com.opengamma.strata.pricer.capfloor

Class ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities

java.lang.Object

com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackIborCapletFloorletVolatilities, IborCapletFloorletVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
extends Object
implements BlackIborCapletFloorletVolatilities, org.joda.beans.ImmutableBean, Serializable

Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.

The volatility is represented by a surface on the expiry and strike dimensions. The shift parameter is represented by a curve defined by expiry.

Although this implementation is able to handle zero shift, it is recommended to use BlackIborCapletFloorletExpiryStrikeVolatilities instead.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
IborIndex	getIndex() Gets the Ibor index.
IborCapletFloorletVolatilitiesName	getName() Gets the name of these volatilities.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
Curve	getShiftCurve() Gets the shift parameter of shifted Black model.
Surface	getSurface() Gets the Black volatility surface.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta	meta() The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta	metaBean()
static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface, Curve shiftCurve) 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	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.
String	toString()
double	volatility(double expiry, double strike, double forward) Calculates the volatility at the specified expiry.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	withParameter(int parameterIndex, double newValue)
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	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.BlackIborCapletFloorletVolatilities

getVolatilityType

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

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities of(IborIndex index,
                                                                        ZonedDateTime valuationDateTime,
                                                                        Surface surface,
                                                                        Curve shiftCurve)

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.STRIKE
• 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.blackVolatilityByExpiryStrike(String, DayCount).

Parameters:

index - the Ibor index for which the data is valid

valuationDateTime - the valuation date-time

surface - the implied volatility surface

shiftCurve - the shift surface

Returns:

the volatilities

getName

public IborCapletFloorletVolatilitiesName getName()

Description copied from interface: IborCapletFloorletVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface IborCapletFloorletVolatilities

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 ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities withParameter(int parameterIndex,
                                                                            double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface BlackIborCapletFloorletVolatilities

Specified by:

withParameter in interface IborCapletFloorletVolatilities

withPerturbation

public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface BlackIborCapletFloorletVolatilities

Specified by:

withPerturbation in interface IborCapletFloorletVolatilities

volatility

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

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

forward - the forward rate

Returns:

the volatility

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 ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta meta()

The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.

Returns:

the meta-bean, not null

metaBean

public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

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

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 strike.

Returns:

the value of the property, not null

getShiftCurve

public Curve getShiftCurve()

Gets the shift parameter of shifted Black model.

The x value of the curve is the expiry. Use BlackIborCapletFloorletExpiryStrikeVolatilities for zero shift.

Returns:

the value of the property, 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