Package com.opengamma.strata.pricer.capfloor

Class DirectIborCapletFloorletFlatVolatilityDefinition

java.lang.Object

com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition

All Implemented Interfaces:

IborCapletFloorletVolatilityDefinition, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DirectIborCapletFloorletFlatVolatilityDefinition
extends Object
implements IborCapletFloorletVolatilityDefinition, org.joda.beans.ImmutableBean, Serializable

Definition of caplet volatilities calibration.

This definition is used with DirectIborCapletFloorletFlatVolatilityCalibrator. The volatilities of the constituent caplets in the market caps are "model parameters" and calibrated to the market data under a certain penalty constraint. The resulting volatilities object will be a set of caplet volatilities on the expiry dimension interpolated by CurveInterpolator.

The penalty defined in this class is based on the finite difference approximation of the second order derivatives along time dimension. See PenaltyMatrixGenerator for detail.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	DirectIborCapletFloorletFlatVolatilityDefinition.Builder	The bean-builder for DirectIborCapletFloorletFlatVolatilityDefinition.
static class	DirectIborCapletFloorletFlatVolatilityDefinition.Meta	The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.

Method Summary

Modifier and Type	Method	Description
static DirectIborCapletFloorletFlatVolatilityDefinition.Builder	builder()	Returns a builder used to create an instance of the bean.
DoubleMatrix	computePenaltyMatrix(DoubleArray expiries)	Computes penalty matrix.
CurveMetadata	createCurveMetadata(RawOptionData capFloorData)	Creates curve metadata.
SurfaceMetadata	createMetadata(RawOptionData capFloorData)	Creates surface metadata.
boolean	equals(Object obj)
DayCount	getDayCount()	Gets the day count to measure the time.
CurveExtrapolator	getExtrapolatorLeft()	Gets the extrapolator for the caplet volatilities on the left.
CurveExtrapolator	getExtrapolatorRight()	Gets the extrapolator for the caplet volatilities on the right.
IborIndex	getIndex()	Gets the Ibor index for which the data is valid.
CurveInterpolator	getInterpolator()	Gets the interpolator for the caplet volatilities.
double	getLambda()	Gets penalty intensity parameter.
IborCapletFloorletVolatilitiesName	getName()	Gets the name of the volatilities.
int	hashCode()
static DirectIborCapletFloorletFlatVolatilityDefinition.Meta	meta()	The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.
DirectIborCapletFloorletFlatVolatilityDefinition.Meta	metaBean()
static DirectIborCapletFloorletFlatVolatilityDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambda, CurveInterpolator interpolator)	Obtains an instance with flat extrapolators.
static DirectIborCapletFloorletFlatVolatilityDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambda, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)	Obtains an instance.
DirectIborCapletFloorletFlatVolatilityDefinition.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

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.capfloor.IborCapletFloorletVolatilityDefinition

createCap

Method Detail

of

public static DirectIborCapletFloorletFlatVolatilityDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                  IborIndex index,
                                                                  DayCount dayCount,
                                                                  double lambda,
                                                                  CurveInterpolator interpolator)

Obtains an instance with flat extrapolators.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

lambda - the penalty intensity parameter

interpolator - the interpolator

Returns:

the instance

of

public static DirectIborCapletFloorletFlatVolatilityDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                  IborIndex index,
                                                                  DayCount dayCount,
                                                                  double lambda,
                                                                  CurveInterpolator interpolator,
                                                                  CurveExtrapolator extrapolatorLeft,
                                                                  CurveExtrapolator extrapolatorRight)

Obtains an instance.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

lambda - the penalty intensity parameter

interpolator - the surface interpolator

extrapolatorLeft - the extrapolator left

extrapolatorRight - the extrapolator right

Returns:

the instance

createMetadata

public SurfaceMetadata createMetadata(RawOptionData capFloorData)

Description copied from interface: IborCapletFloorletVolatilityDefinition

Creates surface metadata.

Specified by:

createMetadata in interface IborCapletFloorletVolatilityDefinition

Parameters:

capFloorData - the cap/floor data

Returns:

the surface metadata

createCurveMetadata

public CurveMetadata createCurveMetadata(RawOptionData capFloorData)

Creates curve metadata.

Parameters:

capFloorData - the data

Returns:

the curve metadata

computePenaltyMatrix

public DoubleMatrix computePenaltyMatrix(DoubleArray expiries)

Computes penalty matrix.

The penalty matrix is based on the second order finite difference differentiation in PenaltyMatrixGenerator. The number of node points must be greater than 2 in order to compute the second order derivative.

Parameters:

expiries - the expiries

Returns:

the penalty matrix

meta

public static DirectIborCapletFloorletFlatVolatilityDefinition.Meta meta()

The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.

Returns:

the meta-bean, not null

builder

public static DirectIborCapletFloorletFlatVolatilityDefinition.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public DirectIborCapletFloorletFlatVolatilityDefinition.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public IborCapletFloorletVolatilitiesName getName()

Gets the name of the volatilities.

Specified by:

getName in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getIndex

public IborIndex getIndex()

Gets the Ibor index for which the data is valid.

Specified by:

getIndex in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count to measure the time.

Specified by:

getDayCount in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getLambda

public double getLambda()

Gets penalty intensity parameter.

Returns:

the value of the property

getInterpolator

public CurveInterpolator getInterpolator()

Gets the interpolator for the caplet volatilities.

Returns:

the value of the property, not null

getExtrapolatorLeft

public CurveExtrapolator getExtrapolatorLeft()

Gets the extrapolator for the caplet volatilities on the left.

Returns:

the value of the property, not null

getExtrapolatorRight

public CurveExtrapolator getExtrapolatorRight()

Gets the extrapolator for the caplet volatilities on the right.

Returns:

the value of the property, not null

toBuilder

public DirectIborCapletFloorletFlatVolatilityDefinition.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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