com.opengamma.strata.pricer.capfloor

Class SurfaceIborCapletFloorletVolatilityBootstrapper

java.lang.Object

com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapper

public class SurfaceIborCapletFloorletVolatilityBootstrapper
extends Object

Caplet volatilities calibration to cap volatilities based on interpolated surface.

The caplet volatilities are computed by bootstrapping along the expiry time dimension. The result is an interpolated surface spanned by expiry and strike. The position of the node points on the resultant surface corresponds to last expiry date of market caps. The nodes should be interpolated by a local interpolation scheme along the time direction. See SurfaceIborCapletFloorletVolatilityBootstrapDefinition for detail.

If the shift curve is not present in SurfaceIborCapletFloorletBootstrapVolatilityDefinition, the resultant volatility type is the same as the input volatility type, i.e., Black caplet volatilities are returned if Black cap volatilities are plugged in, and normal caplet volatilities are returned otherwise. On the other hand, if the shift curve is present in SurfaceIborCapletFloorletBootstrapVolatilityDefinition, Black caplet volatilities are returned for any input volatility type.

Field Summary

Fields

Modifier and Type	Field and Description
static SurfaceIborCapletFloorletVolatilityBootstrapper	DEFAULT Default implementation.

Method Summary

Modifier and Type	Method and Description
IborCapletFloorletVolatilityCalibrationResult	calibrate(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData, RatesProvider ratesProvider) Calibrates caplet volatilities to cap volatilities.
protected VolatilityIborCapFloorLegPricer	getLegPricer() Gets the leg pricer.
protected ReferenceData	getReferenceData() Gets the reference data.
static SurfaceIborCapletFloorletVolatilityBootstrapper	of(VolatilityIborCapFloorLegPricer pricer, ReferenceData referenceData) Creates an instance.
protected void	reduceRawData(IborCapletFloorletVolatilityDefinition definition, RatesProvider ratesProvider, DoubleArray strikes, DoubleArray volatilityData, DoubleArray errors, LocalDate startDate, LocalDate endDate, SurfaceMetadata metadata, Function<Surface,IborCapletFloorletVolatilities> volatilityFunction, List<Double> timeList, List<Double> strikeList, List<Double> volList, List<ResolvedIborCapFloorLeg> capList, List<Double> priceList, List<Double> errorList)
protected Function<Surface,IborCapletFloorletVolatilities>	volatilitiesFunction(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData)

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SurfaceIborCapletFloorletVolatilityBootstrapper DEFAULT

Default implementation.

Method Detail

of

public static SurfaceIborCapletFloorletVolatilityBootstrapper of(VolatilityIborCapFloorLegPricer pricer,
                                                                 ReferenceData referenceData)

Creates an instance.

Parameters:

pricer - the cap pricer

referenceData - the reference data

Returns:

the instance

calibrate

public IborCapletFloorletVolatilityCalibrationResult calibrate(IborCapletFloorletVolatilityDefinition definition,
                                                               ZonedDateTime calibrationDateTime,
                                                               RawOptionData capFloorData,
                                                               RatesProvider ratesProvider)

Calibrates caplet volatilities to cap volatilities.

Parameters:

definition - the caplet volatility definition

calibrationDateTime - the calibration time

capFloorData - the cap data

ratesProvider - the rates provider

Returns:

the calibration result

getReferenceData

protected ReferenceData getReferenceData()

Gets the reference data.

Returns:

the reference data

getLegPricer

protected VolatilityIborCapFloorLegPricer getLegPricer()

Gets the leg pricer.

Returns:

the leg pricer

reduceRawData

protected void reduceRawData(IborCapletFloorletVolatilityDefinition definition,
                             RatesProvider ratesProvider,
                             DoubleArray strikes,
                             DoubleArray volatilityData,
                             DoubleArray errors,
                             LocalDate startDate,
                             LocalDate endDate,
                             SurfaceMetadata metadata,
                             Function<Surface,IborCapletFloorletVolatilities> volatilityFunction,
                             List<Double> timeList,
                             List<Double> strikeList,
                             List<Double> volList,
                             List<ResolvedIborCapFloorLeg> capList,
                             List<Double> priceList,
                             List<Double> errorList)

volatilitiesFunction

protected Function<Surface,IborCapletFloorletVolatilities> volatilitiesFunction(IborCapletFloorletVolatilityDefinition definition,
                                                                                ZonedDateTime calibrationDateTime,
                                                                                RawOptionData capFloorData)