com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletVolatilityCalibrationDefinition

java.lang.Object

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition

All Implemented Interfaces:

IborCapletFloorletVolatilityDefinition, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class SabrIborCapletFloorletVolatilityCalibrationDefinition
extends Object
implements IborCapletFloorletVolatilityDefinition, org.joda.beans.ImmutableBean, Serializable

Definition of caplet volatilities calibration.

This definition is used with SabrIborCapletFloorletVolatilityCalibrator. The term structure of SABR model parameters is calibrated to cap volatilities. The SABR parameters are represented by NodalCurve and the node positions on the curves are flexible.

Either rho or beta must be fixed. Then the calibration is computed in terms of the other three SABR parameter curves. The resulting volatilities object will be SabrParametersIborCapletFloorletVolatilities.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	builder() Returns a builder used to create an instance of the bean.
DoubleArray	createFullInitialValues() Create initial values for all the curve parameters.
com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform[]	createFullTransform(com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform[] transform) Creates the transformation definition for all the curve parameters.
SurfaceMetadata	createMetadata(RawOptionData capFloorData) Creates surface metadata.
List<Curve>	createSabrParameterCurve(List<CurveMetadata> metadata, DoubleArray nodeValues) Creates the parameter curves with parameter node values.
ImmutableList<CurveMetadata>	createSabrParameterMetadata() Creates curve metadata for SABR parameters.
boolean	equals(Object obj)
Optional<Curve>	getBetaCurve() Gets the beta (elasticity) curve.
DayCount	getDayCount() Gets the day count to measure the time in the expiry dimension.
CurveExtrapolator	getExtrapolatorLeft() Gets the left extrapolator for the SABR parameters.
CurveExtrapolator	getExtrapolatorRight() Gets the right extrapolator for the SABR parameters.
IborIndex	getIndex() Gets the Ibor index for which the data is valid.
DoubleArray	getInitialParameters() Gets the initial parameter values used in calibration.
CurveInterpolator	getInterpolator() Gets the interpolator for the SABR parameters.
IborCapletFloorletVolatilitiesName	getName() Gets the name of the volatilities.
ImmutableList<DoubleArray>	getParameterCurveNodes() Gets the nodes of SABR parameter curves.
Optional<Curve>	getRhoCurve() Gets the rho (correlation) curve.
SabrVolatilityFormula	getSabrVolatilityFormula() Gets the SABR formula.
Curve	getShiftCurve() Gets the shift curve.
int	hashCode()
static SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta	meta() The meta-bean for SabrIborCapletFloorletVolatilityCalibrationDefinition.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta	metaBean()
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed beta, zero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed beta and zero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double shift, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed beta, nonzero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, double shift, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed beta and nonzero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed rho, zero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed rho and zero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double shift, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed rho, nonzero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, double shift, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula) Obtains an instance with fixed rho and nonzero shift.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition

createCap

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

ofFixedBeta

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                                IborIndex index,
                                                                                DayCount dayCount,
                                                                                double beta,
                                                                                double shift,
                                                                                DoubleArray alphaCurveNodes,
                                                                                DoubleArray rhoCurveNodes,
                                                                                DoubleArray nuCurveNodes,
                                                                                CurveInterpolator interpolator,
                                                                                CurveExtrapolator extrapolatorLeft,
                                                                                CurveExtrapolator extrapolatorRight,
                                                                                SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed beta and nonzero shift.

The beta and shift are constant in time. The default initial values will be used in the calibration.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

beta - the beta

shift - the shift

alphaCurveNodes - the alpha curve nodes

rhoCurveNodes - the rho curve nodes

nuCurveNodes - the nu curve nodes

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedBeta

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                                IborIndex index,
                                                                                DayCount dayCount,
                                                                                double beta,
                                                                                DoubleArray alphaCurveNodes,
                                                                                DoubleArray rhoCurveNodes,
                                                                                DoubleArray nuCurveNodes,
                                                                                CurveInterpolator interpolator,
                                                                                CurveExtrapolator extrapolatorLeft,
                                                                                CurveExtrapolator extrapolatorRight,
                                                                                SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed beta and zero shift.

