Package com.opengamma.strata.pricer.swaption

Interface SabrSwaptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData, SwaptionVolatilities

All Known Implementing Classes:

SabrParametersSwaptionVolatilities

public interface SabrSwaptionVolatilities
extends SwaptionVolatilities

Volatility for swaptions in SABR model.

The volatility is represented in terms of SABR model parameters.

The prices are calculated using the SABR implied volatility with respect to the Black formula.

Method Summary

Modifier and Type	Method	Description
double	alpha(double expiry, double tenor)	Calculates the alpha parameter for a pair of time to expiry and instrument tenor.
double	beta(double expiry, double tenor)	Calculates the beta parameter for a pair of time to expiry and instrument tenor.
default PointSensitivityBuilder	convertSwaptionSensitivity(SwaptionSensitivity swptSensi)	Convert a SwaptionSensitivity for a expiry, tenor and strike in the associated SABR parameter sensitivities.
default ValueType	getVolatilityType()	Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.
double	nu(double expiry, double tenor)	Calculates the nu parameter for a pair of time to expiry and instrument tenor.
double	rho(double expiry, double tenor)	Calculates the rho parameter for a pair of time to expiry and instrument tenor.
double	shift(double expiry, double tenor)	Calculates the shift parameter for the specified time to expiry and instrument tenor.
ValueDerivatives	volatilityAdjoint(double expiry, double tenor, double strike, double forward)	Calculates the volatility and associated sensitivities.
SabrSwaptionVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
SabrSwaptionVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Methods inherited from interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities

getConvention, getName, getValuationDate, getValuationDateTime, parameterSensitivity, parameterSensitivity, price, priceDelta, priceGamma, priceTheta, priceVega, relativeTime, tenor, volatility, volatility

Method Detail

getVolatilityType

default ValueType getVolatilityType()

Description copied from interface: SwaptionVolatilities

Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.

Specified by:

getVolatilityType in interface SwaptionVolatilities

Returns:

the type

withParameter

SabrSwaptionVolatilities 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 SwaptionVolatilities

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

SabrSwaptionVolatilities 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 SwaptionVolatilities

Parameters:

perturbation - the perturbation to apply

Returns:

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

alpha

double alpha(double expiry,
             double tenor)

Calculates the alpha parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the alpha parameter

beta

double beta(double expiry,
            double tenor)

Calculates the beta parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the beta parameter

rho

double rho(double expiry,
           double tenor)

Calculates the rho parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the rho parameter

nu

double nu(double expiry,
          double tenor)

Calculates the nu parameter for a pair of time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the nu parameter

shift

double shift(double expiry,
             double tenor)

Calculates the shift parameter for the specified time to expiry and instrument tenor.

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

Returns:

the shift parameter

volatilityAdjoint

ValueDerivatives volatilityAdjoint(double expiry,
                                   double tenor,
                                   double strike,
                                   double forward)

Calculates the volatility and associated sensitivities.

The derivatives are stored in an array with:

• [0] derivative with respect to the forward
• [1] derivative with respect to the forward strike
• [2] derivative with respect to the alpha
• [3] derivative with respect to the beta
• [4] derivative with respect to the rho
• [5] derivative with respect to the nu

Parameters:

expiry - the time to expiry as a year fraction

tenor - the tenor of the instrument as a year fraction

strike - the strike

forward - the forward

Returns:

the volatility and associated sensitivities

convertSwaptionSensitivity

default PointSensitivityBuilder convertSwaptionSensitivity(SwaptionSensitivity swptSensi)

Convert a SwaptionSensitivity for a expiry, tenor and strike in the associated SABR parameter sensitivities.

Parameters:

swptSensi - the swaption volatility sensitivity at a given strike

Returns:

the swaption SABR parameter sensitivities