Package com.opengamma.strata.pricer.capfloor

Class SabrParametersIborCapletFloorletVolatilities.Builder

java.lang.Object

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

com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<SabrParametersIborCapletFloorletVolatilities>

Enclosing class:

SabrParametersIborCapletFloorletVolatilities

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

The bean-builder for SabrParametersIborCapletFloorletVolatilities.

Method Summary

Modifier and Type	Method	Description
SabrParametersIborCapletFloorletVolatilities	build()
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityAlpha(DoubleArray... dataSensitivityAlpha)	Sets the dataSensitivityAlpha property in the builder from an array of objects.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityAlpha(List<DoubleArray> dataSensitivityAlpha)	Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityBeta(DoubleArray... dataSensitivityBeta)	Sets the dataSensitivityBeta property in the builder from an array of objects.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityBeta(List<DoubleArray> dataSensitivityBeta)	Sets the sensitivity of the Beta parameters to the raw data used for calibration.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityNu(DoubleArray... dataSensitivityNu)	Sets the dataSensitivityNu property in the builder from an array of objects.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityNu(List<DoubleArray> dataSensitivityNu)	Sets the sensitivity of the Nu parameters to the raw data used for calibration.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityRho(DoubleArray... dataSensitivityRho)	Sets the dataSensitivityRho property in the builder from an array of objects.
SabrParametersIborCapletFloorletVolatilities.Builder	dataSensitivityRho(List<DoubleArray> dataSensitivityRho)	Sets the sensitivity of the Rho parameters to the raw data used for calibration.
Object	get(String propertyName)
SabrParametersIborCapletFloorletVolatilities.Builder	index(IborIndex index)	Sets the Ibor index.
SabrParametersIborCapletFloorletVolatilities.Builder	name(IborCapletFloorletVolatilitiesName name)	Sets the name.
SabrParametersIborCapletFloorletVolatilities.Builder	parameters(SabrParameters parameters)	Sets the SABR model parameters.
SabrParametersIborCapletFloorletVolatilities.Builder	set(String propertyName, Object newValue)
SabrParametersIborCapletFloorletVolatilities.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
String	toString()
SabrParametersIborCapletFloorletVolatilities.Builder	valuationDateTime(ZonedDateTime valuationDateTime)	Sets the valuation date-time.

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<SabrParametersIborCapletFloorletVolatilities>

Overrides:

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

set

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

set

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

Specified by:

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

Overrides:

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

build

public SabrParametersIborCapletFloorletVolatilities build()

name

public SabrParametersIborCapletFloorletVolatilities.Builder name(IborCapletFloorletVolatilitiesName name)

Sets the name.

Parameters:

name - the new value, not null

Returns:

this, for chaining, not null

index

public SabrParametersIborCapletFloorletVolatilities.Builder index(IborIndex index)

Sets the Ibor index.

The data must valid in terms of this Ibor index.

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

valuationDateTime

public SabrParametersIborCapletFloorletVolatilities.Builder valuationDateTime(ZonedDateTime valuationDateTime)

Sets the valuation date-time.

The volatilities are calibrated for this date-time.

Parameters:

valuationDateTime - the new value, not null

Returns:

this, for chaining, not null

parameters

public SabrParametersIborCapletFloorletVolatilities.Builder parameters(SabrParameters parameters)

Sets the SABR model parameters.

Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.

Parameters:

parameters - the new value, not null

Returns:

this, for chaining, not null

dataSensitivityAlpha

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityAlpha(List<DoubleArray> dataSensitivityAlpha)

Sets the sensitivity of the Alpha parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Parameters:

dataSensitivityAlpha - the new value

Returns:

this, for chaining, not null

dataSensitivityAlpha

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityAlpha(DoubleArray... dataSensitivityAlpha)

Sets the dataSensitivityAlpha property in the builder from an array of objects.

Parameters:

dataSensitivityAlpha - the new value

Returns:

this, for chaining, not null

dataSensitivityBeta

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityBeta(List<DoubleArray> dataSensitivityBeta)

Sets the sensitivity of the Beta parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Parameters:

dataSensitivityBeta - the new value

Returns:

this, for chaining, not null

dataSensitivityBeta

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityBeta(DoubleArray... dataSensitivityBeta)

Sets the dataSensitivityBeta property in the builder from an array of objects.

Parameters:

dataSensitivityBeta - the new value

Returns:

this, for chaining, not null

dataSensitivityRho

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityRho(List<DoubleArray> dataSensitivityRho)

Sets the sensitivity of the Rho parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Parameters:

dataSensitivityRho - the new value

Returns:

this, for chaining, not null

dataSensitivityRho

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityRho(DoubleArray... dataSensitivityRho)

Sets the dataSensitivityRho property in the builder from an array of objects.

Parameters:

dataSensitivityRho - the new value

Returns:

this, for chaining, not null

dataSensitivityNu

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityNu(List<DoubleArray> dataSensitivityNu)

Sets the sensitivity of the Nu parameters to the raw data used for calibration.

The order of the sensitivities have to be coherent with the curve parameter metadata.

Parameters:

dataSensitivityNu - the new value

Returns:

this, for chaining, not null

dataSensitivityNu

public SabrParametersIborCapletFloorletVolatilities.Builder dataSensitivityNu(DoubleArray... dataSensitivityNu)

Sets the dataSensitivityNu property in the builder from an array of objects.

Parameters:

dataSensitivityNu - the new value

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

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