com.opengamma.strata.pricer.fxopt

Interface SmileDeltaTermStructure

All Superinterfaces:

ParameterizedData

All Known Implementing Classes:

InterpolatedStrikeSmileDeltaTermStructure

public interface SmileDeltaTermStructure
extends ParameterizedData

A term structure of smile 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.

The volatility and its sensitivities to data points are represented as a function of time, strike and forward.

Method Summary

Modifier and Type	Method and Description
DayCount	getDayCount() Gets the day count convention used for the expiry.
default DoubleArray	getDelta() Gets delta values.
default DoubleArray	getDeltaFull() Computes full delta for all strikes including put delta absolute value.
DoubleArray	getExpiries() Gets the expiries associated with the volatility term.
default List<Optional<Tenor>>	getExpiryTenors() Gets the tenor associated with each expiry in the volatility term.
default int	getSmileCount() Gets the number of smiles.
default int	getStrikeCount() Gets the number of strikes.
ImmutableList<SmileDeltaParameters>	getVolatilityTerm() Gets the volatility smiles from delta.
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.
double	volatility(double expiry, double strike, double forward) Calculates the volatility at a given time/strike/forward from the term structure.
VolatilityAndBucketedSensitivities	volatilityAndSensitivities(double expiry, double strike, double forward) Calculates the volatility and the volatility sensitivity with respect to the volatility data points.
SmileDeltaTermStructure	withParameter(int parameterIndex, double newValue)
SmileDeltaTermStructure	withPerturbation(ParameterPerturbation perturbation)

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

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getDayCount

DayCount getDayCount()

Gets the day count convention used for the expiry.

Returns:

the day count

getSmileCount

default int getSmileCount()

Gets the number of smiles.

Returns:

the number of smiles

getStrikeCount

default int getStrikeCount()

Gets the number of strikes.

Returns:

the number of strikes

getDelta

default DoubleArray getDelta()

Gets delta values.

Returns:

the delta values

getVolatilityTerm

ImmutableList<SmileDeltaParameters> getVolatilityTerm()

Gets the volatility smiles from delta.

Returns:

the volatility smiles

getExpiries

DoubleArray getExpiries()

Gets the expiries associated with the volatility term.

Returns:

the set of expiry

getExpiryTenors

default List<Optional<Tenor>> getExpiryTenors()

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

Returns:

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

getDeltaFull

default DoubleArray getDeltaFull()

Computes full delta for all strikes including put delta absolute value.

The ATM is 0.50 delta and the x call are transformed in 1-x put.

Returns:

the delta

volatility

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

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

Parameters:

expiry - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

volatilityAndSensitivities

VolatilityAndBucketedSensitivities volatilityAndSensitivities(double expiry,
                                                              double strike,
                                                              double forward)

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

Parameters:

expiry - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

partialFirstDerivatives

ValueDerivatives partialFirstDerivatives(double expiry,
                                         double strike,
                                         double forward)

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

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

Throws:

RuntimeException - if the derivative cannot be calculated

smileForExpiry

SmileDeltaParameters smileForExpiry(double expiry)

Calculates the smile at a given time.

Parameters:

expiry - the time to expiry

Returns:

the smile

smileAndSensitivitiesForExpiry

SmileAndBucketedSensitivities smileAndSensitivitiesForExpiry(double expiry,
                                                             DoubleArray volatilityAtTimeSensitivity)

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

Parameters:

expiry - the time to expiry

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

Returns:

the smile and sensitivities

withParameter

SmileDeltaTermStructure withParameter(int parameterIndex,
                                      double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

SmileDeltaTermStructure withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData