Package com.opengamma.strata.pricer.bond

Class NormalBondYieldExpiryDurationVolatilities

java.lang.Object

com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BondYieldVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class NormalBondYieldExpiryDurationVolatilities
extends Object
implements BondYieldVolatilities, org.joda.beans.ImmutableBean, Serializable

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

The volatility is represented by a surface on the expiry and bond duration dimensions.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
OptionalInt	findParameterIndex(ParameterMetadata metadata)	Finds the parameter index of the specified metadata.
Currency	getCurrency()	Gets the currency.
BondVolatilitiesName	getName()	Gets the name of these volatilities.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
Surface	getSurface()	Gets the normal volatility surface.
ZonedDateTime	getValuationDateTime()	Gets the valuation date-time.
ValueType	getVolatilityType()	Gets the type of volatility returned by the BondYieldVolatilities.volatility(double, double, double, double) method.
int	hashCode()
static NormalBondYieldExpiryDurationVolatilities.Meta	meta()	The meta-bean for NormalBondYieldExpiryDurationVolatilities.
NormalBondYieldExpiryDurationVolatilities.Meta	metaBean()
static NormalBondYieldExpiryDurationVolatilities	of(Currency currency, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Calculates the parameter sensitivity.
double	relativeTime(ZonedDateTime dateTime)	Converts a time and date to a relative year fraction.
String	toString()
double	volatility(double expiry, double duration, double strike, double forwardRate)	Calculates the volatility at the specified expiry.
NormalBondYieldExpiryDurationVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
NormalBondYieldExpiryDurationVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

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.pricer.bond.BondYieldVolatilities

getValuationDate, parameterSensitivity, priceVolatilityEquivalent, priceVolatilityEquivalent, priceVolatilityEquivalent, priceVolatilityEquivalentAd, priceVolatilityEquivalentAd, priceVolatilityEquivalentAd, volatility

Method Detail

of

public static NormalBondYieldExpiryDurationVolatilities of(Currency currency,
                                                           ZonedDateTime valuationDateTime,
                                                           Surface surface)

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

The surface is specified by an instance of Surface, such as InterpolatedNodalSurface. The surface 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.NORMAL_VOLATILITY
• The day count must be set in the additional information using SurfaceInfoType.DAY_COUNT

Suitable surface metadata can be created using Surfaces.normalVolatilityByExpiryTenor(String, DayCount).

Parameters:

currency - the currency

valuationDateTime - the valuation date-time

surface - the implied volatility surface

Returns:

the volatilities

getVolatilityType

public ValueType getVolatilityType()

Description copied from interface: BondYieldVolatilities

Gets the type of volatility returned by the BondYieldVolatilities.volatility(double, double, double, double) method.

Specified by:

getVolatilityType in interface BondYieldVolatilities

Returns:

the type

getName

public BondVolatilitiesName getName()

Description copied from interface: BondYieldVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface BondYieldVolatilities

Returns:

the name

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: MarketDataView

Finds the market data with the specified name.

This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

Specified by:

findData in interface MarketDataView

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

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

Returns:

the value of the parameter

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the metadata of the parameter at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Specified by:

getParameterMetadata in interface ParameterizedData

Parameters:

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

Returns:

the metadata of the parameter

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Description copied from interface: ParameterizedData

Finds the parameter index of the specified metadata.

If the parameter metadata is not matched, an empty optional will be returned.

Specified by:

findParameterIndex in interface ParameterizedData

Parameters:

metadata - the parameter metadata to find the index of

Returns:

the index of the parameter

withParameter

public NormalBondYieldExpiryDurationVolatilities 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 BondYieldVolatilities

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

public NormalBondYieldExpiryDurationVolatilities 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 BondYieldVolatilities

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

public double volatility(double expiry,
                         double duration,
                         double strike,
                         double forwardRate)

Description copied from interface: BondYieldVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by BondYieldVolatilities.relativeTime(ZonedDateTime).

Specified by:

volatility in interface BondYieldVolatilities

Parameters:

expiry - the time to expiry as a year fraction

duration - the modified duration of the instrument as a year fraction

strike - the strike yield

forwardRate - the forward yield of the underlying bond

Returns:

the volatility

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: BondYieldVolatilities

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 BondYieldVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: BondYieldVolatilities

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 BondYieldVolatilities

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction

meta

public static NormalBondYieldExpiryDurationVolatilities.Meta meta()

The meta-bean for NormalBondYieldExpiryDurationVolatilities.

Returns:

the meta-bean, not null

metaBean

public NormalBondYieldExpiryDurationVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrency

public Currency getCurrency()

Gets the currency.

Specified by:

getCurrency in interface BondYieldVolatilities

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 BondYieldVolatilities

Returns:

the value of the property, not null

getSurface

public Surface getSurface()

Gets the normal volatility surface.

The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the duration, as a year fraction.

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