Package com.opengamma.strata.pricer.fxopt

Class InterpolatedStrikeSmileDeltaTermStructure

java.lang.Object

com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure

All Implemented Interfaces:

ParameterizedData, SmileDeltaTermStructure, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InterpolatedStrikeSmileDeltaTermStructure
extends Object
implements SmileDeltaTermStructure, ParameterizedData, org.joda.beans.ImmutableBean, Serializable

An interpolated term structure of smiles as used in Forex market.

The term structure defined here is composed of smile descriptions at different times. The data of each smile contains delta and volatility in SmileDeltaParameters. The delta values must be common to all of the smiles.

Time interpolation and extrapolation are used to obtain a smile for the objective time. Strike interpolation and extrapolation are used in the expiry-strike space where the delta values are converted to strikes using the Black formula.

The default for the time direction is time squire interpolation with flat extrapolation. The default for the strike direction is linear interpolation with flat extrapolation.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
DayCount	getDayCount()	Gets the day count convention used for the expiry.
DoubleArray	getExpiries()	Gets the expiries associated with the volatility term.
List<Optional<Tenor>>	getExpiryTenors()	Gets the tenor associated with each expiry in the volatility term.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
CurveExtrapolator	getStrikeExtrapolatorLeft()	Gets the left extrapolator used in the strike dimension.
CurveExtrapolator	getStrikeExtrapolatorRight()	Gets the right extrapolator used in the strike dimension.
CurveInterpolator	getStrikeInterpolator()	Gets the interpolator used in the strike dimension.
CurveExtrapolator	getTimeExtrapolatorLeft()	Gets the left extrapolator used in the time dimension.
CurveExtrapolator	getTimeExtrapolatorRight()	Gets the right extrapolator used in the time dimension.
CurveInterpolator	getTimeInterpolator()	Gets the interpolator used in the time dimension.
ImmutableList<SmileDeltaParameters>	getVolatilityTerm()	Gets the smile description at the different time to expiry.
int	hashCode()
static InterpolatedStrikeSmileDeltaTermStructure.Meta	meta()	The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.
InterpolatedStrikeSmileDeltaTermStructure.Meta	metaBean()
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount)	Obtains volatility term structure from expiry times, delta values and volatilities.
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.
static InterpolatedStrikeSmileDeltaTermStructure	of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount)	Obtains volatility term structure from a set of smile descriptions.
static InterpolatedStrikeSmileDeltaTermStructure	of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveExtrapolator timeExtrapolatorLeft, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorRight, CurveExtrapolator strikeExtrapolatorLeft, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorRight)	Deprecated. Use variant with correct interpolator/extrapolator order
static InterpolatedStrikeSmileDeltaTermStructure	of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.
ValueDerivatives	partialFirstDerivatives(double expiry, double strike, double forward)	Computes the partial derivatives of the volatilities.
SmileAndBucketedSensitivities	smileAndSensitivitiesForExpiry(double expiry, DoubleArray volatilityAtTimeSensitivity)	Calculates the smile at a given time and the sensitivities with respect to the volatility data points.
SmileDeltaParameters	smileForExpiry(double expiry)	Calculates the smile at a given time.
String	toString()
double	volatility(double time, double strike, double forward)	Calculates the volatility at a given time/strike/forward from the term structure.
VolatilityAndBucketedSensitivities	volatilityAndSensitivities(double time, double strike, double forward)	Calculates the volatility and the volatility sensitivity with respect to the volatility data points.
InterpolatedStrikeSmileDeltaTermStructure	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
InterpolatedStrikeSmileDeltaTermStructure	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

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.market.param.ParameterizedData

findParameterIndex

Methods inherited from interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure

getDelta, getDeltaFull, getSmileCount, getStrikeCount

Method Detail

of

public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount)

Obtains volatility term structure from a set of smile descriptions.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:

volatilityTerm - the volatility descriptions

dayCount - the day count used for the expiry year-fraction

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:

volatilityTerm - the volatility descriptions

dayCount - the day count used for the expiry year-fraction

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

@Deprecated
public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Deprecated.

Use variant with correct interpolator/extrapolator order

Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.

Parameters:

volatilityTerm - the volatility descriptions

dayCount - the day count used for the expiry year-fraction

timeExtrapolatorLeft - left extrapolator used in the time dimension

timeInterpolator - interpolator used in the time dimension

timeExtrapolatorRight - right extrapolator used in the time dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(List<SmileDeltaParameters> volatilityTerm,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.

Parameters:

volatilityTerm - the volatility descriptions

dayCount - the day count used for the expiry year-fraction

timeInterpolator - interpolator used in the time dimension

timeExtrapolatorLeft - left extrapolator used in the time dimension

timeExtrapolatorRight - right extrapolator used in the time dimension

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount)

Obtains volatility term structure from expiry times, delta values and volatilities.

The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.

volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

volatility - the volatilities

dayCount - the day count used for the expiry year-fraction

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.

The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.

volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

volatility - the volatilities

dayCount - the day count used for the expiry year-fraction

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleMatrix volatility,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.

The market date consists of time to expiry, delta and volatility. The delta must be positive and sorted in ascending order. The range of delta is common to all time to expiry.

volatility should be n * (2 * m + 1), where n is the length of expiry and m is the length of delta.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

volatility - the volatilities

dayCount - the day count used for the expiry year-fraction

timeInterpolator - interpolator used in the time dimension

timeExtrapolatorLeft - left extrapolator used in the time dimension

timeExtrapolatorRight - right extrapolator used in the time dimension

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.

The range of delta is common to all time to expiry. riskReversal and strangle should be n * m, and the length of atm should n, where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation. The strike dimension will use 'Linear' interpolation with flat extrapolation.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

atm - the ATM volatilities

riskReversal - the risk reversal figures

strangle - the strangle figures

dayCount - the day count used for the expiry year-fraction

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.

The range of delta is common to all time to expiry. riskReversal and strangle should be n * m, and the length of atm should n, where n is the length of expiry and m is the length of delta.

The time dimension will use 'TimeSquare' interpolation with flat extrapolation.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

atm - the ATM volatilities

riskReversal - the risk reversal figures

strangle - the strangle figures

dayCount - the day count used for the expiry year-fraction

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

of

public static InterpolatedStrikeSmileDeltaTermStructure of(DoubleArray expiries,
                                                           DoubleArray delta,
                                                           DoubleArray atm,
                                                           DoubleMatrix riskReversal,
                                                           DoubleMatrix strangle,
                                                           DayCount dayCount,
                                                           CurveInterpolator timeInterpolator,
                                                           CurveExtrapolator timeExtrapolatorLeft,
                                                           CurveExtrapolator timeExtrapolatorRight,
                                                           CurveInterpolator strikeInterpolator,
                                                           CurveExtrapolator strikeExtrapolatorLeft,
                                                           CurveExtrapolator strikeExtrapolatorRight)

Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.

The range of delta is common to all time to expiry. riskReversal and strangle should be n * m, and the length of atm should n, where n is the length of expiry and m is the length of delta.

Parameters:

expiries - the expiry times of individual volatility smiles

delta - the delta values

atm - the ATM volatilities

riskReversal - the risk reversal figures

strangle - the strangle figures

dayCount - the day count used for the expiry year-fraction

timeInterpolator - interpolator used in the time dimension

timeExtrapolatorLeft - left extrapolator used in the time dimension

timeExtrapolatorRight - right extrapolator used in the time dimension

strikeInterpolator - interpolator used in the strike dimension

strikeExtrapolatorLeft - left extrapolator used in the strike dimension

strikeExtrapolatorRight - right extrapolator used in the strike dimension

Returns:

the instance

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the metadata of the parameter at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Specified by:

getParameterMetadata in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the metadata of the parameter

withParameter

public InterpolatedStrikeSmileDeltaTermStructure 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 ParameterizedData

Specified by:

withParameter in interface SmileDeltaTermStructure

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

public InterpolatedStrikeSmileDeltaTermStructure 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 ParameterizedData

Specified by:

withPerturbation in interface SmileDeltaTermStructure

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

getExpiries

public DoubleArray getExpiries()

Description copied from interface: SmileDeltaTermStructure

Gets the expiries associated with the volatility term.

Specified by:

getExpiries in interface SmileDeltaTermStructure

Returns:

the set of expiry

getExpiryTenors

public List<Optional<Tenor>> getExpiryTenors()

Description copied from interface: SmileDeltaTermStructure

Gets the tenor associated with each expiry in the volatility term.

