Package com.opengamma.strata.pricer.fxopt

Class SmileDeltaParameters

java.lang.Object

com.opengamma.strata.pricer.fxopt.SmileDeltaParameters

All Implemented Interfaces:

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

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

A delta dependent smile as used in Forex market.

This contains the data for delta dependent smile from at-the-money, risk reversal and strangle. The delta used is the delta with respect to forward.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
DoubleArray	getDelta()	Gets the delta of the different data points.
double	getExpiry()	Gets the time to expiry associated with the data.
Optional<Tenor>	getExpiryTenor()	Gets the tenor associated with the time to expiry, optional.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ImmutableList<ParameterMetadata>	getParameterMetadata()	Gets the associated metadata.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
DoubleArray	getVolatility()	Gets the volatilities associated with the strikes.
int	hashCode()
DoubleArray	impliedStrikesDerivativeToExpiry(double forward)	Calculates the derivatives of the implied strikes to expiry.
DoubleArray	impliedStrikesDerivativeToSmileVols(double forward)	Calculates the derivatives of the implied strikes to volatility.
static SmileDeltaParameters.Meta	meta()	The meta-bean for SmileDeltaParameters.
SmileDeltaParameters.Meta	metaBean()
static SmileDeltaParameters	of(double expiry, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle)	Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
static SmileDeltaParameters	of(double expiry, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle, List<ParameterMetadata> parameterMetadata)	Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
static SmileDeltaParameters	of(double expiry, Tenor expiryTenor, double atmVolatility, DoubleArray delta, DoubleArray riskReversal, DoubleArray strangle)	Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
static SmileDeltaParameters	of(double expiry, Tenor expiryTenor, DoubleArray delta, DoubleArray volatility)	Obtains an instance from volatility.
static SmileDeltaParameters	of(double expiry, DoubleArray delta, DoubleArray volatility)	Obtains an instance from volatility.
static SmileDeltaParameters	of(double expiry, DoubleArray delta, DoubleArray volatility, List<ParameterMetadata> parameterMetadata)	Obtains an instance from volatility.
DoubleArray	strike(double forward)	Calculates the strikes in ascending order.
String	toString()
SmileDeltaParameters	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
SmileDeltaParameters	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

Method Detail

of

public static SmileDeltaParameters of(double expiry,
                                      DoubleArray delta,
                                      DoubleArray volatility)

Obtains an instance from volatility.

GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.

Parameters:

expiry - the time to expiry associated to the data

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

volatility - the volatilities

Returns:

the smile definition

of

public static SmileDeltaParameters of(double expiry,
                                      Tenor expiryTenor,
                                      DoubleArray delta,
                                      DoubleArray volatility)

Obtains an instance from volatility.

GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.

Parameters:

expiry - the time to expiry associated to the data

expiryTenor - the tenor associated with the expiry

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

volatility - the volatilities

Returns:

the smile definition

of

public static SmileDeltaParameters of(double expiry,
                                      DoubleArray delta,
                                      DoubleArray volatility,
                                      List<ParameterMetadata> parameterMetadata)

Obtains an instance from volatility.

Parameters:

expiry - the time to expiry associated to the data

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

volatility - the volatilities

parameterMetadata - the parameter metadata

Returns:

the smile definition

of

public static SmileDeltaParameters of(double expiry,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle)

Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.

GenericVolatilitySurfaceYearFractionParameterMetadata is used for parameter metadata.

Parameters:

expiry - the time to expiry associated to the data

atmVolatility - the at-the-money volatility

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

riskReversal - the risk reversal volatility figures, in the same order as the delta

strangle - the strangle volatility figures, in the same order as the delta

Returns:

the smile definition

of

public static SmileDeltaParameters of(double expiry,
                                      Tenor expiryTenor,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle)

Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.

This factory allows the tenor to be included in the parameter metadata.

Parameters:

expiry - the time to expiry associated to the data

expiryTenor - the tenor associated with the expiry

atmVolatility - the at-the-money volatility

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

riskReversal - the risk reversal volatility figures, in the same order as the delta

strangle - the strangle volatility figures, in the same order as the delta

Returns:

the smile definition

of

public static SmileDeltaParameters of(double expiry,
                                      double atmVolatility,
                                      DoubleArray delta,
                                      DoubleArray riskReversal,
                                      DoubleArray strangle,
                                      List<ParameterMetadata> parameterMetadata)

Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.

Parameters:

expiry - the time to expiry associated to the data

atmVolatility - the at-the-money volatility

delta - the delta of the different data points, must be positive and sorted in ascending order, the put will have as delta the opposite of the numbers

riskReversal - the risk reversal volatility figures, in the same order as the delta

strangle - the strangle volatility figures, in the same order as the delta

parameterMetadata - the parameter metadata

Returns:

the smile definition

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 SmileDeltaParameters 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

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 SmileDeltaParameters 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

Parameters:

perturbation - the perturbation to apply

Returns:

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

strike

public DoubleArray strike(double forward)

Calculates the strikes in ascending order.

The result has twice the number of values plus one as the delta/volatility. The put with lower delta (in absolute value) first, at-the-money and call with larger delta first.

Parameters:

forward - the forward

Returns:

the strikes

impliedStrikesDerivativeToExpiry

public DoubleArray impliedStrikesDerivativeToExpiry(double forward)

Calculates the derivatives of the implied strikes to expiry.

Parameters:

forward - the forward

Returns:

the strikes

impliedStrikesDerivativeToSmileVols

public DoubleArray impliedStrikesDerivativeToSmileVols(double forward)

Calculates the derivatives of the implied strikes to volatility.

Parameters:

forward - the forward

Returns:

the strikes

getExpiryTenor

public Optional<Tenor> getExpiryTenor()

Gets the tenor associated with the time to expiry, optional.

Returns:

the optional value of the property, not null

meta

public static SmileDeltaParameters.Meta meta()

The meta-bean for SmileDeltaParameters.

Returns:

the meta-bean, not null

metaBean

public SmileDeltaParameters.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getExpiry

public double getExpiry()

Gets the time to expiry associated with the data.

Returns:

the value of the property

getDelta

public DoubleArray getDelta()

Gets the delta of the different data points. Must be positive and sorted in ascending order. The put will have as delta the opposite of the numbers. The array is typically [0.1, 0.25]. The at-the-money value of 0.5 is not included.

Returns:

the value of the property

getVolatility

public DoubleArray getVolatility()

Gets the volatilities associated with the strikes. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.

Returns:

the value of the property

getParameterMetadata

public ImmutableList<ParameterMetadata> getParameterMetadata()

Gets the associated metadata. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.

Returns:

the value of the property

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