com.opengamma.strata.measure.fxopt

Class FxOptionVolatilitiesNode

java.lang.Object

com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

A node in the configuration specifying how to build FX option volatilities.

Each node is not necessarily associated with an instrument, but provides the necessary information to create FxOptionVolatilities.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static FxOptionVolatilitiesNode.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment() Gets the business day adjustment to apply to the delivery date.
CurrencyPair	getCurrencyPair() Gets the currency pair.
DaysAdjustment	getExpiryDateOffset() Gets the offset of the expiry date from the delivery date.
String	getLabel() Gets the label to use for the node.
QuoteId	getQuoteId() Gets the quote ID.
ValueType	getQuoteValueType() Gets the value type of the quote.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the valuation date.
Strike	getStrike() Gets the strike.
Tenor	getTenor() Gets the tenor.
int	hashCode()
static FxOptionVolatilitiesNode.Meta	meta() The meta-bean for FxOptionVolatilitiesNode.
FxOptionVolatilitiesNode.Meta	metaBean()
FxVolatilitySurfaceYearFractionParameterMetadata	metadata(ZonedDateTime valuationDateTime, DayCount dayCount, ReferenceData refData) Returns metadata for the node.
static FxOptionVolatilitiesNode	of(CurrencyPair currencyPair, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, ValueType quoteValueType, QuoteId quoteId, Tenor tenor, Strike strike) Creates an instance.
double	timeToExpiry(ZonedDateTime valuationDateTime, DayCount dayCount, ReferenceData refData) Calculates the time to expiry for the valuation date time.
FxOptionVolatilitiesNode.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static FxOptionVolatilitiesNode of(CurrencyPair currencyPair,
                                          DaysAdjustment spotDateOffset,
                                          BusinessDayAdjustment businessDayAdjustment,
                                          ValueType quoteValueType,
                                          QuoteId quoteId,
                                          Tenor tenor,
                                          Strike strike)

Creates an instance.

The label is created from quoteId.

Parameters:

currencyPair - the currency pair

spotDateOffset - the spot date offset

businessDayAdjustment - the business day adjustment

quoteValueType - the quote value type

quoteId - the quote ID

tenor - the tenor

strike - the strike

Returns:

the instance

metadata

public FxVolatilitySurfaceYearFractionParameterMetadata metadata(ZonedDateTime valuationDateTime,
                                                                 DayCount dayCount,
                                                                 ReferenceData refData)

Returns metadata for the node.

This provides curve metadata for the node at the specified valuation date.

Parameters:

valuationDateTime - the valuation date time

dayCount - the day count

refData - the reference data

Returns:

metadata for the node

timeToExpiry

public double timeToExpiry(ZonedDateTime valuationDateTime,
                           DayCount dayCount,
                           ReferenceData refData)

Calculates the time to expiry for the valuation date time.

Parameters:

valuationDateTime - the valuation date time

dayCount - the day count

refData - the reference data

Returns:

the time to expiry

meta

public static FxOptionVolatilitiesNode.Meta meta()

The meta-bean for FxOptionVolatilitiesNode.

Returns:

the meta-bean, not null

builder

public static FxOptionVolatilitiesNode.Builder builder()

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

Returns:

the builder, not null

metaBean

public FxOptionVolatilitiesNode.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair.

The quote must be based on this currency pair and direction.

Returns:

the value of the property, not null

getLabel

public String getLabel()

Gets the label to use for the node.

Returns:

the value of the property, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the valuation date.

Typically this is the same as the standard convention of the spot date offset of the underlying FX forward.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to the delivery date.

Typically this is the same as the standard convention of the business day adjustment applied to the delivery date of the underlying FX forward.

Returns:

the value of the property, not null

getExpiryDateOffset

public DaysAdjustment getExpiryDateOffset()

Gets the offset of the expiry date from the delivery date.

By default the expiry date offset is the inverse of spotDateOffset. In this case BusinessDayAdjustment in spotDateOffset must be NONE.

Returns:

the value of the property, not null

getQuoteValueType

public ValueType getQuoteValueType()

Gets the value type of the quote.

Returns:

the value of the property, not null

getQuoteId

public QuoteId getQuoteId()

Gets the quote ID.

Returns:

the value of the property, not null

getTenor

public Tenor getTenor()

Gets the tenor.

Typically the tenor is coherent to that of the underlying FX forward. Thus it spans the period between spot date to delivery date.

Returns:

the value of the property, not null

getStrike

public Strike getStrike()

Gets the strike.

Returns:

the value of the property, not null

toBuilder

public FxOptionVolatilitiesNode.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