Interface SabrSwaptionVolatilities

    • Method Detail

      • withParameter

        SabrSwaptionVolatilities 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
        Specified by:
        withParameter in interface SwaptionVolatilities
        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

        SabrSwaptionVolatilities 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
        Specified by:
        withPerturbation in interface SwaptionVolatilities
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • alpha

        double alpha​(double expiry,
                     double tenor)
        Calculates the alpha parameter for a pair of time to expiry and instrument tenor.
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        Returns:
        the alpha parameter
      • beta

        double beta​(double expiry,
                    double tenor)
        Calculates the beta parameter for a pair of time to expiry and instrument tenor.
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        Returns:
        the beta parameter
      • rho

        double rho​(double expiry,
                   double tenor)
        Calculates the rho parameter for a pair of time to expiry and instrument tenor.
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        Returns:
        the rho parameter
      • nu

        double nu​(double expiry,
                  double tenor)
        Calculates the nu parameter for a pair of time to expiry and instrument tenor.
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        Returns:
        the nu parameter
      • shift

        double shift​(double expiry,
                     double tenor)
        Calculates the shift parameter for the specified time to expiry and instrument tenor.
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        Returns:
        the shift parameter
      • volatilityAdjoint

        ValueDerivatives volatilityAdjoint​(double expiry,
                                           double tenor,
                                           double strike,
                                           double forward)
        Calculates the volatility and associated sensitivities.

        The derivatives are stored in an array with:

        • [0] derivative with respect to the forward
        • [1] derivative with respect to the forward strike
        • [2] derivative with respect to the alpha
        • [3] derivative with respect to the beta
        • [4] derivative with respect to the rho
        • [5] derivative with respect to the nu
        Parameters:
        expiry - the time to expiry as a year fraction
        tenor - the tenor of the instrument as a year fraction
        strike - the strike
        forward - the forward
        Returns:
        the volatility and associated sensitivities