com.opengamma.strata.pricer.swaption

Class SwaptionSensitivity

java.lang.Object

com.opengamma.strata.pricer.swaption.SwaptionSensitivity

All Implemented Interfaces:

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

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

Point sensitivity to a swaption implied parameter point.

Holds the sensitivity to the swaption grid point.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
SwaptionSensitivity	cloned()
int	compareKey(PointSensitivity other)
SwaptionSensitivity	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	getForward() Gets the underlying swap forward rate.
double	getSensitivity() Gets the value of the sensitivity.
double	getStrike() Gets the swaption strike rate.
double	getTenor() Gets the underlying swap tenor.
SwaptionVolatilitiesName	getVolatilitiesName() Gets the name of the volatilities.
int	hashCode()
SwaptionSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static SwaptionSensitivity.Meta	meta() The meta-bean for SwaptionSensitivity.
SwaptionSensitivity.Meta	metaBean()
SwaptionSensitivity	multipliedBy(double factor)
SwaptionSensitivity	normalize()
static SwaptionSensitivity	of(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, double strike, double forward, Currency sensitivityCurrency, double sensitivity) Obtains an instance from the specified elements.
String	toString()
SwaptionSensitivity	withCurrency(Currency currency)
SwaptionSensitivity	withSensitivity(double value)

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 SwaptionSensitivity of(SwaptionVolatilitiesName volatilitiesName,
                                     double expiry,
                                     double tenor,
                                     double strike,
                                     double forward,
                                     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

strike - the swaption strike rate

forward - the underlying swap forward rate

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

withCurrency

public SwaptionSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public SwaptionSensitivity withSensitivity(double value)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public SwaptionSensitivity convertedTo(Currency resultCurrency,
                                       FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public SwaptionSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public SwaptionSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public SwaptionSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public SwaptionSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static SwaptionSensitivity.Meta meta()

The meta-bean for SwaptionSensitivity.

Returns:

the meta-bean, not null

metaBean

public SwaptionSensitivity.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

getStrike

public double getStrike()

Gets the swaption strike rate.

Returns:

the value of the property

getForward

public double getForward()

Gets the underlying swap forward rate.

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, not null

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