com.opengamma.strata.pricer.swaption

Class SwaptionSabrSensitivity

java.lang.Object

com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class SwaptionSabrSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Sensitivity of a swaption to SABR model parameters.

Holds the sensitivity vales to grid points of the SABR parameters.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	SwaptionSabrSensitivity.Meta The meta-bean for SwaptionSabrSensitivity.

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
SwaptionSabrSensitivity	cloned()
int	compareKey(PointSensitivity other)
SwaptionSabrSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
double	getExpiry() Gets the time to expiry of the option as a year fraction.
double	getSensitivity() Gets the value of the sensitivity.
SabrParameterType	getSensitivityType() Gets the type of the sensitivity.
double	getTenor() Gets the underlying swap tenor.
SwaptionVolatilitiesName	getVolatilitiesName() Gets the name of the volatilities.
int	hashCode()
SwaptionSabrSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static SwaptionSabrSensitivity.Meta	meta() The meta-bean for SwaptionSabrSensitivity.
SwaptionSabrSensitivity.Meta	metaBean()
SwaptionSabrSensitivity	multipliedBy(double factor)
SwaptionSabrSensitivity	normalize()
static SwaptionSabrSensitivity	of(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, SabrParameterType sensitivityType, Currency sensitivityCurrency, double sensitivity) Obtains an instance from the specified elements.
String	toString()
SwaptionSabrSensitivity	withCurrency(Currency currency)
SwaptionSabrSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static SwaptionSabrSensitivity of(SwaptionVolatilitiesName volatilitiesName,
                                         double expiry,
                                         double tenor,
                                         SabrParameterType sensitivityType,
                                         Currency sensitivityCurrency,
                                         double sensitivity)

Obtains an instance from the specified elements.

Parameters:

volatilitiesName - the name of the volatilities

expiry - the time to expiry of the option as a year fraction

tenor - the underlying swap tenor

sensitivityType - the type of the sensitivity

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the sensitivity object

withCurrency

public SwaptionSabrSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public SwaptionSabrSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public SwaptionSabrSensitivity convertedTo(Currency resultCurrency,
                                           FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public SwaptionSabrSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public SwaptionSabrSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public SwaptionSabrSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public SwaptionSabrSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static SwaptionSabrSensitivity.Meta meta()

The meta-bean for SwaptionSabrSensitivity.

Returns:

the meta-bean, not null

metaBean

public SwaptionSabrSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getVolatilitiesName

public SwaptionVolatilitiesName getVolatilitiesName()

Gets the name of the volatilities.

Returns:

the value of the property, not null

getExpiry

public double getExpiry()

Gets the time to expiry of the option as a year fraction.

Returns:

the value of the property, not null

getTenor

public double getTenor()

Gets the underlying swap tenor.

Returns:

the value of the property

getSensitivityType

public SabrParameterType getSensitivityType()

Gets the type of the sensitivity.

Returns:

the value of the property

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

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