com.opengamma.strata.pricer.swaption

Class SabrParametersSwaptionVolatilities

java.lang.Object

com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackSabrSwaptionVolatilities, SabrSwaptionVolatilities, SwaptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

Volatility environment for swaptions in the SABR model.

The volatility is represented in terms of SABR model parameters.

The parameterSensitivity(), priceGamma() and priceTheta() methods are not implemented.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	SabrParametersSwaptionVolatilities.Builder The bean-builder for SabrParametersSwaptionVolatilities.
static class	SabrParametersSwaptionVolatilities.Meta The meta-bean for SabrParametersSwaptionVolatilities.

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.
static SabrParametersSwaptionVolatilities.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
FixedFloatSwapConvention	getConvention() Gets the swap convention that the volatilities are to be used for.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityAlpha() Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityBeta() Gets the sensitivity of the Beta parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityNu() Gets the sensitivity of the Nu parameters to the raw data used for calibration.
Optional<ImmutableList<DoubleArray>>	getDataSensitivityRho() Gets the sensitivity of the Rho parameters to the raw data used for calibration.
DayCount	getDayCount() Gets the day count used to calculate the expiry year fraction.
SwaptionVolatilitiesName	getName() Gets the name.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
SabrInterestRateParameters	getParameters() Gets the SABR model parameters.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static SabrParametersSwaptionVolatilities.Meta	meta() The meta-bean for SabrParametersSwaptionVolatilities.
SabrParametersSwaptionVolatilities.Meta	metaBean()
double	nu(double expiry, double tenor) Calculates the nu parameter for a pair of time to expiry and instrument tenor.
static SabrParametersSwaptionVolatilities	of(SwaptionVolatilitiesName name, FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, SabrInterestRateParameters parameters) Obtains an instance from the SABR model parameters and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
double	price(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) Calculates the price.
double	priceDelta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) Calculates the price delta.
double	priceGamma(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) Calculates the price gamma.
double	priceTheta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) Calculates the price theta.
double	priceVega(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) Calculates the price vega.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
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 the specified time to expiry and instrument tenor.
double	tenor(LocalDate startDate, LocalDate endDate) Calculates the tenor of the swap based on its start date and end date.
SabrParametersSwaptionVolatilities.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(double expiry, double tenor, double strike, double forwardRate) Calculates the volatility at the specified expiry.
ValueDerivatives	volatilityAdjoint(double expiry, double tenor, double strike, double forward) Calculates the volatility and associated sensitivities.
SabrParametersSwaptionVolatilities	withParameter(int parameterIndex, double newValue)
SabrParametersSwaptionVolatilities	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.swaption.BlackSabrSwaptionVolatilities

getVolatilityType

Methods inherited from interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities

convertSwaptionSensitivity

Methods inherited from interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities

getValuationDate, parameterSensitivity, volatility

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 SabrParametersSwaptionVolatilities of(SwaptionVolatilitiesName name,
                                                    FixedFloatSwapConvention convention,
                                                    ZonedDateTime valuationDateTime,
                                                    SabrInterestRateParameters parameters)

Obtains an instance from the SABR model parameters and the date-time for which it is valid.

Parameters:

name - the name

convention - the swap convention that the volatilities are to be used for

valuationDateTime - the valuation date-time

parameters - the SABR model parameters

Returns:

the volatilities

getDayCount

public DayCount getDayCount()

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

Returns:

the day count

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

withParameter

public SabrParametersSwaptionVolatilities withParameter(int parameterIndex,
                                                        double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface SabrSwaptionVolatilities

Specified by:

withParameter in interface SwaptionVolatilities

withPerturbation

public SabrParametersSwaptionVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface SabrSwaptionVolatilities

Specified by:

withPerturbation in interface SwaptionVolatilities

volatility

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

Description copied from interface: SwaptionVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate).

Specified by:

volatility in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

strike - the option strike rate

forwardRate - the forward rate of the underlying swap

Returns:

the volatility

volatilityAdjoint

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

Description copied from interface: SabrSwaptionVolatilities

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

Specified by:

volatilityAdjoint in interface SabrSwaptionVolatilities

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 sensitivities

alpha

public double alpha(double expiry,
                    double tenor)

Description copied from interface: SabrSwaptionVolatilities

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

Specified by:

alpha in interface SabrSwaptionVolatilities

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)

Description copied from interface: SabrSwaptionVolatilities

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

Specified by:

beta in interface SabrSwaptionVolatilities

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)

Description copied from interface: SabrSwaptionVolatilities

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

Specified by:

rho in interface SabrSwaptionVolatilities

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)

Description copied from interface: SabrSwaptionVolatilities

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

Specified by:

nu in interface SabrSwaptionVolatilities

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)

Description copied from interface: SabrSwaptionVolatilities

Calculates the shift parameter for the specified time to expiry and instrument tenor.