The default initial values will be used in the calibration.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

beta - the beta

alphaCurveNodes - the alpha curve nodes

rhoCurveNodes - the rho curve nodes

nuCurveNodes - the nu curve nodes

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedBeta

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                                IborIndex index,
                                                                                DayCount dayCount,
                                                                                double shift,
                                                                                DoubleArray alphaCurveNodes,
                                                                                DoubleArray rhoCurveNodes,
                                                                                DoubleArray nuCurveNodes,
                                                                                DoubleArray initialParameters,
                                                                                CurveInterpolator interpolator,
                                                                                CurveExtrapolator extrapolatorLeft,
                                                                                CurveExtrapolator extrapolatorRight,
                                                                                SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed beta, nonzero shift and initial values.

The beta and shift are constant in time.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

shift - the shift

alphaCurveNodes - the alpha curve nodes

rhoCurveNodes - the rho curve nodes

nuCurveNodes - the nu curve nodes

initialParameters - the initial parameters

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedBeta

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                                IborIndex index,
                                                                                DayCount dayCount,
                                                                                DoubleArray alphaCurveNodes,
                                                                                DoubleArray rhoCurveNodes,
                                                                                DoubleArray nuCurveNodes,
                                                                                DoubleArray initialParameters,
                                                                                CurveInterpolator interpolator,
                                                                                CurveExtrapolator extrapolatorLeft,
                                                                                CurveExtrapolator extrapolatorRight,
                                                                                SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed beta, zero shift and initial values.

The beta and shift are constant in time.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

alphaCurveNodes - the alpha curve nodes

rhoCurveNodes - the rho curve nodes

nuCurveNodes - the nu curve nodes

initialParameters - the initial parameters

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                               IborIndex index,
                                                                               DayCount dayCount,
                                                                               double rho,
                                                                               double shift,
                                                                               DoubleArray alphaCurveNodes,
                                                                               DoubleArray betaCurveNodes,
                                                                               DoubleArray nuCurveNodes,
                                                                               CurveInterpolator interpolator,
                                                                               CurveExtrapolator extrapolatorLeft,
                                                                               CurveExtrapolator extrapolatorRight,
                                                                               SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed rho and nonzero shift.

The rho and shift are constant in time. The default initial values will be used in the calibration.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

rho - the rho

shift - the shift

alphaCurveNodes - the alpha curve nodes

betaCurveNodes - the beta curve nodes

nuCurveNodes - the nu curve nodes

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                               IborIndex index,
                                                                               DayCount dayCount,
                                                                               double rho,
                                                                               DoubleArray alphaCurveNodes,
                                                                               DoubleArray betaCurveNodes,
                                                                               DoubleArray nuCurveNodes,
                                                                               CurveInterpolator interpolator,
                                                                               CurveExtrapolator extrapolatorLeft,
                                                                               CurveExtrapolator extrapolatorRight,
                                                                               SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed rho and zero shift.

The rho is constant in time. The default initial values will be used in the calibration.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

rho - the rho

alphaCurveNodes - the alpha curve nodes

betaCurveNodes - the beta curve nodes

nuCurveNodes - the nu curve nodes

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                               IborIndex index,
                                                                               DayCount dayCount,
                                                                               double shift,
                                                                               DoubleArray alphaCurveNodes,
                                                                               DoubleArray betaCurveNodes,
                                                                               DoubleArray nuCurveNodes,
                                                                               DoubleArray initialParameters,
                                                                               CurveInterpolator interpolator,
                                                                               CurveExtrapolator extrapolatorLeft,
                                                                               CurveExtrapolator extrapolatorRight,
                                                                               SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed rho, nonzero shift and initial values.

