InterpolatedStrikeSmileDeltaTermStructure (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure

All Implemented Interfaces:

ParameterizedData, SmileDeltaTermStructure, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class InterpolatedStrikeSmileDeltaTermStructure
extends Object
implements SmileDeltaTermStructure, ParameterizedData, org.joda.beans.ImmutableBean, Serializable
```
An interpolated term structure of smiles as used in Forex market.
The term structure defined here is composed of smile descriptions at different times. The data of each smile contains delta and volatility in SmileDeltaParameters. The delta values must be common to all of the smiles.
Time interpolation and extrapolation are used to obtain a smile for the objective time. Strike interpolation and extrapolation are used in the expiry-strike space where the delta values are converted to strikes using the Black formula.
The default for the time direction is time squire interpolation with flat extrapolation. The default for the strike direction is linear interpolation with flat extrapolation.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class InterpolatedStrikeSmileDeltaTermStructure.Meta
The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.

Nested Classes
Modifier and Type	Class and Description
`static class`	`InterpolatedStrikeSmileDeltaTermStructure.Meta` The meta-bean for `InterpolatedStrikeSmileDeltaTermStructure`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods Deprecated Methods
Modifier and Type	Method and Description
`boolean`	`equals(Object obj)`
`DayCount`	`getDayCount()` Gets the day count convention used for the expiry.
`DoubleArray`	`getExpiries()` Gets the expiries associated with the volatility term.
`List<Optional<Tenor>>`	`getExpiryTenors()` Gets the tenor associated with each expiry in the volatility term.
`double`	`getParameter(int parameterIndex)`
`int`	`getParameterCount()`
`ParameterMetadata`	`getParameterMetadata(int parameterIndex)`
`CurveExtrapolator`	`getStrikeExtrapolatorLeft()` Gets the left extrapolator used in the strike dimension.
`CurveExtrapolator`	`getStrikeExtrapolatorRight()` Gets the right extrapolator used in the strike dimension.
`CurveInterpolator`	`getStrikeInterpolator()` Gets the interpolator used in the strike dimension.
`CurveExtrapolator`	`getTimeExtrapolatorLeft()` Gets the left extrapolator used in the time dimension.
`CurveExtrapolator`	`getTimeExtrapolatorRight()` Gets the right extrapolator used in the time dimension.
`CurveInterpolator`	`getTimeInterpolator()` Gets the interpolator used in the time dimension.
`ImmutableList<SmileDeltaParameters>`	`getVolatilityTerm()` Gets the smile description at the different time to expiry.
`int`	`hashCode()`
`static InterpolatedStrikeSmileDeltaTermStructure.Meta`	`meta()` The meta-bean for `InterpolatedStrikeSmileDeltaTermStructure`.
`InterpolatedStrikeSmileDeltaTermStructure.Meta`	`metaBean()`
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount)` Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount)` Obtains volatility term structure from expiry times, delta values and volatilities.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount)` Obtains volatility term structure from a set of smile descriptions.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveExtrapolator timeExtrapolatorLeft, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorRight, CurveExtrapolator strikeExtrapolatorLeft, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorRight)` Deprecated. Use variant with correct interpolator/extrapolator order
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.
`static InterpolatedStrikeSmileDeltaTermStructure`	`of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)` Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.
`ValueDerivatives`	`partialFirstDerivatives(double expiry, double strike, double forward)` Computes the partial derivatives of the volatilities.
`SmileAndBucketedSensitivities`	`smileAndSensitivitiesForExpiry(double expiry, DoubleArray volatilityAtTimeSensitivity)` Calculates the smile at a given time and the sensitivities with respect to the volatility data points.
`SmileDeltaParameters`	`smileForExpiry(double expiry)` Calculates the smile at a given time.
`String`	`toString()`
`double`	`volatility(double time, double strike, double forward)` Calculates the volatility at a given time/strike/forward from the term structure.
`VolatilityAndBucketedSensitivities`	`volatilityAndSensitivities(double time, double strike, double forward)` Calculates the volatility and the volatility sensitivity with respect to the volatility data points.
`InterpolatedStrikeSmileDeltaTermStructure`	`withParameter(int parameterIndex, double newValue)`
`InterpolatedStrikeSmileDeltaTermStructure`	`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.fxopt.SmileDeltaTermStructure
getDelta, getDeltaFull, getSmileCount, getStrikeCount

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 InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount)
```
Obtains volatility term structure from a set of smile descriptions.
The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:

volatilityTerm - the volatility descriptions

dayCount - the day count used for the expiry year-fraction

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:: volatilityTerm - the volatility descriptions; dayCount - the day count used for the expiry year-fraction; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of

@Deprecated
public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                                       DayCount dayCount,
                                                                       CurveExtrapolator timeExtrapolatorLeft,
                                                                       CurveInterpolator timeInterpolator,
                                                                       CurveExtrapolator timeExtrapolatorRight,
                                                                       CurveExtrapolator strikeExtrapolatorLeft,
                                                                       CurveInterpolator strikeInterpolator,
                                                                       CurveExtrapolator strikeExtrapolatorRight)

Deprecated. Use variant with correct interpolator/extrapolator order

Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.

