com.opengamma.strata.pricer.model

Class SabrInterestRateParameters

java.lang.Object

com.opengamma.strata.pricer.model.SabrInterestRateParameters

All Implemented Interfaces:

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

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

The volatility surface description under SABR model.

This is used in interest rate modeling. Each SABR parameter is a Surface defined by expiry and tenor.

The implementation allows for shifted SABR model. The shift parameter is also Surface defined by expiry and tenor.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method and Description
double	alpha(double expiry, double tenor) Calculates the alpha parameter for a pair of time to expiry and instrument tenor.
double	beta(double expiry, double tenor) Calculates the beta parameter for a pair of time to expiry and instrument tenor.
boolean	equals(Object obj)
Surface	getAlphaSurface() Gets the alpha (volatility level) surface.
Surface	getBetaSurface() Gets the beta (elasticity) surface.
DayCount	getDayCount() Gets the day count used to calculate the expiry year fraction.
Surface	getNuSurface() Gets the nu (volatility of volatility) surface.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
Surface	getRhoSurface() Gets the rho (correlation) surface.
SabrVolatilityFormula	getSabrVolatilityFormula() Gets the SABR volatility formula.
Surface	getShiftSurface() Gets the shift parameter of shifted SABR model.
int	hashCode()
static org.joda.beans.TypedMetaBean<SabrInterestRateParameters>	meta() The meta-bean for SabrInterestRateParameters.
org.joda.beans.TypedMetaBean<SabrInterestRateParameters>	metaBean()
double	nu(double expiry, double tenor) Calculates the nu parameter for a pair of time to expiry and instrument tenor.
static SabrInterestRateParameters	of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, SabrVolatilityFormula sabrFormula) Obtains an instance without shift from nodal surfaces and volatility function provider.
static SabrInterestRateParameters	of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, Surface shiftSurface, SabrVolatilityFormula sabrFormula) Obtains an instance with shift from nodal surfaces and volatility function provider.
double	rho(double expiry, double tenor) Calculates the rho parameter for a pair of time to expiry and instrument tenor.
double	shift(double expiry, double tenor) Calculates the shift parameter for a pair of time to expiry and instrument tenor.
String	toString()
double	volatility(double expiry, double tenor, double strike, double forward) Calculates the volatility for given expiry, tenor, strike and forward rate.
ValueDerivatives	volatilityAdjoint(double expiry, double tenor, double strike, double forward) Calculates the volatility and associated sensitivities.
SabrInterestRateParameters	withParameter(int parameterIndex, double newValue)
SabrInterestRateParameters	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.market.param.ParameterizedData

findParameterIndex

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static SabrInterestRateParameters of(Surface alphaSurface,
                                            Surface betaSurface,
                                            Surface rhoSurface,
                                            Surface nuSurface,
                                            SabrVolatilityFormula sabrFormula)

Obtains an instance without shift from nodal surfaces and volatility function provider.

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

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.YEAR_FRACTION
• The z-value type must be ValueType.SABR_ALPHA, ValueType.SABR_BETA, ValueType.SABR_RHO or ValueType.SABR_NU
• The day count must be set in the additional information of the Alpha surface using SurfaceInfoType.DAY_COUNT, if present on other surfaces it must match that on the Alpha

Suitable surface metadata can be created using Surfaces.sabrParameterByExpiryTenor(String, DayCount, ValueType).

Parameters:

alphaSurface - the alpha surface

betaSurface - the beta surface

rhoSurface - the rho surface

nuSurface - the nu surface

sabrFormula - the SABR formula

Returns:

SabrInterestRateParameters

of

public static SabrInterestRateParameters of(Surface alphaSurface,
                                            Surface betaSurface,
                                            Surface rhoSurface,
                                            Surface nuSurface,
                                            Surface shiftSurface,
                                            SabrVolatilityFormula sabrFormula)

Obtains an instance with shift from nodal surfaces and volatility function provider.

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

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.YEAR_FRACTION
• The z-value type must be ValueType.SABR_ALPHA, ValueType.SABR_BETA, ValueType.SABR_RHO or ValueType.SABR_NU as appropriate
• The day count must be set in the additional information of the alpha surface using SurfaceInfoType.DAY_COUNT, if present on other surfaces it must match that on the alpha

The shift surface does not have to contain any metadata. If it does, the day count and convention must match that on the alpha surface.

Suitable surface metadata can be created using Surfaces.sabrParameterByExpiryTenor(String, DayCount, ValueType).

Parameters:

alphaSurface - the alpha surface

betaSurface - the beta surface

rhoSurface - the rho surface

nuSurface - the nu surface

shiftSurface - the shift surface

sabrFormula - the SABR formula

Returns:

SabrInterestRateParameters

getDayCount

public DayCount getDayCount()

Gets the day count used to calculate the expiry year fraction.

Returns:

the day count

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

withParameter

public SabrInterestRateParameters withParameter(int parameterIndex,
                                                double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

public SabrInterestRateParameters withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

alpha

public double alpha(double expiry,
                    double tenor)

Calculates the alpha parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the alpha parameter

beta

public double beta(double expiry,
                   double tenor)

Calculates the beta parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the beta parameter

rho

public double rho(double expiry,
                  double tenor)

Calculates the rho parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the rho parameter

nu

public double nu(double expiry,
                 double tenor)

Calculates the nu parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the nu parameter

shift

public double shift(double expiry,
                    double tenor)

Calculates the shift parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the shift parameter

volatility

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

Calculates the volatility for given expiry, tenor, strike and forward rate.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor as a year fraction

strike - the strike

forward - the forward

Returns:

the volatility

volatilityAdjoint

public ValueDerivatives volatilityAdjoint(double expiry,
                                          double tenor,
                                          double strike,
                                          double forward)

Calculates the volatility and associated sensitivities.

The derivatives are stored in an array with:

• [0] derivative with respect to the forward
• [1] derivative with respect to the forward strike
• [2] derivative with respect to the alpha
• [3] derivative with respect to the beta
• [4] derivative with respect to the rho
• [5] derivative with respect to the nu

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

strike - the strike

forward - the forward

Returns:

the volatility and associated derivatives

meta

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

The meta-bean for SabrInterestRateParameters.

Returns:

the meta-bean, not null

metaBean

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

Specified by:

metaBean in interface org.joda.beans.Bean

getAlphaSurface

public Surface getAlphaSurface()

Gets the alpha (volatility level) surface.

The first dimension is the expiry and the second the tenor.

Returns:

the value of the property, not null

getBetaSurface

public Surface getBetaSurface()

Gets the beta (elasticity) surface.

The first dimension is the expiry and the second the tenor.

Returns:

the value of the property, not null

getRhoSurface

public Surface getRhoSurface()

Gets the rho (correlation) surface.

The first dimension is the expiry and the second the tenor.

Returns:

the value of the property, not null

getNuSurface

public Surface getNuSurface()

Gets the nu (volatility of volatility) surface.

The first dimension is the expiry and the second the tenor.

Returns:

the value of the property, not null

getShiftSurface

public Surface getShiftSurface()

Gets the shift parameter of shifted SABR model.

The first dimension is the expiry and the second the tenor. The shift is set to be 0 unless specified.

Returns:

the value of the property, not null

getSabrVolatilityFormula

public SabrVolatilityFormula getSabrVolatilityFormula()

Gets the SABR volatility formula.

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