com.opengamma.strata.pricer.model

Class SabrParameters

java.lang.Object

com.opengamma.strata.pricer.model.SabrParameters

All Implemented Interfaces:

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

public final class SabrParameters
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 Curve defined by expiry.

The implementation allows for shifted SABR model. The shift parameter is also Curve defined by expiry.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method and Description
double	alpha(double expiry) Calculates the alpha parameter for time to expiry.
double	beta(double expiry) Calculates the beta parameter for time to expiry.
boolean	equals(Object obj)
Curve	getAlphaCurve() Gets the alpha (volatility level) curve.
Curve	getBetaCurve() Gets the beta (elasticity) curve.
DayCount	getDayCount() Gets the day count used to calculate the expiry year fraction.
Curve	getNuCurve() Gets the nu (volatility of volatility) curve.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
Curve	getRhoCurve() Gets the rho (correlation) curve.
SabrVolatilityFormula	getSabrVolatilityFormula() Gets the SABR volatility formula.
Curve	getShiftCurve() Gets the shift parameter of shifted SABR model.
int	hashCode()
static org.joda.beans.TypedMetaBean<SabrParameters>	meta() The meta-bean for SabrParameters.
org.joda.beans.TypedMetaBean<SabrParameters>	metaBean()
double	nu(double expiry) Calculates the nu parameter for time to expiry.
static SabrParameters	of(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, Curve shiftCurve, SabrVolatilityFormula sabrFormula) Obtains an instance with shift from nodal curves and volatility function provider.
static SabrParameters	of(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, SabrVolatilityFormula sabrFormula) Obtains an instance without shift from nodal curves and volatility function provider.
double	rho(double expiry) Calculates the rho parameter for time to expiry.
double	shift(double expiry) Calculates the shift parameter for time to expiry.
String	toString()
double	volatility(double expiry, double strike, double forward) Calculates the volatility for given expiry, strike and forward rate.
ValueDerivatives	volatilityAdjoint(double expiry, double strike, double forward) Calculates the volatility and associated sensitivities.
SabrParameters	withParameter(int parameterIndex, double newValue)
SabrParameters	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 SabrParameters of(Curve alphaCurve,
                                Curve betaCurve,
                                Curve rhoCurve,
                                Curve nuCurve,
                                SabrVolatilityFormula sabrFormula)

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

Each curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curves must contain the correct metadata:

• The x-value type must be ValueType.YEAR_FRACTION
• The y-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 curve using CurveInfoType.DAY_COUNT, if present on other curves it must match that on the Alpha

Suitable curve metadata can be created using Curves.sabrParameterByExpiry(String, DayCount, ValueType).

Parameters:

alphaCurve - the alpha curve

betaCurve - the beta curve

rhoCurve - the rho curve

nuCurve - the nu curve

sabrFormula - the SABR formula

Returns:

SabrParameters

of

public static SabrParameters of(Curve alphaCurve,
                                Curve betaCurve,
                                Curve rhoCurve,
                                Curve nuCurve,
                                Curve shiftCurve,
                                SabrVolatilityFormula sabrFormula)

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

Each curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curves 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 curve using CurveInfoType.DAY_COUNT, if present on other curves it must match that on the alpha

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

Suitable curve metadata can be created using Curves.sabrParameterByExpiry(String, DayCount, ValueType).

Parameters:

alphaCurve - the alpha curve

betaCurve - the beta curve

rhoCurve - the rho curve

nuCurve - the nu curve

shiftCurve - the shift curve

sabrFormula - the SABR formula

Returns:

SabrParameters

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 SabrParameters withParameter(int parameterIndex,
                                    double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

public SabrParameters withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

alpha

public double alpha(double expiry)

Calculates the alpha parameter for time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the alpha parameter

beta

public double beta(double expiry)

Calculates the beta parameter for time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the beta parameter

rho

public double rho(double expiry)

Calculates the rho parameter for time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the rho parameter

nu

public double nu(double expiry)

Calculates the nu parameter for time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the nu parameter

shift

public double shift(double expiry)

Calculates the shift parameter for time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the shift parameter

volatility

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

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

Parameters:

expiry - the time to expiry as a year fraction

strike - the strike

forward - the forward

Returns:

the volatility

volatilityAdjoint

public ValueDerivatives volatilityAdjoint(double expiry,
                                          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

strike - the strike

forward - the forward

Returns:

the volatility and associated derivatives

meta

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

The meta-bean for SabrParameters.

Returns:

the meta-bean, not null

metaBean

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

Specified by:

metaBean in interface org.joda.beans.Bean

getAlphaCurve

public Curve getAlphaCurve()

Gets the alpha (volatility level) curve.

The x value of the curve is the expiry.

Returns:

the value of the property, not null

getBetaCurve

public Curve getBetaCurve()

Gets the beta (elasticity) curve.

The x value of the curve is the expiry.

Returns:

the value of the property, not null

getRhoCurve

public Curve getRhoCurve()

Gets the rho (correlation) curve.

The x value of the curve is the expiry.

Returns:

the value of the property, not null

getNuCurve

public Curve getNuCurve()

Gets the nu (volatility of volatility) curve.

The x value of the curve is the expiry.

Returns:

the value of the property, not null

getShiftCurve

public Curve getShiftCurve()

Gets the shift parameter of shifted SABR model.

The x value of the curve is the expiry. 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