com.opengamma.strata.pricer.capfloor

Class SabrParametersIborCapletFloorletVolatilities

java.lang.Object

com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackSabrIborCapletFloorletVolatilities, IborCapletFloorletVolatilities, SabrIborCapletFloorletVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class SabrParametersIborCapletFloorletVolatilities
extends Object
implements BlackSabrIborCapletFloorletVolatilities, org.joda.beans.ImmutableBean, Serializable

Volatility environment for Ibor caplet/floorlet in the SABR model.

The volatility is represented in terms of SABR model parameters.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
double	alpha(double expiry) Calculates the alpha parameter for a pair of time to expiry.
double	beta(double expiry) Calculates the beta parameter for a pair of time to expiry.
static SabrParametersIborCapletFloorletVolatilities.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
Optional<ImmutableList<DoubleArray>>	getDataSensitivityAlpha() Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityBeta() Gets the sensitivity of the Beta parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityNu() Gets the sensitivity of the Nu parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityRho() Gets the sensitivity of the Rho parameters to the raw data used for calibration.
DayCount	getDayCount() Gets the day count used to calculate the expiry year fraction.
IborIndex	getIndex() Gets the Ibor index.
IborCapletFloorletVolatilitiesName	getName() Gets the name.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
SabrParameters	getParameters() Gets the SABR model parameters.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static SabrParametersIborCapletFloorletVolatilities.Meta	meta() The meta-bean for SabrParametersIborCapletFloorletVolatilities.
SabrParametersIborCapletFloorletVolatilities.Meta	metaBean()
double	nu(double expiry) Calculates the nu parameter for a pair of time to expiry.
static SabrParametersIborCapletFloorletVolatilities	of(IborCapletFloorletVolatilitiesName name, IborIndex index, ZonedDateTime valuationDateTime, SabrParameters parameters) Obtains an instance from the SABR model parameters and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
double	price(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price.
double	priceDelta(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price delta.
double	priceGamma(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price gamma.
double	priceTheta(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price theta.
double	priceVega(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price vega.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
double	rho(double expiry) Calculates the rho parameter for a pair of time to expiry.
double	shift(double expiry) Calculates the shift parameter for the specified time to expiry.
SabrParametersIborCapletFloorletVolatilities.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(double expiry, double strike, double forwardRate) Calculates the volatility at the specified expiry.
ValueDerivatives	volatilityAdjoint(double expiry, double strike, double forward) Calculates the volatility and associated sensitivities.
SabrParametersIborCapletFloorletVolatilities	withParameter(int parameterIndex, double newValue)
SabrParametersIborCapletFloorletVolatilities	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.capfloor.BlackSabrIborCapletFloorletVolatilities

getVolatilityType

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

getValuationDate, parameterSensitivity, volatility

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

findParameterIndex

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static SabrParametersIborCapletFloorletVolatilities of(IborCapletFloorletVolatilitiesName name,
                                                              IborIndex index,
                                                              ZonedDateTime valuationDateTime,
                                                              SabrParameters parameters)

Obtains an instance from the SABR model parameters and the date-time for which it is valid.

Parameters:

name - the name

index - the Ibor index for which the data is valid

valuationDateTime - the valuation date-time

parameters - the SABR model parameters

Returns:

the volatilities

getDayCount

public DayCount getDayCount()

Gets the day count used to calculate the expiry year fraction.

Returns:

the day count

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

withParameter

public SabrParametersIborCapletFloorletVolatilities withParameter(int parameterIndex,
                                                                  double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface IborCapletFloorletVolatilities

Specified by:

withParameter in interface SabrIborCapletFloorletVolatilities

withPerturbation

public SabrParametersIborCapletFloorletVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface IborCapletFloorletVolatilities

Specified by:

withPerturbation in interface SabrIborCapletFloorletVolatilities

volatility

public double volatility(double expiry,
                         double strike,
                         double forwardRate)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the volatility at the specified expiry.

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

Specified by:

volatility in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

strike - the option strike rate

forwardRate - the forward rate

Returns:

the volatility

volatilityAdjoint

public ValueDerivatives volatilityAdjoint(double expiry,
                                          double strike,
                                          double forward)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the volatility and associated sensitivities.

The derivatives are stored in an array with:

• [0] derivative with respect to the forward
• [1] derivative with respect to the forward strike
• [2] derivative with respect to the alpha
• [3] derivative with respect to the beta
• [4] derivative with respect to the rho
• [5] derivative with respect to the nu

Specified by:

volatilityAdjoint in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

strike - the strike

forward - the forward

Returns:

the volatility and associated sensitivities

alpha

public double alpha(double expiry)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the alpha parameter for a pair of time to expiry.