Parameters:: volatilityTerm - the volatility descriptions; dayCount - the day count used for the expiry year-fraction; timeExtrapolatorLeft - left extrapolator used in the time dimension; timeInterpolator - interpolator used in the time dimension; timeExtrapolatorRight - right extrapolator used in the time dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.

Parameters:: volatilityTerm - the volatility descriptions; dayCount - the day count used for the expiry year-fraction; timeInterpolator - interpolator used in the time dimension; timeExtrapolatorLeft - left extrapolator used in the time dimension; timeExtrapolatorRight - right extrapolator used in the time dimension; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of
```
public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount)
```
Obtains volatility term structure from expiry times, delta values and volatilities.
The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.
volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.
The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

volatility - the volatilities

dayCount - the day count used for the expiry year-fraction

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.

The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.

volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:: expiries - the expiry times of individual volatility smiles; delta - the delta values; volatility - the volatilities; dayCount - the day count used for the expiry year-fraction; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.

The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.

volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.

Parameters:: expiries - the expiry times of individual volatility smiles; delta - the delta values; volatility - the volatilities; dayCount - the day count used for the expiry year-fraction; timeInterpolator - interpolator used in the time dimension; timeExtrapolatorLeft - left extrapolator used in the time dimension; timeExtrapolatorRight - right extrapolator used in the time dimension; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.

The range of delta is common to all time to expiry. riskReversal and strangle should be n * m, and the length of atm should n, where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:: expiries - the expiry times of individual volatility smiles; delta - the delta values; atm - the ATM volatilities; riskReversal - the risk reversal figures; strangle - the strangle figures; dayCount - the day count used for the expiry year-fraction
Returns:: the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:: expiries - the expiry times of individual volatility smiles; delta - the delta values; atm - the ATM volatilities; riskReversal - the risk reversal figures; strangle - the strangle figures; dayCount - the day count used for the expiry year-fraction; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.

Parameters:: expiries - the expiry times of individual volatility smiles; delta - the delta values; atm - the ATM volatilities; riskReversal - the risk reversal figures; strangle - the strangle figures; dayCount - the day count used for the expiry year-fraction; timeInterpolator - interpolator used in the time dimension; timeExtrapolatorLeft - left extrapolator used in the time dimension; timeExtrapolatorRight - right extrapolator used in the time dimension; strikeInterpolator - interpolator used in the strike dimension; strikeExtrapolatorLeft - left extrapolator used in the strike dimension; strikeExtrapolatorRight - right extrapolator used in the strike dimension
Returns:: the instance

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 InterpolatedStrikeSmileDeltaTermStructure withParameter(int parameterIndex,
                                                               double newValue)

Specified by:: withParameter in interface ParameterizedData
Specified by:: withParameter in interface SmileDeltaTermStructure

withPerturbation
```
public InterpolatedStrikeSmileDeltaTermStructure withPerturbation(ParameterPerturbation perturbation)
```
Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface SmileDeltaTermStructure

getExpiries
```
public DoubleArray getExpiries()
```
Description copied from interface: SmileDeltaTermStructure

Gets the expiries associated with the volatility term.

Specified by:

getExpiries in interface SmileDeltaTermStructure

Returns:

the set of expiry

getExpiryTenors
```
public List<Optional<Tenor>> getExpiryTenors()
```
Description copied from interface: SmileDeltaTermStructure

Gets the tenor associated with each expiry in the volatility term.

Specified by:

getExpiryTenors in interface SmileDeltaTermStructure

Returns:

the list of tenors associated with the expiries, empty if not available

volatility
```
public double volatility(double time,
                         double strike,
                         double forward)
```
Description copied from interface: SmileDeltaTermStructure

Calculates the volatility at a given time/strike/forward from the term structure.

