Package com.opengamma.strata.pricer.capfloor

Interface IborCapletFloorletVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Subinterfaces:

BlackIborCapletFloorletVolatilities, BlackSabrIborCapletFloorletVolatilities, NormalIborCapletFloorletVolatilities, NormalSabrIborCapletFloorletVolatilities, SabrIborCapletFloorletVolatilities

All Known Implementing Classes:

BlackIborCapletFloorletExpiryFlatVolatilities, BlackIborCapletFloorletExpiryStrikeVolatilities, NormalIborCapletFloorletExpiryFlatVolatilities, NormalIborCapletFloorletExpiryStrikeVolatilities, NormalSabrParametersIborCapletFloorletVolatilities, SabrParametersIborCapletFloorletVolatilities, ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities

public interface IborCapletFloorletVolatilities
extends MarketDataView, ParameterizedData

Volatilities for pricing Ibor caplet/floorlet.

This provides access to the volatilities for various pricing models, such as normal and Black.

Method Summary

Modifier and Type	Method	Description
IborIndex	getIndex()	Gets the Ibor index for which the data is valid.
IborCapletFloorletVolatilitiesName	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) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... pointSensitivities)	Calculates the parameter sensitivity.
double	price(double expiry, PutCall putCall, double strike, double forward, double volatility)	Calculates the price.
double	priceDelta(double expiry, PutCall putCall, double strike, double forward, double volatility)	Calculates the price delta.
double	priceGamma(double expiry, PutCall putCall, double strike, double forward, double volatility)	Calculates the price gamma.
double	priceTheta(double expiry, PutCall putCall, double strike, double forward, double volatility)	Calculates the price theta.
double	priceVega(double expiry, 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	volatility(double expiry, double strike, double forward)	Calculates the volatility at the specified expiry.
default double	volatility(ZonedDateTime expiryDateTime, double strike, double forward)	Calculates the volatility at the specified expiry.
IborCapletFloorletVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
IborCapletFloorletVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

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

IborCapletFloorletVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getIndex

IborIndex getIndex()

Gets the Ibor index for which the data is valid.

Returns:

the Ibor index

getVolatilityType

ValueType getVolatilityType()

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

IborCapletFloorletVolatilities withParameter(int parameterIndex,
                                             double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

IborCapletFloorletVolatilities withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

volatility

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

Calculates the volatility at the specified expiry.

Parameters:

expiryDateTime - the option expiry

strike - the option strike rate

forward - the forward rate

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

volatility

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

Calculates the volatility at the specified expiry.

This relies on expiry supplied by relativeTime(ZonedDateTime).

Parameters:

expiry - the time to expiry as a year fraction

strike - the option strike rate

forward - the forward rate

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,
             PutCall putCall,
             double strike,
             double forward,
             double volatility)

Calculates the price.

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

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the price

Throws:

RuntimeException - if the value cannot be obtained

priceDelta

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

Calculates the price delta.

This is the first order sensitivity of the option price to the forward.

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

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the delta

Throws:

RuntimeException - if the value cannot be obtained

priceGamma

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

Calculates the price gamma.

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

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

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the gamma

Throws:

RuntimeException - if the value cannot be obtained

priceTheta

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

Calculates the price theta.

This is the driftless sensitivity of the option price to a change in time to maturity.

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

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the theta

Throws:

RuntimeException - if the value cannot be obtained

priceVega

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

Calculates the price vega.

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

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

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

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