Package com.opengamma.strata.pricer.capfloor

Class DirectIborCapletFloorletVolatilityDefinition

java.lang.Object

com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition

All Implemented Interfaces:

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

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

Definition of caplet volatilities calibration.

This definition is used with DirectIborCapletFloorletVolatilityCalibrator. 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 interpolated by GridSurfaceInterpolator.

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

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static DirectIborCapletFloorletVolatilityDefinition.Builder	builder()	Returns a builder used to create an instance of the bean.
DoubleMatrix	computePenaltyMatrix(DoubleArray strikes, DoubleArray expiries)	Computes penalty matrix.
SurfaceMetadata	createMetadata(RawOptionData capFloorData)	Creates surface metadata.
boolean	equals(Object obj)
DayCount	getDayCount()	Gets the day count to measure the time in the expiry dimension.
IborIndex	getIndex()	Gets the Ibor index for which the data is valid.
GridSurfaceInterpolator	getInterpolator()	Gets the interpolator for the caplet volatilities.
double	getLambdaExpiry()	Gets penalty intensity parameter for expiry dimension.
double	getLambdaStrike()	Gets penalty intensity parameter for strike dimension.
IborCapletFloorletVolatilitiesName	getName()	Gets the name of the volatilities.
Optional<Curve>	getShiftCurve()	Gets the shift parameter of shifted Black model.
int	hashCode()
static DirectIborCapletFloorletVolatilityDefinition.Meta	meta()	The meta-bean for DirectIborCapletFloorletVolatilityDefinition.
DirectIborCapletFloorletVolatilityDefinition.Meta	metaBean()
static DirectIborCapletFloorletVolatilityDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambdaExpiry, double lambdaStrike, GridSurfaceInterpolator interpolator)	Obtains an instance with zero shift.
static DirectIborCapletFloorletVolatilityDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambdaExpiry, double lambdaStrike, GridSurfaceInterpolator interpolator, Curve shiftCurve)	Obtains an instance with shift curve.
DirectIborCapletFloorletVolatilityDefinition.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 DirectIborCapletFloorletVolatilityDefinition of(IborCapletFloorletVolatilitiesName name,
                                                              IborIndex index,
                                                              DayCount dayCount,
                                                              double lambdaExpiry,
                                                              double lambdaStrike,
                                                              GridSurfaceInterpolator interpolator)

Obtains an instance with zero shift.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

lambdaExpiry - the penalty intensity parameter for time dimension

lambdaStrike - the penalty intensity parameter for strike dimension

interpolator - the surface interpolator

Returns:

the instance

of

public static DirectIborCapletFloorletVolatilityDefinition of(IborCapletFloorletVolatilitiesName name,
                                                              IborIndex index,
                                                              DayCount dayCount,
                                                              double lambdaExpiry,
                                                              double lambdaStrike,
                                                              GridSurfaceInterpolator interpolator,
                                                              Curve shiftCurve)

Obtains an instance with shift curve.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

lambdaExpiry - the penalty intensity parameter for time dimension

lambdaStrike - the penalty intensity parameter for strike dimension

interpolator - the surface interpolator

shiftCurve - the shift surface

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

computePenaltyMatrix

public DoubleMatrix computePenaltyMatrix(DoubleArray strikes,
                                         DoubleArray expiries)

Computes penalty matrix.

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

Parameters:

strikes - the strikes

expiries - the expiries

Returns:

the penalty matrix

meta

public static DirectIborCapletFloorletVolatilityDefinition.Meta meta()

The meta-bean for DirectIborCapletFloorletVolatilityDefinition.

Returns:

the meta-bean, not null

builder

public static DirectIborCapletFloorletVolatilityDefinition.Builder builder()

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

Returns:

the builder, not null

metaBean

public DirectIborCapletFloorletVolatilityDefinition.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 in the expiry dimension.

Specified by:

getDayCount in interface IborCapletFloorletVolatilityDefinition

Returns:

the value of the property, not null

getLambdaExpiry

public double getLambdaExpiry()

Gets penalty intensity parameter for expiry dimension.

Returns:

the value of the property

getLambdaStrike

public double getLambdaStrike()

Gets penalty intensity parameter for strike dimension.

Returns:

the value of the property

getInterpolator

public GridSurfaceInterpolator getInterpolator()

Gets the interpolator for the caplet volatilities.

Returns:

the value of the property, not null

getShiftCurve

public Optional<Curve> getShiftCurve()

Gets the shift parameter of shifted Black model.

The x value of the curve is the expiry. The market volatilities are calibrated to shifted Black model if this field is not null.

Returns:

the optional value of the property, not null

toBuilder

public DirectIborCapletFloorletVolatilityDefinition.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