com.opengamma.strata.pricer.model

Class HullWhiteOneFactorPiecewiseConstantParameters

java.lang.Object

com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters

All Implemented Interfaces:

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

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

Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
double	getLastVolatility() Gets the last volatility of the volatility parameters.
double	getMeanReversion() Gets the mean reversion speed parameter.
DoubleArray	getVolatility() Gets the volatility parameters.
DoubleArray	getVolatilityTime() Gets the times separating the constant volatility periods.
int	hashCode()
static org.joda.beans.TypedMetaBean<HullWhiteOneFactorPiecewiseConstantParameters>	meta() The meta-bean for HullWhiteOneFactorPiecewiseConstantParameters.
org.joda.beans.TypedMetaBean<HullWhiteOneFactorPiecewiseConstantParameters>	metaBean()
static HullWhiteOneFactorPiecewiseConstantParameters	of(double meanReversion, DoubleArray volatility, DoubleArray volatilityTime) Obtains an instance from the model parameters.
String	toString()
HullWhiteOneFactorPiecewiseConstantParameters	withLastVolatility(double volatility) Returns a copy with the last volatility of the volatility parameters changed.
HullWhiteOneFactorPiecewiseConstantParameters	withVolatility(DoubleArray volatility) Returns a copy with the volatility parameters changed.
HullWhiteOneFactorPiecewiseConstantParameters	withVolatilityAdded(double volatility, double volatilityTime) Returns a copy with an extra volatility and volatility time added at the end of the respective arrays.

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 HullWhiteOneFactorPiecewiseConstantParameters of(double meanReversion,
                                                               DoubleArray volatility,
                                                               DoubleArray volatilityTime)

Obtains an instance from the model parameters.

volatilityTime should be sorted in increasing order. The first time (0) and the last time (1000) will be added within this method. Thus the size of volatility should be greater than that of volatilityTime by one.

Parameters:

meanReversion - the mean reversion speed (a) parameter

volatility - the volatility parameters

volatilityTime - the times separating the constant volatility periods

Returns:

the instance

withVolatility

public HullWhiteOneFactorPiecewiseConstantParameters withVolatility(DoubleArray volatility)

Returns a copy with the volatility parameters changed.

Parameters:

volatility - the new volatility parameters

Returns:

the new instance

getLastVolatility

public double getLastVolatility()

Gets the last volatility of the volatility parameters.

Returns:

the last volatility

withLastVolatility

public HullWhiteOneFactorPiecewiseConstantParameters withLastVolatility(double volatility)

Returns a copy with the last volatility of the volatility parameters changed.

Parameters:

volatility - the new volatility

Returns:

the new instance

withVolatilityAdded

public HullWhiteOneFactorPiecewiseConstantParameters withVolatilityAdded(double volatility,
                                                                         double volatilityTime)

Returns a copy with an extra volatility and volatility time added at the end of the respective arrays.

Parameters:

volatility - the volatility

volatilityTime - the times separating the constant volatility periods. Must be larger than the previous one

Returns:

the new instance

meta

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

The meta-bean for HullWhiteOneFactorPiecewiseConstantParameters.

Returns:

the meta-bean, not null

metaBean

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

Specified by:

metaBean in interface org.joda.beans.Bean

getMeanReversion

public double getMeanReversion()

Gets the mean reversion speed parameter.

Returns:

the value of the property, not null

getVolatility

public DoubleArray getVolatility()

Gets the volatility parameters.

The volatility is constant between the volatility times, i.e., volatility value at t is volatility.get(i) for any t between volatilityTime.get(i) and volatilityTime.get(i+1).

Returns:

the value of the property, not null

getVolatilityTime

public DoubleArray getVolatilityTime()

Gets the times separating the constant volatility periods.

The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity). These extra times are added in of(double, DoubleArray, DoubleArray).

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