Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletVolatilityBootstrapDefinition

java.lang.Object

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition

All Implemented Interfaces:

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

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

Definition of caplet volatilities calibration.

This definition is used with SabrIborCapletFloorletVolatilityBootstrapper. The SABR parameters are computed by bootstrap along the time direction, thus the interpolation and left extrapolation for the time dimension must be local.

Either rho or beta must be fixed. Then the calibration is computed to the other three SABR parameter curves. The resulting volatilities object will be SabrParametersIborCapletFloorletVolatilities.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	builder()	Returns a builder used to create an instance of the bean.
SurfaceMetadata	createMetadata(RawOptionData capFloorData)	Creates surface metadata.
ImmutableList<CurveMetadata>	createSabrParameterMetadata()	Creates curve metadata for SABR parameters.
boolean	equals(Object obj)
Optional<Curve>	getBetaCurve()	Gets the beta (elasticity) curve.
DayCount	getDayCount()	Gets the day count to measure the time in the expiry dimension.
CurveExtrapolator	getExtrapolatorLeft()	Gets the left extrapolator for the SABR parameter curves.
CurveExtrapolator	getExtrapolatorRight()	Gets the right extrapolator for the SABR parameter curves.
IborIndex	getIndex()	Gets the Ibor index for which the data is valid.
CurveInterpolator	getInterpolator()	Gets the interpolator for the SABR parameter curves.
IborCapletFloorletVolatilitiesName	getName()	Gets the name of the volatilities.
Optional<Curve>	getRhoCurve()	Gets the rho (correlation) curve.
SabrVolatilityFormula	getSabrVolatilityFormula()	Gets the SABR formula.
Curve	getShiftCurve()	Gets the shift curve.
int	hashCode()
static SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta	meta()	The meta-bean for SabrIborCapletFloorletVolatilityBootstrapDefinition.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta	metaBean()
static SabrIborCapletFloorletVolatilityBootstrapDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, double shift, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with constant beta and shift.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with zero shift and constant beta.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, double shift, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with constant beta and shift.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with zero shift and constant beta.
SabrIborCapletFloorletVolatilityBootstrapDefinition.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

ofFixedBeta

public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                              IborIndex index,
                                                                              DayCount dayCount,
                                                                              double beta,
                                                                              CurveInterpolator interpolator,
                                                                              CurveExtrapolator extrapolatorLeft,
                                                                              CurveExtrapolator extrapolatorRight,
                                                                              SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with zero shift and constant beta.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

beta - the beta value

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedBeta

public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedBeta(IborCapletFloorletVolatilitiesName name,
                                                                              IborIndex index,
                                                                              DayCount dayCount,
                                                                              double beta,
                                                                              double shift,
                                                                              CurveInterpolator interpolator,
                                                                              CurveExtrapolator extrapolatorLeft,
                                                                              CurveExtrapolator extrapolatorRight,
                                                                              SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with constant beta and shift.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

beta - the beta value

shift - the shift value

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                             IborIndex index,
                                                                             DayCount dayCount,
                                                                             double rho,
                                                                             CurveInterpolator interpolator,
                                                                             CurveExtrapolator extrapolatorLeft,
                                                                             CurveExtrapolator extrapolatorRight,
                                                                             SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with zero shift and constant beta.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

rho - the rho value

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

Returns:

the instance

ofFixedRho

public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedRho(IborCapletFloorletVolatilitiesName name,
                                                                             IborIndex index,
                                                                             DayCount dayCount,
                                                                             double rho,
                                                                             double shift,
                                                                             CurveInterpolator interpolator,
                                                                             CurveExtrapolator extrapolatorLeft,
                                                                             CurveExtrapolator extrapolatorRight,
                                                                             SabrVolatilityFormula sabrVolatilityFormula)

Obtains an instance with constant beta and shift.

Parameters:

name - the name of volatilities

index - the Ibor index

dayCount - the day count

rho - the rho value

shift - the shift value

interpolator - the interpolator

extrapolatorLeft - the left extrapolator

extrapolatorRight - the right extrapolator

sabrVolatilityFormula - the SABR formula

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

createSabrParameterMetadata

public ImmutableList<CurveMetadata> createSabrParameterMetadata()

Creates curve metadata for SABR parameters.

Returns:

the curve metadata

meta

public static SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta meta()

The meta-bean for SabrIborCapletFloorletVolatilityBootstrapDefinition.

Returns:

the meta-bean, not null

builder

public static SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder builder()

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

Returns:

the builder, not null

metaBean

public SabrIborCapletFloorletVolatilityBootstrapDefinition.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

getBetaCurve

public Optional<Curve> getBetaCurve()

Gets 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.

Returns:

the optional value of the property, not null

getRhoCurve

public Optional<Curve> getRhoCurve()

Gets 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.

Returns:

the optional value of the property, not null

getShiftCurve

public Curve getShiftCurve()

Gets 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.

Returns:

the value of the property, not null

getInterpolator

public CurveInterpolator getInterpolator()

Gets the interpolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Returns:

the value of the property, not null

getExtrapolatorLeft

public CurveExtrapolator getExtrapolatorLeft()

Gets the left extrapolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Returns:

the value of the property, not null

getExtrapolatorRight

public CurveExtrapolator getExtrapolatorRight()

Gets the right extrapolator for the SABR parameter curves.

The x value of the interpolated curves is the expiry.

Returns:

the value of the property, not null

getSabrVolatilityFormula

public SabrVolatilityFormula getSabrVolatilityFormula()

Gets the SABR formula.

Returns:

the value of the property, not null

toBuilder

public SabrIborCapletFloorletVolatilityBootstrapDefinition.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