiry,
                                         double duration,
                                         double strike,
                                         double forward)

Calculates the price volatility equivalent to the yield volatility.

Parameters:

expiry - the time to expiry as a year fraction

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the price volatility

priceVolatilityEquivalentAd

default ValueDerivatives priceVolatilityEquivalentAd(double expiry,
                                                     double duration,
                                                     double strike,
                                                     double forward)

Calculates the price volatility equivalent to the yield volatility and its derivatives.

The derivatives are in the following order:

• [0] derivative with respect to the duration
• [1] derivative with respect to the yieldVolatility

Parameters:

expiry - the time to expiry as a year fraction

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the price volatility

priceVolatilityEquivalent

default double priceVolatilityEquivalent(ZonedDateTime expiryDateTime,
                                         double duration,
                                         double strike,
                                         double forward)

Calculates the price volatility equivalent to the yield volatility.

Parameters:

expiryDateTime - the option expiry

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the price volatility

priceVolatilityEquivalentAd

default ValueDerivatives priceVolatilityEquivalentAd(ZonedDateTime expiryDateTime,
                                                     double duration,
                                                     double strike,
                                                     double forward)

Calculates the price volatility equivalent to the yield volatility and its derivatives.

The derivatives are in the following order:

• [0] derivative with respect to the duration
• [1] derivative with respect to the yieldVolatility

Parameters:

expiryDateTime - the option expiry

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forward - the forward yield of the underlying bond

Returns:

the price volatility

priceVolatilityEquivalent

default double priceVolatilityEquivalent(double duration,
                                         double yieldVolatility)

Calculates the price volatility equivalent to the yield volatility.

Parameters:

duration - the modified duration

yieldVolatility - the yield volatility

Returns:

the price volatility

priceVolatilityEquivalentAd

default ValueDerivatives priceVolatilityEquivalentAd(double duration,
                                                     double yieldVolatility)

Calculates the price volatility equivalent to the yield volatility and its derivatives.

The derivatives are in the following order:

• [0] derivative with respect to the duration
• [1] derivative with respect to the yieldVolatility

Parameters:

duration - the modified duration

yieldVolatility - the yield volatility

Returns:

the price volatility

parameterSensitivity

default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

double relativeTime(ZonedDateTime dateTime)

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.

Parameters:

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

Returns:

the relative year fraction