Package com.opengamma.strata.pricer.capfloor

Class SurfaceIborCapletFloorletVolatilityBootstrapDefinition

java.lang.Object

com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition

All Implemented Interfaces:

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

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

Definition of caplet volatilities calibration.

This definition is used with SurfaceIborCapletFloorletVolatilityBootstrapper. The caplet volatilities are computed by bootstrap along the time direction, thus the interpolation and left extrapolation for the time dimension must be local. The resulting volatilities object will be a set of caplet volatilities interpolated by GridSurfaceInterpolator.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta	The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.

Method Summary

Modifier and Type	Method	Description
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.
GridSurfaceInterpolator	getInterpolator()	Gets the interpolator for the caplet volatilities.
IborCapletFloorletVolatilitiesName	getName()	Gets the name of the volatilities.
Optional<Curve>	getShiftCurve()	Gets the shift parameter of shifted Black model.
int	hashCode()
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta	meta()	The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta	metaBean()
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator)	Obtains an instance with time interpolator and strike interpolator.
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator, Curve shiftCurve)	Obtains an instance with time interpolator, strike interpolator and shift curve.
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator)	Obtains an instance with gird surface interpolator.
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition	of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve)	Obtains an instance with gird surface interpolator and shift curve.
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 SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                        IborIndex index,
                                                                        DayCount dayCount,
                                                                        GridSurfaceInterpolator interpolator)

Obtains an instance with gird surface interpolator.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

interpolator - the surface interpolator

Returns:

the instance

of

public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                        IborIndex index,
                                                                        DayCount dayCount,
                                                                        GridSurfaceInterpolator interpolator,
                                                                        Curve shiftCurve)

Obtains an instance with gird surface interpolator and shift curve.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

interpolator - the surface interpolator

shiftCurve - the shift curve

Returns:

the instance

of

public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                        IborIndex index,
                                                                        DayCount dayCount,
                                                                        CurveInterpolator timeInterpolator,
                                                                        CurveInterpolator strikeInterpolator)

Obtains an instance with time interpolator and strike interpolator.

The extrapolation is completed by default extrapolators in GridSurfaceInterpolator.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

timeInterpolator - the time interpolator

strikeInterpolator - the strike interpolator

Returns:

the instance

of

public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name,
                                                                        IborIndex index,
                                                                        DayCount dayCount,
                                                                        CurveInterpolator timeInterpolator,
                                                                        CurveInterpolator strikeInterpolator,
                                                                        Curve shiftCurve)

Obtains an instance with time interpolator, strike interpolator and shift curve.

The extrapolation is completed by default extrapolators in GridSurfaceInterpolator.

Parameters:

name - the name of the volatilities

index - the Ibor index

dayCount - the day count to use

timeInterpolator - the time interpolator

strikeInterpolator - the strike interpolator

shiftCurve - the shift curve

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

meta

public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta meta()

The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.

Returns:

the meta-bean, not null

metaBean

public SurfaceIborCapletFloorletVolatilityBootstrapDefinition.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.

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

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 market volatilities are calibrated to shifted Black model if this field is not null.

Returns:

the optional value of the property, 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