Package com.opengamma.strata.pricer.model

Class HullWhiteOneFactorPiecewiseConstantParametersProvider

java.lang.Object

com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider

All Implemented Interfaces:

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

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

Hull-White one factor model with piecewise constant volatility.

Reference: Henrard, M. "The Irony in the derivatives discounting Part II: the crisis", Wilmott Journal, 2010, 2, 301-316

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
double	alpha(LocalDate startDate, LocalDate endDate, LocalDate numeraireDate, LocalDate maturityDate)	Calculates the alpha value for the specified period with respect to the maturity date.
ValueDerivatives	alphaAdjoint(LocalDate startDate, LocalDate endDate, LocalDate numeraireDate, LocalDate maturityDate)	Calculates the alpha and its derivative values for the specified period with respect to the maturity date.
boolean	equals(Object obj)
double	futuresConvexityFactor(LocalDate referenceDate, LocalDate startDate, LocalDate endDate)	Calculates the future convexity factor for the specified period at the future reference date.
ValueDerivatives	futuresConvexityFactorAdjoint(LocalDate referenceDate, LocalDate startDate, LocalDate endDate)	Calculates the future convexity factor and its derivative for the specified period at the future reference date.
DayCount	getDayCount()	Gets the day count applicable to the model.
HullWhiteOneFactorPiecewiseConstantInterestRateModel	getModel()	Returns a Hull-White one-factor model.
HullWhiteOneFactorPiecewiseConstantParameters	getParameters()	Gets the Hull-White model parameters.
ZonedDateTime	getValuationDateTime()	Gets the valuation date.
int	hashCode()
static HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta	meta()	The meta-bean for HullWhiteOneFactorPiecewiseConstantParametersProvider.
HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta	metaBean()
static HullWhiteOneFactorPiecewiseConstantParametersProvider	of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, LocalDate valuationDate, LocalTime valuationTime, ZoneId valuationZone)	Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.
static HullWhiteOneFactorPiecewiseConstantParametersProvider	of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, ZonedDateTime valuationDateTime)	Obtains an instance from Hull-White model parameters and the date-time for which it is valid.
double	relativeTime(LocalDate date)	Converts a date to a relative year fraction.
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

Method Detail

of

public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(HullWhiteOneFactorPiecewiseConstantParameters parameters,
                                                                       DayCount dayCount,
                                                                       ZonedDateTime valuationDateTime)

Obtains an instance from Hull-White model parameters and the date-time for which it is valid.

Parameters:

parameters - the Hull-White model parameters

dayCount - the day count applicable to the model

valuationDateTime - the valuation date-time

Returns:

the provider

of

public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(HullWhiteOneFactorPiecewiseConstantParameters parameters,
                                                                       DayCount dayCount,
                                                                       LocalDate valuationDate,
                                                                       LocalTime valuationTime,
                                                                       ZoneId valuationZone)

Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.

Parameters:

parameters - the Hull-White model parameters

dayCount - the day count applicable to the model

valuationDate - the valuation date

valuationTime - the valuation time

valuationZone - the valuation time zone

Returns:

the provider

futuresConvexityFactor

public double futuresConvexityFactor(LocalDate referenceDate,
                                     LocalDate startDate,
                                     LocalDate endDate)

Calculates the future convexity factor for the specified period at the future reference date.

Parameters:

referenceDate - the reference date

startDate - the start date of the period

endDate - the end date of the period

Returns:

the convexity factor

futuresConvexityFactorAdjoint

public ValueDerivatives futuresConvexityFactorAdjoint(LocalDate referenceDate,
                                                      LocalDate startDate,
                                                      LocalDate endDate)

Calculates the future convexity factor and its derivative for the specified period at the future reference date.

Parameters:

referenceDate - the reference date

startDate - the start date of the period

endDate - the end date of the period

Returns:

the convexity factor

relativeTime

public double relativeTime(LocalDate date)

Converts a date to a relative year fraction.

When the date is after the valuation date, the returned number is negative.

Parameters:

date - the date to find the relative year fraction of

Returns:

the relative year fraction

alpha

public double alpha(LocalDate startDate,
                    LocalDate endDate,
                    LocalDate numeraireDate,
                    LocalDate maturityDate)

Calculates the alpha value for the specified period with respect to the maturity date.

The alpha is computed with a bond numeraire of numeraireDate.

Parameters:

startDate - the start date of the period

endDate - the end date of the period

numeraireDate - the numeraire date

maturityDate - the maturity date

Returns:

the alpha

alphaAdjoint

public ValueDerivatives alphaAdjoint(LocalDate startDate,
                                     LocalDate endDate,
                                     LocalDate numeraireDate,
                                     LocalDate maturityDate)

Calculates the alpha and its derivative values for the specified period with respect to the maturity date.

The alpha is computed with a bond numeraire of numeraireDate.

Parameters:

startDate - the start date of the period

endDate - the end date of the period

numeraireDate - the numeraire date

maturityDate - the maturity date

Returns:

the alpha adjoint

getModel

public HullWhiteOneFactorPiecewiseConstantInterestRateModel getModel()

Returns a Hull-White one-factor model.

Returns:

the model

meta

public static HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta meta()

The meta-bean for HullWhiteOneFactorPiecewiseConstantParametersProvider.

Returns:

the meta-bean, not null

metaBean

public HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getParameters

public HullWhiteOneFactorPiecewiseConstantParameters getParameters()

Gets the Hull-White model parameters.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count applicable to the model.

Returns:

the value of the property, not null

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date.

The volatilities are calibrated for this date-time.

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