com.opengamma.strata.pricer.swaption

Class SabrParametersSwaptionVolatilities.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrParametersSwaptionVolatilities>

com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<SabrParametersSwaptionVolatilities>

Enclosing class:

SabrParametersSwaptionVolatilities

public static final class SabrParametersSwaptionVolatilities.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrParametersSwaptionVolatilities>

The bean-builder for SabrParametersSwaptionVolatilities.

Method Summary

Modifier and Type	Method and Description
SabrParametersSwaptionVolatilities	build()
SabrParametersSwaptionVolatilities.Builder	convention(FixedFloatSwapConvention convention) Sets the swap convention that the volatilities are to be used for.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityAlpha(DoubleArray... dataSensitivityAlpha) Sets the dataSensitivityAlpha property in the builder from an array of objects.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityAlpha(List<DoubleArray> dataSensitivityAlpha) Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityBeta(DoubleArray... dataSensitivityBeta) Sets the dataSensitivityBeta property in the builder from an array of objects.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityBeta(List<DoubleArray> dataSensitivityBeta) Sets the sensitivity of the Beta parameters to the raw data used for calibration.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityNu(DoubleArray... dataSensitivityNu) Sets the dataSensitivityNu property in the builder from an array of objects.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityNu(List<DoubleArray> dataSensitivityNu) Sets the sensitivity of the Nu parameters to the raw data used for calibration.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityRho(DoubleArray... dataSensitivityRho) Sets the dataSensitivityRho property in the builder from an array of objects.
SabrParametersSwaptionVolatilities.Builder	dataSensitivityRho(List<DoubleArray> dataSensitivityRho) Sets the sensitivity of the Rho parameters to the raw data used for calibration.
Object	get(String propertyName)
SabrParametersSwaptionVolatilities.Builder	name(SwaptionVolatilitiesName name) Sets the name.
SabrParametersSwaptionVolatilities.Builder	parameters(SabrInterestRateParameters parameters) Sets the SABR model parameters.
SabrParametersSwaptionVolatilities.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
SabrParametersSwaptionVolatilities.Builder	set(String propertyName, Object newValue)
String	toString()
SabrParametersSwaptionVolatilities.Builder	valuationDateTime(ZonedDateTime valuationDateTime) Sets the valuation date-time.

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<SabrParametersSwaptionVolatilities>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrParametersSwaptionVolatilities>

set

public SabrParametersSwaptionVolatilities.Builder set(String propertyName,
                                                      Object newValue)

set

public SabrParametersSwaptionVolatilities.Builder set(org.joda.beans.MetaProperty<?> property,
                                                      Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<SabrParametersSwaptionVolatilities>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrParametersSwaptionVolatilities>

build

public SabrParametersSwaptionVolatilities build()

name

public SabrParametersSwaptionVolatilities.Builder name(SwaptionVolatilitiesName name)

Sets the name.

Parameters:

name - the new value, not null

Returns:

this, for chaining, not null

convention

public SabrParametersSwaptionVolatilities.Builder convention(FixedFloatSwapConvention convention)

Sets the swap convention that the volatilities are to be used for.

Parameters:

convention - the new value, not null

Returns:

this, for chaining, not null

valuationDateTime

public SabrParametersSwaptionVolatilities.Builder valuationDateTime(ZonedDateTime valuationDateTime)

Sets the valuation date-time.

The volatilities are calibrated for this date-time.

Parameters:

valuationDateTime - the new value, not null

Returns:

this, for chaining, not null

parameters

public SabrParametersSwaptionVolatilities.Builder parameters(SabrInterestRateParameters parameters)

Sets the SABR model parameters.

Each model parameter of SABR model is a surface. The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.

Parameters:

parameters - the new value, not null

Returns:

this, for chaining, not null

dataSensitivityAlpha

public SabrParametersSwaptionVolatilities.Builder dataSensitivityAlpha(List<DoubleArray> dataSensitivityAlpha)

Sets the sensitivity of the Alpha parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the surface parameter metadata.

Parameters:

dataSensitivityAlpha - the new value

Returns:

this, for chaining, not null

dataSensitivityAlpha

public SabrParametersSwaptionVolatilities.Builder dataSensitivityAlpha(DoubleArray... dataSensitivityAlpha)

Sets the dataSensitivityAlpha property in the builder from an array of objects.

Parameters:

dataSensitivityAlpha - the new value

Returns:

this, for chaining, not null

dataSensitivityBeta

public SabrParametersSwaptionVolatilities.Builder dataSensitivityBeta(List<DoubleArray> dataSensitivityBeta)

Sets the sensitivity of the Beta parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the surface parameter metadata.

Parameters:

dataSensitivityBeta - the new value

Returns:

this, for chaining, not null

dataSensitivityBeta

public SabrParametersSwaptionVolatilities.Builder dataSensitivityBeta(DoubleArray... dataSensitivityBeta)

Sets the dataSensitivityBeta property in the builder from an array of objects.

Parameters:

dataSensitivityBeta - the new value

Returns:

this, for chaining, not null

dataSensitivityRho

public SabrParametersSwaptionVolatilities.Builder dataSensitivityRho(List<DoubleArray> dataSensitivityRho)

Sets the sensitivity of the Rho parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the surface parameter metadata.

Parameters:

dataSensitivityRho - the new value

Returns:

this, for chaining, not null

dataSensitivityRho

public SabrParametersSwaptionVolatilities.Builder dataSensitivityRho(DoubleArray... dataSensitivityRho)

Sets the dataSensitivityRho property in the builder from an array of objects.

Parameters:

dataSensitivityRho - the new value

Returns:

this, for chaining, not null

dataSensitivityNu

public SabrParametersSwaptionVolatilities.Builder dataSensitivityNu(List<DoubleArray> dataSensitivityNu)

Sets the sensitivity of the Nu parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the surface parameter metadata.

Parameters:

dataSensitivityNu - the new value

Returns:

this, for chaining, not null

dataSensitivityNu

public SabrParametersSwaptionVolatilities.Builder dataSensitivityNu(DoubleArray... dataSensitivityNu)

Sets the dataSensitivityNu property in the builder from an array of objects.

Parameters:

dataSensitivityNu - the new value

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrParametersSwaptionVolatilities>