com.opengamma.strata.pricer.impl.volatility.smile

Class SsviFormulaData

java.lang.Object

com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData

All Implemented Interfaces:

SmileModelData, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class SsviFormulaData
extends Object
implements SmileModelData, org.joda.beans.ImmutableBean, Serializable

The data bundle for SSVI smile formula.

The bundle contains the SSVI model parameters, ATM volatility, rho and eta.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
double	getEta() Gets the eta parameters.
int	getNumberOfParameters() Obtains the number of model parameters.
double	getParameter(int index) Obtains a model parameter specified by the index.
DoubleArray	getParameters() Gets the model parameters.
double	getRho() Gets the rho parameter.
double	getSigma() Gets the sigma parameter.
int	hashCode()
boolean	isAllowed(int index, double value) Checks the value satisfies the constraint for a model parameter.
static org.joda.beans.TypedMetaBean<SsviFormulaData>	meta() The meta-bean for SsviFormulaData.
org.joda.beans.TypedMetaBean<SsviFormulaData>	metaBean()
static SsviFormulaData	of(double[] parameters) Obtains an instance of the SSVI formula data.
static SsviFormulaData	of(double sigma, double rho, double eta) Obtains an instance of the SSVI formula data.
String	toString()
SsviFormulaData	with(int index, double value) Creates a new smile model data bundle with a model parameter replaced.
SsviFormulaData	withEta(double eta) Returns a copy of this instance with eta replaced.
SsviFormulaData	withRho(double rho) Returns a copy of this instance with rho replaced.
SsviFormulaData	withSigma(double sigma) Returns a copy of this instance with sigma replaced.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static SsviFormulaData of(double sigma,
                                 double rho,
                                 double eta)

Obtains an instance of the SSVI formula data.

Parameters:

sigma - the sigma parameter, ATM volatility

rho - the rho parameter

eta - the eta parameter

Returns:

the instance

of

public static SsviFormulaData of(double[] parameters)

Obtains an instance of the SSVI formula data.

The parameters in the input array should be in the order of sigma (ATM volatility), rho and eta.

Parameters:

parameters - the parameters

Returns:

the instance

getSigma

public double getSigma()

Gets the sigma parameter.

Returns:

the sigma parameter

getRho

public double getRho()

Gets the rho parameter.

Returns:

the rho parameter

getEta

public double getEta()

Gets the eta parameters.

Returns:

the eta parameter

withSigma

public SsviFormulaData withSigma(double sigma)

Returns a copy of this instance with sigma replaced.

Parameters:

sigma - the new sigma

Returns:

the new data instance

withRho

public SsviFormulaData withRho(double rho)

Returns a copy of this instance with rho replaced.

Parameters:

rho - the new rho

Returns:

the new data instance

withEta

public SsviFormulaData withEta(double eta)

Returns a copy of this instance with eta replaced.

Parameters:

eta - the new eta

Returns:

the new data instance

getNumberOfParameters

public int getNumberOfParameters()

Description copied from interface: SmileModelData

Obtains the number of model parameters.

Specified by:

getNumberOfParameters in interface SmileModelData

Returns:

the number of model parameters

getParameter

public double getParameter(int index)

Description copied from interface: SmileModelData

Obtains a model parameter specified by the index.

Specified by:

getParameter in interface SmileModelData

Parameters:

index - the index

Returns:

the model parameter

isAllowed

public boolean isAllowed(int index,
                         double value)

Description copied from interface: SmileModelData

Checks the value satisfies the constraint for a model parameter.

The parameter is specified by index.

Specified by:

isAllowed in interface SmileModelData

Parameters:

index - the index

value - the value

Returns:

true if allowed, false otherwise

with

public SsviFormulaData with(int index,
                            double value)

Description copied from interface: SmileModelData

Creates a new smile model data bundle with a model parameter replaced.

The parameter is specified by index and replaced by value.

Specified by:

with in interface SmileModelData

Parameters:

index - the index

value - the value

Returns:

the new bundle

meta

public static org.joda.beans.TypedMetaBean<SsviFormulaData> meta()

The meta-bean for SsviFormulaData.

Returns:

the meta-bean, not null

metaBean

public org.joda.beans.TypedMetaBean<SsviFormulaData> metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getParameters

public DoubleArray getParameters()

Gets the model parameters.

This must be an array of length 3. The parameters in the array are in the order of sigma (ATM volatility), rho and eta. The constraints for the parameters are defined in isAllowed(int, double).

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