Specified by:

volatility in interface SmileDeltaTermStructure

Parameters:

time - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

volatilityAndSensitivities
```
public VolatilityAndBucketedSensitivities volatilityAndSensitivities(double time,
                                                                     double strike,
                                                                     double forward)
```
Description copied from interface: SmileDeltaTermStructure

Calculates the volatility and the volatility sensitivity with respect to the volatility data points.

Specified by:

volatilityAndSensitivities in interface SmileDeltaTermStructure

Parameters:

time - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

partialFirstDerivatives
```
public ValueDerivatives partialFirstDerivatives(double expiry,
                                                double strike,
                                                double forward)
```
Description copied from interface: SmileDeltaTermStructure
Computes the partial derivatives of the volatilities.
The first derivatives are dVol/dExpiry and dVol/dStrike. The derivatives are in the following order:
- [0] derivative with respect to expiry
- [1] derivative with respect to strike
Specified by:

partialFirstDerivatives in interface SmileDeltaTermStructure

Parameters:

expiry - the expiry at which the partial derivative is taken

strike - the strike at which the partial derivative is taken

forward - the forward rate

Returns:

the z-value and it's partial first derivatives

smileForExpiry
```
public SmileDeltaParameters smileForExpiry(double expiry)
```
Description copied from interface: SmileDeltaTermStructure

Calculates the smile at a given time.

Specified by:

smileForExpiry in interface SmileDeltaTermStructure

Parameters:

expiry - the time to expiry

Returns:

the smile

smileAndSensitivitiesForExpiry
```
public SmileAndBucketedSensitivities smileAndSensitivitiesForExpiry(double expiry,
                                                                    DoubleArray volatilityAtTimeSensitivity)
```
Description copied from interface: SmileDeltaTermStructure

Calculates the smile at a given time and the sensitivities with respect to the volatility data points.

Specified by:

smileAndSensitivitiesForExpiry in interface SmileDeltaTermStructure

Parameters:

expiry - the time to expiry

volatilityAtTimeSensitivity - the sensitivity to the volatilities of the smile at the given time

Returns:

the smile and sensitivities

meta
```
public static InterpolatedStrikeSmileDeltaTermStructure.Meta meta()
```
The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.

Returns:

the meta-bean, not null

metaBean

public InterpolatedStrikeSmileDeltaTermStructure.Meta metaBean()

Specified by:: metaBean in interface org.joda.beans.Bean

getVolatilityTerm
```
public ImmutableList<SmileDeltaParameters> getVolatilityTerm()
```
Gets the smile description at the different time to expiry. All item should have the same deltas.

Specified by:

getVolatilityTerm in interface SmileDeltaTermStructure

Returns:

the value of the property, not null

getDayCount
```
public DayCount getDayCount()
```
Gets the day count convention used for the expiry.

Specified by:

getDayCount in interface SmileDeltaTermStructure

Returns:

the value of the property, not null

getTimeInterpolator
```
public CurveInterpolator getTimeInterpolator()
```
Gets the interpolator used in the time dimension.

Returns:

the value of the property, not null

getTimeExtrapolatorLeft
```
public CurveExtrapolator getTimeExtrapolatorLeft()
```
Gets the left extrapolator used in the time dimension.

Returns:

the value of the property, not null

getTimeExtrapolatorRight
```
public CurveExtrapolator getTimeExtrapolatorRight()
```
Gets the right extrapolator used in the time dimension.

Returns:

the value of the property, not null

getStrikeInterpolator
```
public CurveInterpolator getStrikeInterpolator()
```
Gets the interpolator used in the strike dimension.

Returns:

the value of the property, not null

getStrikeExtrapolatorLeft
```
public CurveExtrapolator getStrikeExtrapolatorLeft()
```
Gets the left extrapolator used in the strike dimension.

Returns:

the value of the property, not null

getStrikeExtrapolatorRight
```
public CurveExtrapolator getStrikeExtrapolatorRight()
```
Gets the right extrapolator used in the strike dimension.

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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class InterpolatedStrikeSmileDeltaTermStructure

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure

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

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

of

of

of

of

of

of

of

of

getParameterCount

getParameter

getParameterMetadata

withParameter

withPerturbation

getExpiries

getExpiryTenors

volatility

volatilityAndSensitivities

partialFirstDerivatives

smileForExpiry

smileAndSensitivitiesForExpiry

meta

metaBean

getVolatilityTerm

getDayCount

getTimeInterpolator

getTimeExtrapolatorLeft

getTimeExtrapolatorRight

getStrikeInterpolator

getStrikeExtrapolatorLeft

getStrikeExtrapolatorRight

equals

hashCode

toString