com.opengamma.strata.pricer.index

Class NormalIborFutureOptionExpirySimpleMoneynessVolatilities

java.lang.Object

com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, IborFutureOptionVolatilities, NormalIborFutureOptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class NormalIborFutureOptionExpirySimpleMoneynessVolatilities
extends Object
implements NormalIborFutureOptionVolatilities, org.joda.beans.ImmutableBean, Serializable

Data provider of volatility for Ibor future options in the normal or Bachelier model.

The volatility is represented by a surface on the expiry and simple moneyness. The expiry is measured in number of days (not time) according to a day-count convention. The simple moneyness can be on the price or on the rate (1-price).

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder The bean-builder for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
static class	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.

Method Summary

Modifier and Type	Method and Description
static NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
IborIndex	getIndex() Gets the index of the underlying future.
IborFutureOptionVolatilitiesName	getName() Gets the name of these volatilities.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
Surface	getSurface() Gets the normal volatility surface.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta	meta() The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta	metaBean()
static NormalIborFutureOptionExpirySimpleMoneynessVolatilities	of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface) Obtains an instance from the volatility surface and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
double	relativeTime(ZonedDateTime zonedDateTime) Converts a time and date to a relative year fraction.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(double expiry, LocalDate fixingDate, double strikePrice, double futurePrice) Calculates the volatility at the specified expiry.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities	withParameter(int parameterIndex, double newValue)
NormalIborFutureOptionExpirySimpleMoneynessVolatilities	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.index.NormalIborFutureOptionVolatilities

getVolatilityType

Methods inherited from interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static NormalIborFutureOptionExpirySimpleMoneynessVolatilities of(IborIndex index,
                                                                         ZonedDateTime valuationDateTime,
                                                                         Surface surface)

Obtains an instance from the volatility surface and the date-time for which it is valid.

The surface is specified by an instance of Surface, such as InterpolatedNodalSurface. The surface must contain the correct metadata:

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.SIMPLE_MONEYNESS
• The z-value type must be ValueType.NORMAL_VOLATILITY
• The day count must be set in the additional information using SurfaceInfoType.DAY_COUNT

Suitable surface metadata can be created using Surfaces.normalVolatilityByExpirySimpleMoneyness(String, DayCount, MoneynessType).

Parameters:

index - the Ibor index

surface - the implied volatility surface

valuationDateTime - the valuation date-time

Returns:

the volatilities

getName

public IborFutureOptionVolatilitiesName getName()

Description copied from interface: IborFutureOptionVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface IborFutureOptionVolatilities

Returns:

the name

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Specified by:

findData in interface MarketDataView

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

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public NormalIborFutureOptionExpirySimpleMoneynessVolatilities withParameter(int parameterIndex,
                                                                             double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface IborFutureOptionVolatilities

Specified by:

withParameter in interface NormalIborFutureOptionVolatilities

withPerturbation

public NormalIborFutureOptionExpirySimpleMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface IborFutureOptionVolatilities

Specified by:

withPerturbation in interface NormalIborFutureOptionVolatilities

volatility

public double volatility(double expiry,
                         LocalDate fixingDate,
                         double strikePrice,
                         double futurePrice)

Description copied from interface: IborFutureOptionVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by IborFutureOptionVolatilities.relativeTime(ZonedDateTime).

Specified by:

volatility in interface IborFutureOptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

fixingDate - the underlying future fixing date

strikePrice - the option strike price

futurePrice - the price of the underlying future

Returns:

the volatility

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: IborFutureOptionVolatilities

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Specified by:

parameterSensitivity in interface IborFutureOptionVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

public double relativeTime(ZonedDateTime zonedDateTime)

Description copied from interface: IborFutureOptionVolatilities

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Specified by:

relativeTime in interface IborFutureOptionVolatilities

Parameters:

zonedDateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction

meta

public static NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta meta()

The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.

Returns:

the meta-bean, not null

builder

public static NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public IborIndex getIndex()

Gets the index of the underlying future.

Specified by:

getIndex in interface IborFutureOptionVolatilities

Returns:

the value of the property, not null

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Specified by:

getValuationDateTime in interface IborFutureOptionVolatilities

Returns:

the value of the property, not null

getSurface

public Surface getSurface()

Gets the normal volatility surface.

The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness.

Returns:

the value of the property, not null

toBuilder

public NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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