Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

Enclosing class:

SabrIborCapletFloorletVolatilityBootstrapDefinition

public static final class SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

The bean-builder for SabrIborCapletFloorletVolatilityBootstrapDefinition.

Method Summary

Modifier and Type	Method	Description
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	betaCurve(Curve betaCurve)	Sets the beta (elasticity) curve.
SabrIborCapletFloorletVolatilityBootstrapDefinition	build()
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	dayCount(DayCount dayCount)	Sets the day count to measure the time in the expiry dimension.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	extrapolatorLeft(CurveExtrapolator extrapolatorLeft)	Sets the left extrapolator for the SABR parameter curves.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	extrapolatorRight(CurveExtrapolator extrapolatorRight)	Sets the right extrapolator for the SABR parameter curves.
Object	get(String propertyName)
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	index(IborIndex index)	Sets the Ibor index for which the data is valid.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	interpolator(CurveInterpolator interpolator)	Sets the interpolator for the SABR parameter curves.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	name(IborCapletFloorletVolatilitiesName name)	Sets the name of the volatilities.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	rhoCurve(Curve rhoCurve)	Sets the rho (correlation) curve.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula)	Sets the SABR formula.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	set(String propertyName, Object newValue)
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	shiftCurve(Curve shiftCurve)	Sets the shift curve.
String	toString()

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

set

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder set(String propertyName,
                                                                       Object newValue)

set

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder set(org.joda.beans.MetaProperty<?> property,
                                                                       Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>

build

public SabrIborCapletFloorletVolatilityBootstrapDefinition build()

name

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder name(IborCapletFloorletVolatilitiesName name)

Sets the name of the volatilities.

Parameters:

name - the new value, not null

Returns:

this, for chaining, not null

index

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder index(IborIndex index)

Sets the Ibor index for which the data is valid.

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

dayCount

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder dayCount(DayCount dayCount)

Sets the day count to measure the time in the expiry dimension.

Parameters:

dayCount - the new value, not null

Returns:

this, for chaining, not null

betaCurve

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder betaCurve(Curve betaCurve)

Sets the beta (elasticity) curve.

This represents the beta parameter of SABR model.

The beta will be treated as one of the calibration parameters if this field is not specified.

Parameters:

betaCurve - the new value

Returns:

this, for chaining, not null

rhoCurve

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder rhoCurve(Curve rhoCurve)

Sets the rho (correlation) curve.

This represents the rho parameter of SABR model.

The rho will be treated as one of the calibration parameters if this field is not specified.

Parameters:

rhoCurve - the new value

Returns:

this, for chaining, not null

shiftCurve

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder shiftCurve(Curve shiftCurve)

Sets the shift curve.

This represents the shift parameter of shifted SABR model. The x value of the curve is the expiry.

The shift is set to be zero if this field is not specified.

Parameters:

shiftCurve - the new value, not null

Returns:

this, for chaining, not null

interpolator

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder interpolator(CurveInterpolator interpolator)

Sets the interpolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Parameters:

interpolator - the new value, not null

Returns:

this, for chaining, not null

extrapolatorLeft

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder extrapolatorLeft(CurveExtrapolator extrapolatorLeft)

Sets the left extrapolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Parameters:

extrapolatorLeft - the new value, not null

Returns:

this, for chaining, not null

extrapolatorRight

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder extrapolatorRight(CurveExtrapolator extrapolatorRight)

Sets the right extrapolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Parameters:

extrapolatorRight - the new value, not null

Returns:

this, for chaining, not null

sabrVolatilityFormula

public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula)

Sets the SABR formula.

Parameters:

sabrVolatilityFormula - the new value, not null

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<SabrIborCapletFloorletVolatilityBootstrapDefinition>