SmileDeltaParameters (OpenGamma Strata Pricer API)

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

All Implemented Interfaces:

ParameterizedData, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class SmileDeltaParameters
extends Object
implements ParameterizedData, org.joda.beans.ImmutableBean, Serializable
```
A delta dependent smile as used in Forex market.
This contains the data for delta dependent smile from at-the-money, risk reversal and strangle. The delta used is the delta with respect to forward.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

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

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`boolean`	`equals(Object obj)`
`DoubleArray`	`getDelta()` Gets the delta of the different data points.
`double`	`getExpiry()` Gets the time to expiry associated with the data.
`Optional<Tenor>`	`getExpiryTenor()` Gets the tenor associated with the time to expiry, optional.
`double`	`getParameter(int parameterIndex)`
`int`	`getParameterCount()`
`ImmutableList<ParameterMetadata>`	`getParameterMetadata()` Gets the associated metadata.
`ParameterMetadata`	`getParameterMetadata(int parameterIndex)`
`DoubleArray`	`getVolatility()` Gets the volatilities associated with the strikes.
`int`	`hashCode()`
`DoubleArray`	`impliedStrikesDerivativeToExpiry(double forward)` Calculates the derivatives of the implied strikes to expiry.
`DoubleArray`	`impliedStrikesDerivativeToSmileVols(double forward)` Calculates the derivatives of the implied strikes to volatility.
`static SmileDeltaParameters.Meta`	`meta()` The meta-bean for `SmileDeltaParameters`.
`SmileDeltaParameters.Meta`	`metaBean()`
`static SmileDeltaParameters`	`of(double expiry, DoubleArray delta, DoubleArray volatility)` Obtains an instance from volatility.
`static SmileDeltaParameters`	`of(double expiry, DoubleArray delta, DoubleArray volatility, List<ParameterMetadata> parameterMetadata)` Obtains an instance from volatility.
`static SmileDeltaParameters`	`of(double expiry, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle)` Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
`static SmileDeltaParameters`	`of(double expiry, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle, List<ParameterMetadata> parameterMetadata)` Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
`static SmileDeltaParameters`	`of(double expiry, Tenor expiryTenor, DoubleArray delta, DoubleArray volatility)` Obtains an instance from volatility.
`static SmileDeltaParameters`	`of(double expiry, Tenor expiryTenor, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle)` Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
`DoubleArray`	`strike(double forward)` Calculates the strikes in ascending order.
`String`	`toString()`
`SmileDeltaParameters`	`withParameter(int parameterIndex, double newValue)`
`SmileDeltaParameters`	`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.market.param.ParameterizedData
findParameterIndex

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      DoubleArray delta,
                                      DoubleArray volatility)
```
    Obtains an instance from volatility.
    GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    volatility - the volatilities
    
    Returns:
    
    the smile definition
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      Tenor expiryTenor,
                                      DoubleArray delta,
                                      DoubleArray volatility)
```
    Obtains an instance from volatility.
    GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    expiryTenor - the tenor associated with the expiry
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    volatility - the volatilities
    
    Returns:
    
    the smile definition
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      DoubleArray delta,
                                      DoubleArray volatility,
                                      List<ParameterMetadata> parameterMetadata)
```
    Obtains an instance from volatility.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    volatility - the volatilities
    
    parameterMetadata - the parameter metadata
    
    Returns:
    
    the smile definition
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle)
```
    Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
    GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    atmVolatility - the at-the-money volatility
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    riskReversal - the risk reversal volatility figures, in the same order as the delta
    
    strangle - the strangle volatility figures, in the same order as the delta
    
    Returns:
    
    the smile definition
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      Tenor expiryTenor,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle)
```
    Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
    This factory allows the tenor to be included in the parameter metadata.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    expiryTenor - the tenor associated with the expiry
    
    atmVolatility - the at-the-money volatility
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    riskReversal - the risk reversal volatility figures, in the same order as the delta
    
    strangle - the strangle volatility figures, in the same order as the delta
    
    Returns:
    
    the smile definition
  - of
```
public static SmileDeltaParameters of(double expiry,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle,
                                      List<ParameterMetadata> parameterMetadata)
```
    Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
    
    Parameters:
    
    expiry - the time to expiry associated to the data
    
    atmVolatility - the at-the-money volatility
    
    delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers
    
    riskReversal - the risk reversal volatility figures, in the same order as the delta
    
    strangle - the strangle volatility figures, in the same order as the delta
    
    parameterMetadata - the parameter metadata
    
    Returns:
    
    the smile definition
  - 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 SmileDeltaParameters withParameter(int parameterIndex,
                                          double newValue)
```
    Specified by:
    
    withParameter in interface ParameterizedData
  - withPerturbation
```
public SmileDeltaParameters withPerturbation(ParameterPerturbation perturbation)
```
    Specified by:
    
    withPerturbation in interface ParameterizedData
  - strike
```
public DoubleArray strike(double forward)
```
    Calculates the strikes in ascending order.
    The result has twice the number of values plus one as the delta/volatility. The put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
    
    Parameters:
    
    forward - the forward
    
    Returns:
    
    the strikes
  - impliedStrikesDerivativeToExpiry
```
public DoubleArray impliedStrikesDerivativeToExpiry(double forward)
```
    Calculates the derivatives of the implied strikes to expiry.
    
    Parameters:
    
    forward - the forward
    
    Returns:
    
    the strikes
  - impliedStrikesDerivativeToSmileVols
```
public DoubleArray impliedStrikesDerivativeToSmileVols(double forward)
```
    Calculates the derivatives of the implied strikes to volatility.
    
    Parameters:
    
    forward - the forward
    
    Returns:
    
    the strikes
  - getExpiryTenor
```
public Optional<Tenor> getExpiryTenor()
```
    Gets the tenor associated with the time to expiry, optional.
    
    Returns:
    
    the optional value of the property, not null
  - meta
```
public static SmileDeltaParameters.Meta meta()
```
    The meta-bean for SmileDeltaParameters.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public SmileDeltaParameters.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getExpiry
```
public double getExpiry()
```
    Gets the time to expiry associated with the data.
    
    Returns:
    
    the value of the property
  - getDelta
```
public DoubleArray getDelta()
```
    Gets the delta of the different data points. Must be positive and sorted in ascending order. The put will have as delta the opposite of the numbers. The array is typically [0.1, 0.25]. The at-the-money value of 0.5 is not included.
    
    Returns:
    
    the value of the property
  - getVolatility
```
public DoubleArray getVolatility()
```
    Gets the volatilities associated with the strikes. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
    
    Returns:
    
    the value of the property
  - getParameterMetadata
```
public ImmutableList<ParameterMetadata> getParameterMetadata()
```
    Gets the associated metadata. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
    
    Returns:
    
    the value of the property
  - 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 SmileDeltaParameters

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

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

getParameterCount

getParameter

getParameterMetadata

withParameter

withPerturbation

strike

impliedStrikesDerivativeToExpiry

impliedStrikesDerivativeToSmileVols

getExpiryTenor

meta

metaBean

getExpiry

getDelta

getVolatility

getParameterMetadata

equals

hashCode

toString