Specified by:

alpha in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the alpha parameter

beta

public double beta(double expiry)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the beta parameter for a pair of time to expiry.

Specified by:

beta in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the beta parameter

rho

public double rho(double expiry)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the rho parameter for a pair of time to expiry.

Specified by:

rho in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the rho parameter

nu

public double nu(double expiry)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the nu parameter for a pair of time to expiry.

Specified by:

nu in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the nu parameter

shift

public double shift(double expiry)

Description copied from interface: SabrIborCapletFloorletVolatilities

Calculates the shift parameter for the specified time to expiry.

Specified by:

shift in interface SabrIborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the shift parameter

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: IborCapletFloorletVolatilities

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 IborCapletFloorletVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

price

public double price(double expiry,
                    PutCall putCall,
                    double strike,
                    double forward,
                    double volatility)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the price.

This relies on expiry supplied by IborCapletFloorletVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by IborCapletFloorletVolatilities.volatility(double, double, double).

Specified by:

price in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the price

priceDelta

public double priceDelta(double expiry,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the price delta.

This is the first order sensitivity of the option price to the forward.

This relies on expiry supplied by IborCapletFloorletVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by IborCapletFloorletVolatilities.volatility(double, double, double).

Specified by:

priceDelta in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the delta

priceGamma

public double priceGamma(double expiry,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the price gamma.

This is the second order sensitivity of the option price to the forward.

This relies on expiry supplied by IborCapletFloorletVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by IborCapletFloorletVolatilities.volatility(double, double, double).

Specified by:

priceGamma in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the gamma

priceTheta

public double priceTheta(double expiry,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the price theta.

This is the driftless sensitivity of the option price to a change in time to maturity.

This relies on expiry supplied by IborCapletFloorletVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by IborCapletFloorletVolatilities.volatility(double, double, double).

Specified by:

priceTheta in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the theta

priceVega

public double priceVega(double expiry,
                        PutCall putCall,
                        double strike,
                        double forward,
                        double volatility)

Description copied from interface: IborCapletFloorletVolatilities

Calculates the price vega.

This is the sensitivity of the option price to the implied volatility.

This relies on expiry supplied by IborCapletFloorletVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by IborCapletFloorletVolatilities.volatility(double, double, double).

Specified by:

priceVega in interface IborCapletFloorletVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the vega

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: IborCapletFloorletVolatilities

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 IborCapletFloorletVolatilities

Parameters:

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

Returns:

the relative year fraction

meta

public static SabrParametersIborCapletFloorletVolatilities.Meta meta()

The meta-bean for SabrParametersIborCapletFloorletVolatilities.

Returns:

the meta-bean, not null

builder

public static SabrParametersIborCapletFloorletVolatilities.Builder builder()

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

Returns:

the builder, not null

metaBean

public SabrParametersIborCapletFloorletVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public IborCapletFloorletVolatilitiesName getName()

Gets the name.

Specified by:

getName in interface IborCapletFloorletVolatilities

Returns:

the value of the property, not null

getIndex

public IborIndex getIndex()

Gets the Ibor index.

The data must valid in terms of this Ibor index.

Specified by:

getIndex in interface IborCapletFloorletVolatilities

Returns:

the value of the property, not null

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Specified by:

getValuationDateTime in interface IborCapletFloorletVolatilities

Returns:

the value of the property, not null

getParameters

public SabrParameters getParameters()

Gets the SABR model parameters.

Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.

Returns:

the value of the property, not null

getDataSensitivityAlpha

public Optional<ImmutableList<DoubleArray>> getDataSensitivityAlpha()

Gets the sensitivity of the Alpha parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Returns:

the optional value of the property, not null

getDataSensitivityBeta

public Optional<ImmutableList<DoubleArray>> getDataSensitivityBeta()

Gets the sensitivity of the Beta parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Returns:

the optional value of the property, not null

getDataSensitivityRho

public Optional<ImmutableList<DoubleArray>> getDataSensitivityRho()

Gets the sensitivity of the Rho parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Returns:

the optional value of the property, not null

getDataSensitivityNu

public Optional<ImmutableList<DoubleArray>> getDataSensitivityNu()

Gets the sensitivity of the Nu parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Returns:

the optional value of the property, not null

toBuilder

public SabrParametersIborCapletFloorletVolatilities.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