The rho and shift are constant in time.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

shift - the shift

alphaCurveNodes - the alpha curve nodes

betaCurveNodes - the beta curve nodes

nuCurveNodes - the nu curve nodes

initialParameters - the initial parameters

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                               IborIndex index,
                                                                               DayCount dayCount,
                                                                               DoubleArray alphaCurveNodes,
                                                                               DoubleArray betaCurveNodes,
                                                                               DoubleArray nuCurveNodes,
                                                                               DoubleArray initialParameters,
                                                                               CurveInterpolator interpolator,
                                                                               CurveExtrapolator extrapolatorLeft,
                                                                               CurveExtrapolator extrapolatorRight,
                                                                               SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with fixed rho, zero shift and initial values.

The rho is constant in time.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

alphaCurveNodes - the alpha curve nodes

betaCurveNodes - the beta curve nodes

nuCurveNodes - the nu curve nodes

initialParameters - the initial parameters

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

createMetadata

public SurfaceMetadata createMetadata(RawOptionData capFloorData)

Description copied from interface: IborCapletFloorletVolatilityDefinition

Creates surface metadata.

Specified by:

createMetadata in interface IborCapletFloorletVolatilityDefinition

Parameters:

capFloorData - the cap/floor data

Returns:

the surface metadata

createSabrParameterMetadata

public ImmutableList<CurveMetadata> createSabrParameterMetadata()

Creates curve metadata for SABR parameters.

The metadata in the list are ordered as alpha, beta, rho, then nu.

Returns:

the curve metadata

createSabrParameterCurve

public List<Curve> createSabrParameterCurve(List<CurveMetadata> metadata,
                                            DoubleArray nodeValues)

Creates the parameter curves with parameter node values.

The node values must be combined nodes ordered as alpha, beta (if beta is not fixed), rho (if rho is not fixed), then nu.

The returned curves are ordered in the same way. If the beta is fixed, betaCurve is returned as the second element. If the rho is fixed, rhoCurve is returned as the third element.

Parameters:

metadata - the metadata

nodeValues - the parameter node values

Returns:

the curves

createFullTransform

public com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform[] createFullTransform(com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform[] transform)

Creates the transformation definition for all the curve parameters.

The elements in transform must be ordered as alpha, beta, rho, then nu.

Parameters:

transform - the transform

Returns:

the full transform

createFullInitialValues

public DoubleArray createFullInitialValues()

Create initial values for all the curve parameters.

Returns:

the initial values

meta

public static SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta meta()

The meta-bean for SabrIborCapletFloorletVolatilityCalibrationDefinition.

Returns:

the meta-bean, not null

builder

public static SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder builder()

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

Returns:

the builder, not null

metaBean

public SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public IborCapletFloorletVolatilitiesName getName()

Gets the name of the volatilities.

Specified by:

getName in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getIndex

public IborIndex getIndex()

Gets the Ibor index for which the data is valid.

Specified by:

getIndex in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

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

Specified by:

getDayCount in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getBetaCurve

public Optional<Curve> getBetaCurve()

Gets 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.

Returns:

the optional value of the property, not null

getRhoCurve

public Optional<Curve> getRhoCurve()

Gets 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.

Returns:

the optional value of the property, not null

getShiftCurve

public Curve getShiftCurve()

Gets 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.

Returns:

the value of the property, not null

getParameterCurveNodes

public ImmutableList<DoubleArray> getParameterCurveNodes()

Gets 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.

Returns:

the value of the property, not null

getInitialParameters

public DoubleArray getInitialParameters()

Gets 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.

Returns:

the value of the property, not null

getInterpolator

public CurveInterpolator getInterpolator()

Gets the interpolator for the SABR parameters.

Returns:

the value of the property, not null

getExtrapolatorLeft

public CurveExtrapolator getExtrapolatorLeft()

Gets the left extrapolator for the SABR parameters.

The flat extrapolation is used if not specified.

Returns:

the value of the property, not null

getExtrapolatorRight

public CurveExtrapolator getExtrapolatorRight()

Gets the right extrapolator for the SABR parameters.

The flat extrapolation is used if not specified.

Returns:

the value of the property, not null

getSabrVolatilityFormula

public SabrVolatilityFormula getSabrVolatilityFormula()

Gets the SABR formula.

Returns:

the value of the property, not null

toBuilder

public SabrIborCapletFloorletVolatilityCalibrationDefinition.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