Package com.opengamma.strata.pricer.capfloor

Interface SabrIborCapletFloorletVolatilities

All Superinterfaces:

IborCapletFloorletVolatilities, MarketDataView, ParameterizedData

All Known Subinterfaces:

BlackSabrIborCapletFloorletVolatilities, NormalSabrIborCapletFloorletVolatilities

All Known Implementing Classes:

NormalSabrParametersIborCapletFloorletVolatilities, SabrParametersIborCapletFloorletVolatilities

public interface SabrIborCapletFloorletVolatilities
extends IborCapletFloorletVolatilities

Volatility for Ibor caplet/floorlet in SABR model.

The volatility is represented in terms of SABR model parameters.

The prices are calculated using the SABR implied volatility.

Method Summary

Modifier and Type	Method	Description
double	alpha(double expiry)	Calculates the alpha parameter for a pair of time to expiry.
double	beta(double expiry)	Calculates the beta parameter for a pair of time to expiry.
double	nu(double expiry)	Calculates the nu parameter for a pair of time to expiry.
double	rho(double expiry)	Calculates the rho parameter for a pair of time to expiry.
double	shift(double expiry)	Calculates the shift parameter for the specified time to expiry.
ValueDerivatives	volatilityAdjoint(double expiry, double strike, double forward)	Calculates the volatility and associated sensitivities.
SabrIborCapletFloorletVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
SabrIborCapletFloorletVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities

getIndex, getName, getValuationDate, getValuationDateTime, getVolatilityType, parameterSensitivity, parameterSensitivity, price, priceDelta, priceGamma, priceTheta, priceVega, relativeTime, volatility, volatility

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

withParameter

SabrIborCapletFloorletVolatilities 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 IborCapletFloorletVolatilities

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

SabrIborCapletFloorletVolatilities 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 IborCapletFloorletVolatilities

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

alpha

double alpha(double expiry)

Calculates the alpha parameter for a pair of time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the alpha parameter

beta

double beta(double expiry)

Calculates the beta parameter for a pair of time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the beta parameter

rho

double rho(double expiry)

Calculates the rho parameter for a pair of time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the rho parameter

nu

double nu(double expiry)

Calculates the nu parameter for a pair of time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the nu parameter

shift

double shift(double expiry)

Calculates the shift parameter for the specified time to expiry.

Parameters:

expiry - the time to expiry as a year fraction

Returns:

the shift parameter

volatilityAdjoint

ValueDerivatives volatilityAdjoint(double expiry,
                                   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

strike - the strike

forward - the forward

Returns:

the volatility and associated sensitivities