com.opengamma.strata.pricer.index

Class NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities

java.lang.Object

com.opengamma.strata.pricer.index.NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, NormalOvernightFutureOptionVolatilities, OvernightFutureOptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities
extends Object
implements NormalOvernightFutureOptionVolatilities, org.joda.beans.ImmutableBean, Serializable

Data provider of volatility for Overnight 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	NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Builder The bean-builder for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.
static class	NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta The meta-bean for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.

Method Summary

Modifier and Type	Method and Description
static NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.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)
OvernightIndex	getIndex() Gets the index of the underlying future.
OvernightFutureOptionVolatilitiesName	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 NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta	meta() The meta-bean for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta	metaBean()
static NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities	of(OvernightIndex 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.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.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.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities	withParameter(int parameterIndex, double newValue)
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities	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.NormalOvernightFutureOptionVolatilities

getVolatilityType

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

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities of(OvernightIndex 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 Overnight index

surface - the implied volatility surface

valuationDateTime - the valuation date-time

Returns:

the volatilities

getName

public OvernightFutureOptionVolatilitiesName getName()

Description copied from interface: OvernightFutureOptionVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface OvernightFutureOptionVolatilities

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 NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities withParameter(int parameterIndex,
                                                                                  double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface NormalOvernightFutureOptionVolatilities

Specified by:

withParameter in interface OvernightFutureOptionVolatilities

withPerturbation

public NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface NormalOvernightFutureOptionVolatilities

Specified by:

withPerturbation in interface OvernightFutureOptionVolatilities

volatility

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

Description copied from interface: OvernightFutureOptionVolatilities

Calculates the volatility at the specified expiry.

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

Specified by:

volatility in interface OvernightFutureOptionVolatilities

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: OvernightFutureOptionVolatilities

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 OvernightFutureOptionVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

public double relativeTime(ZonedDateTime zonedDateTime)

Description copied from interface: OvernightFutureOptionVolatilities

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 OvernightFutureOptionVolatilities

Parameters:

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

Returns:

the relative year fraction

meta

public static NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta meta()

The meta-bean for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.

Returns:

the meta-bean, not null

builder

public static NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Builder builder()

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

Returns:

the builder, not null

metaBean

public NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets the index of the underlying future.

Specified by:

getIndex in interface OvernightFutureOptionVolatilities

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 OvernightFutureOptionVolatilities

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 NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.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