Class SabrSwaptionDefinition

  • All Implemented Interfaces:
    java.io.Serializable, Bean, ImmutableBean

    public final class SabrSwaptionDefinition
    extends java.lang.Object
    implements ImmutableBean, java.io.Serializable
    Definition of standard inputs to SABR swaption calibration.
    See Also:
    Serialized Form
    • Method Detail

      • of

        public static SabrSwaptionDefinition of​(SwaptionVolatilitiesName name,
                                                FixedIborSwapConvention convention,
                                                DayCount dayCount,
                                                SurfaceInterpolator interpolator)
        Obtains an instance from the name, convention, day count and tenors.
        Parameters:
        name - the name of the volatilities
        convention - the swap convention that the volatilities are to be used for
        dayCount - the day count to use
        interpolator - the interpolator for the alpha, rho and nu surfaces
        Returns:
        the volatilities
      • getName

        public SwaptionVolatilitiesName getName()
        Gets the name of the volatilities.
        Returns:
        the value of the property, not null
      • getConvention

        public FixedIborSwapConvention getConvention()
        Gets the swap convention that the volatilities are to be used for.
        Returns:
        the value of the property, not null
      • getDayCount

        public DayCount getDayCount()
        Gets the day count to use.
        Returns:
        the value of the property, not null
      • getInterpolator

        public SurfaceInterpolator getInterpolator()
        Gets the interpolator for the alpha, rho and nu surfaces.
        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object