Package com.opengamma.strata.pricer.option

Class RawOptionData

java.lang.Object

com.opengamma.strata.pricer.option.RawOptionData

All Implemented Interfaces:

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

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

Raw data from the volatility market.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method	Description
Pair<DoubleArray,DoubleArray>	availableSmileAtExpiry(Period expiry)	For a given expiration returns all the data available.
boolean	equals(Object obj)
DoubleMatrix	getData()	Gets the data.
ValueType	getDataType()	Gets the type of the raw data.
Optional<DoubleMatrix>	getError()	Gets the measurement error of the option data.
ImmutableList<Period>	getExpiries()	Gets the expiry values.
OptionalDouble	getShift()	Gets the shift for which the raw data is valid.
DoubleArray	getStrikes()	Gets the strike values.
ValueType	getStrikeType()	Gets the value type of the strike-like dimension.
int	hashCode()
static org.joda.beans.TypedMetaBean<RawOptionData>	meta()	The meta-bean for RawOptionData.
org.joda.beans.TypedMetaBean<RawOptionData>	metaBean()
static RawOptionData	of(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, DoubleMatrix error, ValueType dataType)	Obtains an instance of the raw data with error.
static RawOptionData	of(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, ValueType dataType)	Obtains an instance of the raw volatility.
static RawOptionData	ofBlackVolatility(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, DoubleMatrix error, Double shift)	Obtains an instance of the raw data with error for shifted Black (log-normal) volatility.
static RawOptionData	ofBlackVolatility(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, Double shift)	Obtains an instance of the raw volatility for shifted Black (log-normal) volatility.
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 RawOptionData of(List<Period> expiries,
                               DoubleArray strikes,
                               ValueType strikeType,
                               DoubleMatrix data,
                               ValueType dataType)

Obtains an instance of the raw volatility.

The data values can be model parameters (like Black or normal volatilities) or direct option prices.

Parameters:

expiries - the expiries

strikes - the strikes-like data

strikeType - the value type of the strike-like dimension

data - the data

dataType - the data type

Returns:

the instance

ofBlackVolatility

public static RawOptionData ofBlackVolatility(List<Period> expiries,
                                              DoubleArray strikes,
                                              ValueType strikeType,
                                              DoubleMatrix data,
                                              Double shift)

Obtains an instance of the raw volatility for shifted Black (log-normal) volatility.

Parameters:

expiries - the expiries

strikes - the strikes-like data

strikeType - the value type of the strike-like dimension

data - the data

shift - the shift

Returns:

the instance

of

public static RawOptionData of(List<Period> expiries,
                               DoubleArray strikes,
                               ValueType strikeType,
                               DoubleMatrix data,
                               DoubleMatrix error,
                               ValueType dataType)

Obtains an instance of the raw data with error.

The data values can be model parameters (like Black or normal volatilities) or direct option prices.

Parameters:

expiries - the expiries

strikes - the strikes-like data

strikeType - the value type of the strike-like dimension

data - the data

error - the error

dataType - the data type

Returns:

the instance

ofBlackVolatility

public static RawOptionData ofBlackVolatility(List<Period> expiries,
                                              DoubleArray strikes,
                                              ValueType strikeType,
                                              DoubleMatrix data,
                                              DoubleMatrix error,
                                              Double shift)

Obtains an instance of the raw data with error for shifted Black (log-normal) volatility.

Parameters:

expiries - the expiries

strikes - the strikes-like data

strikeType - the value type of the strike-like dimension

data - the data

error - the error

shift - the shift

Returns:

the instance

availableSmileAtExpiry

public Pair<DoubleArray,DoubleArray> availableSmileAtExpiry(Period expiry)

For a given expiration returns all the data available.

Parameters:

expiry - the expiration

Returns:

the strikes and related volatilities for all available data at the given expiration

meta

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

The meta-bean for RawOptionData.

Returns:

the meta-bean, not null

metaBean

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

Specified by:

metaBean in interface org.joda.beans.Bean

getExpiries

public ImmutableList<Period> getExpiries()

Gets the expiry values.

Returns:

the value of the property, not null

getStrikes

public DoubleArray getStrikes()

Gets the strike values. Can be directly strike or moneyness (simple or log)

Returns:

the value of the property, not null

getStrikeType

public ValueType getStrikeType()

Gets the value type of the strike-like dimension.

Returns:

the value of the property, not null

getData

public DoubleMatrix getData()

Gets the data. The values can be model parameters (like Black or normal volatilities) or direct option prices. The first (outer) dimension is the expiry, the second dimension is the strike. A 'NaN' value indicates that the data is not available.

Returns:

the value of the property, not null

getError

public Optional<DoubleMatrix> getError()

Gets the measurement error of the option data.

These will be used if the option data is calibrated by a least square method. data and error must have the same number of elements.

Returns:

the optional value of the property, not null

getDataType

public ValueType getDataType()

Gets the type of the raw data.

Returns:

the value of the property, not null

getShift

public OptionalDouble getShift()

Gets the shift for which the raw data is valid. Used only if the dataType is 'BlackVolatility'.

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