Class SwaptionSabrSensitivity

• java.lang.Object
• com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
• All Implemented Interfaces:
FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, java.io.Serializable, Bean, ImmutableBean

public final class SwaptionSabrSensitivity
extends java.lang.Object
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, java.io.Serializable
Sensitivity of a swaption to SABR model parameters.

Holds the sensitivity vales to grid points of the SABR parameters.

Serialized Form
• Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  SwaptionSabrSensitivity.Meta
The meta-bean for SwaptionSabrSensitivity.
• Method Summary

All Methods
Modifier and Type Method Description
MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Builds the point sensitivity, adding to the specified mutable instance.
SwaptionSabrSensitivity cloned()
Clones the point sensitivity builder.
int compareKey​(PointSensitivity other)
Compares the key of two sensitivities, excluding the point sensitivity value.
SwaptionSabrSensitivity convertedTo​(Currency resultCurrency, FxRateProvider rateProvider)
Converts this instance to an equivalent amount in the specified currency.
boolean equals​(java.lang.Object obj)
Currency getCurrency()
Gets the currency of the sensitivity.
double getExpiry()
Gets the time to expiry of the option as a year fraction.
double getSensitivity()
Gets the value of the sensitivity.
SabrParameterType getSensitivityType()
Gets the type of the sensitivity.
double getTenor()
Gets the underlying swap tenor.
SwaptionVolatilitiesName getVolatilitiesName()
Gets the name of the volatilities.
int hashCode()
SwaptionSabrSensitivity mapSensitivity​(java.util.function.DoubleUnaryOperator operator)
Returns an instance with the specified operation applied to the sensitivities in this builder.
static SwaptionSabrSensitivity.Meta meta()
The meta-bean for SwaptionSabrSensitivity.
SwaptionSabrSensitivity.Meta metaBean()
SwaptionSabrSensitivity multipliedBy​(double factor)
Multiplies the sensitivities in this builder by the specified factor.
SwaptionSabrSensitivity normalize()
Normalizes the point sensitivities by sorting and merging.
static SwaptionSabrSensitivity of​(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, SabrParameterType sensitivityType, Currency sensitivityCurrency, double sensitivity)
Obtains an instance from the specified elements.
java.lang.String toString()
SwaptionSabrSensitivity withCurrency​(Currency currency)
Returns an instance with the specified sensitivity currency set.
SwaptionSabrSensitivity withSensitivity​(double sensitivity)
Returns an instance with the new point sensitivity value.
• 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
• Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith
• Method Detail

• of

public static SwaptionSabrSensitivity of​(SwaptionVolatilitiesName volatilitiesName,
double expiry,
double tenor,
SabrParameterType sensitivityType,
Currency sensitivityCurrency,
double sensitivity)
Obtains an instance from the specified elements.
Parameters:
volatilitiesName - the name of the volatilities
expiry - the time to expiry of the option as a year fraction
tenor - the underlying swap tenor
sensitivityType - the type of the sensitivity
sensitivityCurrency - the currency of the sensitivity
sensitivity - the value of the sensitivity
Returns:
the sensitivity object
• withCurrency

public SwaptionSabrSensitivity withCurrency​(Currency currency)
Description copied from interface: PointSensitivity
Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:
withCurrency in interface PointSensitivity
Specified by:
withCurrency in interface PointSensitivityBuilder
Parameters:
currency - the new currency
Returns:
an instance based on this sensitivity with the specified currency
• withSensitivity

public SwaptionSabrSensitivity withSensitivity​(double sensitivity)
Description copied from interface: PointSensitivity
Returns an instance with the new point sensitivity value.
Specified by:
withSensitivity in interface PointSensitivity
Parameters:
sensitivity - the new sensitivity
Returns:
an instance based on this sensitivity with the specified sensitivity
• compareKey

public int compareKey​(PointSensitivity other)
Description copied from interface: PointSensitivity
Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:
compareKey in interface PointSensitivity
Parameters:
other - the other sensitivity
Returns:
positive if greater, zero if equal, negative if less
• convertedTo

public SwaptionSabrSensitivity convertedTo​(Currency resultCurrency,
FxRateProvider rateProvider)
Description copied from interface: PointSensitivity
Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:
convertedTo in interface FxConvertible<PointSensitivity>
Specified by:
convertedTo in interface PointSensitivity
Parameters:
resultCurrency - the currency of the result
rateProvider - the provider of FX rates
Returns:
the converted instance, which should be expressed in the specified currency
• multipliedBy

public SwaptionSabrSensitivity multipliedBy​(double factor)
Description copied from interface: PointSensitivityBuilder
Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
multipliedBy in interface PointSensitivityBuilder
Parameters:
factor - the multiplicative factor
Returns:
the resulting builder, replacing this builder
• mapSensitivity

public SwaptionSabrSensitivity mapSensitivity​(java.util.function.DoubleUnaryOperator operator)
Description copied from interface: PointSensitivityBuilder
Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);


Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
mapSensitivity in interface PointSensitivityBuilder
Parameters:
operator - the operator to be applied to the sensitivities
Returns:
the resulting builder, replacing this builder
• normalize

public SwaptionSabrSensitivity normalize()
Description copied from interface: PointSensitivityBuilder
Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
normalize in interface PointSensitivityBuilder
Returns:
the resulting builder, replacing this builder
• buildInto

public MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Description copied from interface: PointSensitivityBuilder
Builds the point sensitivity, adding to the specified mutable instance.
Specified by:
buildInto in interface PointSensitivityBuilder
Parameters:
combination - the combination object to add to
Returns:
the specified mutable point sensitivities instance is returned, for method chaining
• cloned

public SwaptionSabrSensitivity cloned()
Description copied from interface: PointSensitivityBuilder
Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:
cloned in interface PointSensitivityBuilder
Returns:
the built combined sensitivity
• meta

public static SwaptionSabrSensitivity.Meta meta()
The meta-bean for SwaptionSabrSensitivity.
Returns:
the meta-bean, not null
• metaBean

public SwaptionSabrSensitivity.Meta metaBean()
Specified by:
metaBean in interface Bean
• getVolatilitiesName

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

public double getExpiry()
Gets the time to expiry of the option as a year fraction.
Returns:
the value of the property, not null
• getTenor

public double getTenor()
Gets the underlying swap tenor.
Returns:
the value of the property
• getSensitivityType

public SabrParameterType getSensitivityType()
Gets the type of the sensitivity.
Returns:
the value of the property
• getCurrency

public Currency getCurrency()
Gets the currency of the sensitivity.
Specified by:
getCurrency in interface PointSensitivity
Returns:
the value of the property
• getSensitivity

public double getSensitivity()
Gets the value of the sensitivity.
Specified by:
getSensitivity in interface PointSensitivity
Returns:
the value of the property
• 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