com.opengamma.strata.pricer.swaption

Class NormalSwaptionExpiryTenorStrikeVolatilities

java.lang.Object

com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorStrikeVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, NormalSwaptionVolatilities, SwaptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

Volatility for swaptions in the normal or Bachelier model based on a cube.

The volatility is represented by a cube on the expiry, swap tenor and strike dimensions.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
FixedFloatSwapConvention	getConvention() Gets the swap convention that the volatilities are to be used for.
Cube	getCube() Gets the normal volatility cube.
SwaptionVolatilitiesName	getName() Gets the name of these volatilities.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static NormalSwaptionExpiryTenorStrikeVolatilities.Meta	meta() The meta-bean for NormalSwaptionExpiryTenorStrikeVolatilities.
NormalSwaptionExpiryTenorStrikeVolatilities.Meta	metaBean()
static NormalSwaptionExpiryTenorStrikeVolatilities	of(FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, Cube cube) Obtains an instance from the implied volatility cube 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	tenor(LocalDate startDate, LocalDate endDate) Calculates the tenor of the swap based on its start date and end date.
String	toString()
double	volatility(double expiry, double tenor, double strike, double forwardRate) Calculates the volatility at the specified expiry.
NormalSwaptionExpiryTenorStrikeVolatilities	withParameter(int parameterIndex, double newValue)
NormalSwaptionExpiryTenorStrikeVolatilities	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.NormalSwaptionVolatilities

getVolatilityType

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

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static NormalSwaptionExpiryTenorStrikeVolatilities of(FixedFloatSwapConvention convention,
                                                             ZonedDateTime valuationDateTime,
                                                             Cube cube)

Obtains an instance from the implied volatility cube and the date-time for which it is valid.

The cube is specified by an instance of Cube, such as InterpolatedNodalCube. The cube must contain the correct metadata:

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.YEAR_FRACTION
• The z-value type must be ValueType.STRIKE
• The w-value type must be ValueType.NORMAL_VOLATILITY
• The day count must be set in the additional information using CubeInfoType.DAY_COUNT

Suitable cube metadata can be created using Cubes.normalVolatilityByExpiryTenorStrike(String, DayCount).

Parameters:

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

valuationDateTime - the valuation date-time

cube - the implied volatility cube

Returns:

the volatilities

getName

public SwaptionVolatilitiesName getName()

Description copied from interface: SwaptionVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface SwaptionVolatilities

Returns:

the name

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

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public NormalSwaptionExpiryTenorStrikeVolatilities withParameter(int parameterIndex,
                                                                 double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface NormalSwaptionVolatilities

Specified by:

withParameter in interface SwaptionVolatilities

withPerturbation

public NormalSwaptionExpiryTenorStrikeVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface NormalSwaptionVolatilities

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

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 NormalSwaptionExpiryTenorStrikeVolatilities.Meta meta()

The meta-bean for NormalSwaptionExpiryTenorStrikeVolatilities.

Returns:

the meta-bean, not null

metaBean

public NormalSwaptionExpiryTenorStrikeVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

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

getCube

public Cube getCube()

Gets the normal volatility cube.

The x-value of the cube is the expiry, as a year fraction. The y-value of the cube is the swap tenor, as a year fraction rounded to the month. The z-value of the cube is the strike, as a rate.

Returns:

the value of the property, 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