com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

Enclosing class:

SabrIborCapletFloorletVolatilityCalibrationDefinition

public static final class SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

The bean-builder for SabrIborCapletFloorletVolatilityCalibrationDefinition.

Method Summary

Modifier and Type	Method and Description
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	betaCurve(Curve betaCurve) Sets the beta (elasticity) curve.
SabrIborCapletFloorletVolatilityCalibrationDefinition	build()
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	dayCount(DayCount dayCount) Sets the day count to measure the time in the expiry dimension.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	extrapolatorLeft(CurveExtrapolator extrapolatorLeft) Sets the left extrapolator for the SABR parameters.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	extrapolatorRight(CurveExtrapolator extrapolatorRight) Sets the right extrapolator for the SABR parameters.
Object	get(String propertyName)
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	index(IborIndex index) Sets the Ibor index for which the data is valid.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	initialParameters(DoubleArray initialParameters) Sets the initial parameter values used in calibration.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	interpolator(CurveInterpolator interpolator) Sets the interpolator for the SABR parameters.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	name(IborCapletFloorletVolatilitiesName name) Sets the name of the volatilities.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	parameterCurveNodes(DoubleArray... parameterCurveNodes) Sets the parameterCurveNodes property in the builder from an array of objects.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	parameterCurveNodes(List<DoubleArray> parameterCurveNodes) Sets the nodes of SABR parameter curves.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	rhoCurve(Curve rhoCurve) Sets the rho (correlation) curve.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula) Sets the SABR formula.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	set(String propertyName, Object newValue)
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	shiftCurve(Curve shiftCurve) Sets the shift curve.
String	toString()

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

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

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

set

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder set(String propertyName,
                                                                         Object newValue)

set

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder set(org.joda.beans.MetaProperty<?> property,
                                                                         Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>

build

public SabrIborCapletFloorletVolatilityCalibrationDefinition build()

name

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder name(IborCapletFloorletVolatilitiesName name)

Sets the name of the volatilities.

Parameters:

name - the new value, not null

Returns:

this, for chaining, not null

index

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder index(IborIndex index)

Sets the Ibor index for which the data is valid.

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

dayCount

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder dayCount(DayCount dayCount)

Sets the day count to measure the time in the expiry dimension.

Parameters:

dayCount - the new value, not null

Returns:

this, for chaining, not null

betaCurve

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder betaCurve(Curve betaCurve)

Sets the beta (elasticity) curve.

This represents the beta parameter of SABR model.

The beta will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.

Parameters:

betaCurve - the new value

Returns:

this, for chaining, not null

rhoCurve

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder rhoCurve(Curve rhoCurve)

Sets the rho (correlation) curve.

This represents the rho parameter of SABR model.

The rho will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.

Parameters:

rhoCurve - the new value

Returns:

this, for chaining, not null

shiftCurve

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder shiftCurve(Curve shiftCurve)

Sets the shift curve.

This represents the shift parameter of shifted SABR model.

The shift is set to be zero if this field is not specified.

Parameters:

shiftCurve - the new value, not null

Returns:

this, for chaining, not null

parameterCurveNodes

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder parameterCurveNodes(List<DoubleArray> parameterCurveNodes)

Sets the nodes of SABR parameter curves.

The size of the list must be 4, ordered as alpha, beta, rho and nu.

If the number of nodes is greater than 1, the curve will be created with CurveInterpolator and CurveExtrapolator specified below. Otherwise, ConstantNodalCurve will be created.

Parameters:

parameterCurveNodes - the new value, not null

Returns:

this, for chaining, not null

parameterCurveNodes

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder parameterCurveNodes(DoubleArray... parameterCurveNodes)

Sets the parameterCurveNodes property in the builder from an array of objects.

Parameters:

parameterCurveNodes - the new value, not null

Returns:

this, for chaining, not null

initialParameters

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder initialParameters(DoubleArray initialParameters)

Sets the initial parameter values used in calibration.

Default values will be used if not specified. The size of this field must be 4, ordered as alpha, beta, rho and nu.

Parameters:

initialParameters - the new value, not null

Returns:

this, for chaining, not null

interpolator

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder interpolator(CurveInterpolator interpolator)

Sets the interpolator for the SABR parameters.

Parameters:

interpolator - the new value, not null

Returns:

this, for chaining, not null

extrapolatorLeft

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder extrapolatorLeft(CurveExtrapolator extrapolatorLeft)

Sets the left extrapolator for the SABR parameters.

The flat extrapolation is used if not specified.

Parameters:

extrapolatorLeft - the new value, not null

Returns:

this, for chaining, not null

extrapolatorRight

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder extrapolatorRight(CurveExtrapolator extrapolatorRight)

Sets the right extrapolator for the SABR parameters.

The flat extrapolation is used if not specified.

Parameters:

extrapolatorRight - the new value, not null

Returns:

this, for chaining, not null

sabrVolatilityFormula

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula)

Sets the SABR formula.

Parameters:

sabrVolatilityFormula - the new value, not null

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityCalibrationDefinition>