com.opengamma.strata.pricer.swaption

Interface SwaptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Subinterfaces:

BlackSabrSwaptionVolatilities, BlackSwaptionVolatilities, NormalSabrSwaptionVolatilities, NormalSwaptionVolatilities, SabrSwaptionVolatilities

All Known Implementing Classes:

BlackSwaptionExpiryTenorVolatilities, NormalSabrParametersSwaptionVolatilities, NormalSwaptionExpirySimpleMoneynessVolatilities, NormalSwaptionExpiryStrikeVolatilities, NormalSwaptionExpiryTenorVolatilities, SabrParametersSwaptionVolatilities

public interface SwaptionVolatilities
extends MarketDataView, ParameterizedData

Volatilities for pricing swaptions.

This provides access to the volatilities for various pricing models, such as normal, Black and SABR. The price and derivatives are also made available.

Method Summary

Modifier and Type	Method and Description
FixedFloatSwapConvention	getConvention() Gets the convention of the swap for which the data is valid.
SwaptionVolatilitiesName	getName() Gets the name of these volatilities.
default LocalDate	getValuationDate() Gets the valuation date.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
ValueType	getVolatilityType() Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, double, double, double) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... 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	tenor(LocalDate startDate, LocalDate endDate) Calculates the tenor of the swap based on its start date and end date.
double	volatility(double expiry, double tenor, double strike, double forward) Calculates the volatility at the specified expiry.
default double	volatility(ZonedDateTime expiryDateTime, double tenor, double strike, double forward) Calculates the volatility at the specified expiry.
SwaptionVolatilities	withParameter(int parameterIndex, double newValue)
SwaptionVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getName

SwaptionVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getConvention

FixedFloatSwapConvention getConvention()

Gets the convention of the swap for which the data is valid.

Returns:

the convention

getVolatilityType

ValueType getVolatilityType()

Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, double, double, double) method.

Returns:

the type

getValuationDate

default LocalDate getValuationDate()

Gets the valuation date.

The volatilities are calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getValuationDateTime

ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Returns:

the valuation date-time

withParameter

SwaptionVolatilities withParameter(int parameterIndex,
                                   double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

SwaptionVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

volatility

default double volatility(ZonedDateTime expiryDateTime,
                          double tenor,
                          double strike,
                          double forward)

Calculates the volatility at the specified expiry.

This relies on tenor supplied by tenor(LocalDate, LocalDate).

Parameters:

expiryDateTime - the option expiry

tenor - the tenor of the instrument as a year fraction

strike - the option strike rate

forward - the forward rate of the underlying swap

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

volatility

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

Calculates the volatility at the specified expiry.

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

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

forward - the forward rate of the underlying swap

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

parameterSensitivity

default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

price

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

Calculates the price.

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

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

Throws:

RuntimeException - if the value cannot be obtained

priceDelta

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

Calculates the price delta.

This is the forward driftless delta.

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

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

Throws:

RuntimeException - if the value cannot be obtained

priceGamma

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

Calculates the price gamma.

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

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

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

Throws:

RuntimeException - if the value cannot be obtained

priceTheta

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

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

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

Throws:

RuntimeException - if the value cannot be obtained

priceVega

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

Calculates the price vega.

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

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

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

Throws:

RuntimeException - if the value cannot be obtained

relativeTime

double relativeTime(ZonedDateTime dateTime)

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.

Parameters:

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

Returns:

the relative year fraction

tenor

double tenor(LocalDate startDate,
             LocalDate endDate)

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

Parameters:

startDate - the start date

endDate - the end date

Returns:

the tenor