Package com.opengamma.strata.pricer.impl.volatility.smile

Class SabrFormulaData

java.lang.Object

com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData

All Implemented Interfaces:

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

public final class SabrFormulaData
extends Object
implements SmileModelData, org.joda.beans.ImmutableBean, Serializable

The data bundle for SABR formula.

The bundle contains the SABR model parameters, alpha, beta, rho and nu, as an array.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
double	getAlpha()	Gets the alpha parameter.
double	getBeta()	Gets the beta parameter.
double	getNu()	Obtains the nu parameters.
int	getNumberOfParameters()	Obtains the number of model parameters.
double	getParameter(int index)	Obtains a model parameter specified by the index.
DoubleArray	getParameters()	Gets the model parameters.
double	getRho()	Gets the rho parameter.
int	hashCode()
boolean	isAllowed(int index, double value)	Checks the value satisfies the constraint for a model parameter.
static org.joda.beans.TypedMetaBean<SabrFormulaData>	meta()	The meta-bean for SabrFormulaData.
org.joda.beans.TypedMetaBean<SabrFormulaData>	metaBean()
static SabrFormulaData	of(double[] parameters)	Obtains an instance of the SABR formula data.
static SabrFormulaData	of(double alpha, double beta, double rho, double nu)	Obtains an instance of the SABR formula data.
String	toString()
SabrFormulaData	with(int index, double value)	Creates a new smile model data bundle with a model parameter replaced.
SabrFormulaData	withAlpha(double alpha)	Returns a copy of this instance with alpha replaced.
SabrFormulaData	withBeta(double beta)	Returns a copy of this instance with beta replaced.
SabrFormulaData	withNu(double nu)	Returns a copy of this instance with nu replaced.
SabrFormulaData	withRho(double rho)	Returns a copy of this instance with rho replaced.

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

Method Detail

of

public static SabrFormulaData of(double alpha,
                                 double beta,
                                 double rho,
                                 double nu)

Obtains an instance of the SABR formula data.

Parameters:

alpha - the alpha parameter

beta - the beta parameter

rho - the rho parameter

nu - the nu parameter

Returns:

the instance

of

public static SabrFormulaData of(double[] parameters)

Obtains an instance of the SABR formula data.

The parameters in the input array should be in the order of alpha, beta, rho and nu.

Parameters:

parameters - the parameters

Returns:

the instance

getAlpha

public double getAlpha()

Gets the alpha parameter.

Returns:

the alpha parameter

getBeta

public double getBeta()

Gets the beta parameter.

Returns:

the beta parameter

getRho

public double getRho()

Gets the rho parameter.

Returns:

the rho parameter

getNu

public double getNu()

Obtains the nu parameters.

Returns:

the nu parameter

withAlpha

public SabrFormulaData withAlpha(double alpha)

Returns a copy of this instance with alpha replaced.

Parameters:

alpha - the new alpha

Returns:

the new data instance

withBeta

public SabrFormulaData withBeta(double beta)

Returns a copy of this instance with beta replaced.

Parameters:

beta - the new beta

Returns:

the new data instance

withRho

public SabrFormulaData withRho(double rho)

Returns a copy of this instance with rho replaced.

Parameters:

rho - the new rho

Returns:

the new data instance

withNu

public SabrFormulaData withNu(double nu)

Returns a copy of this instance with nu replaced.

Parameters:

nu - the new nu

Returns:

the new data instance

getNumberOfParameters

public int getNumberOfParameters()

Description copied from interface: SmileModelData

Obtains the number of model parameters.

Specified by:

getNumberOfParameters in interface SmileModelData

Returns:

the number of model parameters

getParameter

public double getParameter(int index)

Description copied from interface: SmileModelData

Obtains a model parameter specified by the index.

Specified by:

getParameter in interface SmileModelData

Parameters:

index - the index

Returns:

the model parameter

isAllowed

public boolean isAllowed(int index,
                         double value)

Description copied from interface: SmileModelData

Checks the value satisfies the constraint for a model parameter.

The parameter is specified by index.

Specified by:

isAllowed in interface SmileModelData

Parameters:

index - the index

value - the value

Returns:

true if allowed, false otherwise

with

public SabrFormulaData with(int index,
                            double value)

Description copied from interface: SmileModelData

Creates a new smile model data bundle with a model parameter replaced.

The parameter is specified by index and replaced by value.

Specified by:

with in interface SmileModelData

Parameters:

index - the index

value - the value

Returns:

the new bundle

meta

public static org.joda.beans.TypedMetaBean<SabrFormulaData> meta()

The meta-bean for SabrFormulaData.

Returns:

the meta-bean, not null

metaBean

public org.joda.beans.TypedMetaBean<SabrFormulaData> metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getParameters

public DoubleArray getParameters()

Gets the model parameters.

This must be an array of length 4. The parameters in the array are in the order of alpha, beta, rho and nu. The constraints for the parameters are defined in isAllowed(int, double).

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