Specified by:

shift in interface SabrSwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the shift parameter

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: SwaptionVolatilities

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 SwaptionVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

price

public double price(double expiry,
                    double tenor,
                    PutCall putCall,
                    double strike,
                    double forward,
                    double volatility)

Description copied from interface: SwaptionVolatilities

Calculates the price.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate). This relies on volatility supplied by SwaptionVolatilities.volatility(double, double, double, double).

Specified by:

price in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate of the underlying swap

volatility - the volatility

Returns:

the price

priceDelta

public double priceDelta(double expiry,
                         double tenor,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: SwaptionVolatilities

Calculates the price delta.

This is the forward driftless delta.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate). This relies on volatility supplied by SwaptionVolatilities.volatility(double, double, double, double).

Specified by:

priceDelta in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate of the underlying swap

volatility - the volatility

Returns:

the delta

priceGamma

public double priceGamma(double expiry,
                         double tenor,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: SwaptionVolatilities

Calculates the price gamma.

This is the second order sensitivity of the forward option value to the forward.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate). This relies on volatility supplied by SwaptionVolatilities.volatility(double, double, double, double).

Specified by:

priceGamma in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate of the underlying swap

volatility - the volatility

Returns:

the gamma

priceTheta

public double priceTheta(double expiry,
                         double tenor,
                         PutCall putCall,
                         double strike,
                         double forward,
                         double volatility)

Description copied from interface: SwaptionVolatilities

Calculates the price theta.

This is the driftless sensitivity of the present value to a change in time to maturity.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate). This relies on volatility supplied by SwaptionVolatilities.volatility(double, double, double, double).

Specified by:

priceTheta in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate of the underlying swap

volatility - the volatility

Returns:

the theta

priceVega

public double priceVega(double expiry,
                        double tenor,
                        PutCall putCall,
                        double strike,
                        double forward,
                        double volatility)

Description copied from interface: SwaptionVolatilities

Calculates the price vega.

This is the sensitivity of the option forward price to the implied volatility.

This relies on expiry supplied by SwaptionVolatilities.relativeTime(ZonedDateTime). This relies on tenor supplied by SwaptionVolatilities.tenor(LocalDate, LocalDate). This relies on volatility supplied by SwaptionVolatilities.volatility(double, double, double, double).

Specified by:

priceVega in interface SwaptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate of the underlying swap

volatility - the volatility

Returns:

the vega

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: SwaptionVolatilities

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 SwaptionVolatilities

Parameters:

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

Returns:

the relative year fraction

tenor

public double tenor(LocalDate startDate,
                    LocalDate endDate)

Description copied from interface: SwaptionVolatilities

Calculates the tenor of the swap based on its start date and end date.

Specified by:

tenor in interface SwaptionVolatilities

Parameters:

startDate - the start date

endDate - the end date

Returns:

the tenor

meta

public static SabrParametersSwaptionVolatilities.Meta meta()

The meta-bean for SabrParametersSwaptionVolatilities.

Returns:

the meta-bean, not null

builder

public static SabrParametersSwaptionVolatilities.Builder builder()

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

Returns:

the builder, not null

metaBean

public SabrParametersSwaptionVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public SwaptionVolatilitiesName getName()

Gets the name.

Specified by:

getName in interface SwaptionVolatilities

Returns:

the value of the property, not null

getConvention

public FixedFloatSwapConvention getConvention()

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

Specified by:

getConvention in interface SwaptionVolatilities

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 SwaptionVolatilities

Returns:

the value of the property, not null

getParameters

public SabrInterestRateParameters getParameters()

Gets 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.

Returns:

the value of the property, not null

getDataSensitivityAlpha

public Optional<ImmutableList<DoubleArray>> getDataSensitivityAlpha()

Gets 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.

Returns:

the optional value of the property, not null

getDataSensitivityBeta

public Optional<ImmutableList<DoubleArray>> getDataSensitivityBeta()

Gets 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.

Returns:

the optional value of the property, not null

getDataSensitivityRho

public Optional<ImmutableList<DoubleArray>> getDataSensitivityRho()

Gets 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.

Returns:

the optional value of the property, not null

getDataSensitivityNu

public Optional<ImmutableList<DoubleArray>> getDataSensitivityNu()

Gets 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.

Returns:

the optional value of the property, not null

toBuilder

public SabrParametersSwaptionVolatilities.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