Specified by:

getExpiryTenors in interface SmileDeltaTermStructure

Returns:

the list of tenors associated with the expiries, empty if not available

volatility

public double volatility(double time,
                         double strike,
                         double forward)

Description copied from interface: SmileDeltaTermStructure

Calculates the volatility at a given time/strike/forward from the term structure.

Specified by:

volatility in interface SmileDeltaTermStructure

Parameters:

time - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

volatilityAndSensitivities

public VolatilityAndBucketedSensitivities volatilityAndSensitivities(double time,
                                                                     double strike,
                                                                     double forward)

Description copied from interface: SmileDeltaTermStructure

Calculates the volatility and the volatility sensitivity with respect to the volatility data points.

Specified by:

volatilityAndSensitivities in interface SmileDeltaTermStructure

Parameters:

time - the time to expiry

strike - the strike

forward - the forward

Returns:

the volatility

partialFirstDerivatives

public ValueDerivatives partialFirstDerivatives(double expiry,
                                                double strike,
                                                double forward)

Description copied from interface: SmileDeltaTermStructure

Computes the partial derivatives of the volatilities.

The first derivatives are dVol/dExpiry and dVol/dStrike. The derivatives are in the following order:

• [0] derivative with respect to expiry
• [1] derivative with respect to strike

Specified by:

partialFirstDerivatives in interface SmileDeltaTermStructure

Parameters:

expiry - the expiry at which the partial derivative is taken

strike - the strike at which the partial derivative is taken

forward - the forward rate

Returns:

the z-value and it's partial first derivatives

smileForExpiry

public SmileDeltaParameters smileForExpiry(double expiry)

Description copied from interface: SmileDeltaTermStructure

Calculates the smile at a given time.

Specified by:

smileForExpiry in interface SmileDeltaTermStructure

Parameters:

expiry - the time to expiry

Returns:

the smile

smileAndSensitivitiesForExpiry

public SmileAndBucketedSensitivities smileAndSensitivitiesForExpiry(double expiry,
                                                                    DoubleArray volatilityAtTimeSensitivity)

Description copied from interface: SmileDeltaTermStructure

Calculates the smile at a given time and the sensitivities with respect to the volatility data points.

Specified by:

smileAndSensitivitiesForExpiry in interface SmileDeltaTermStructure

Parameters:

expiry - the time to expiry

volatilityAtTimeSensitivity - the sensitivity to the volatilities of the smile at the given time

Returns:

the smile and sensitivities

meta

public static InterpolatedStrikeSmileDeltaTermStructure.Meta meta()

The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.

Returns:

the meta-bean, not null

metaBean

public InterpolatedStrikeSmileDeltaTermStructure.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getVolatilityTerm

public ImmutableList<SmileDeltaParameters> getVolatilityTerm()

Gets the smile description at the different time to expiry. All item should have the same deltas.

Specified by:

getVolatilityTerm in interface SmileDeltaTermStructure

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention used for the expiry.

Specified by:

getDayCount in interface SmileDeltaTermStructure

Returns:

the value of the property, not null

getTimeInterpolator

public CurveInterpolator getTimeInterpolator()

Gets the interpolator used in the time dimension.

Returns:

the value of the property, not null

getTimeExtrapolatorLeft

public CurveExtrapolator getTimeExtrapolatorLeft()

Gets the left extrapolator used in the time dimension.

Returns:

the value of the property, not null

getTimeExtrapolatorRight

public CurveExtrapolator getTimeExtrapolatorRight()

Gets the right extrapolator used in the time dimension.

Returns:

the value of the property, not null

getStrikeInterpolator

public CurveInterpolator getStrikeInterpolator()

Gets the interpolator used in the strike dimension.

Returns:

the value of the property, not null

getStrikeExtrapolatorLeft

public CurveExtrapolator getStrikeExtrapolatorLeft()

Gets the left extrapolator used in the strike dimension.

Returns:

the value of the property, not null

getStrikeExtrapolatorRight

public CurveExtrapolator getStrikeExtrapolatorRight()

Gets the right extrapolator used in the strike dimension.

Returns:

the 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