com.opengamma.strata.pricer.bond.BondFutureVolatilities Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.bond;
import java.time.LocalDate;
import java.time.ZonedDateTime;
import com.opengamma.strata.market.MarketDataView;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.ParameterizedData;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
/**
* Volatilities for pricing bond futures and their options.
*
* This provides access to the volatilities for pricing models, such as Black.
*/
public interface BondFutureVolatilities
extends MarketDataView, ParameterizedData {
/**
* Gets the name of these volatilities.
*
* @return the name
*/
public abstract BondFutureVolatilitiesName getName();
/**
* Gets the type of volatility returned by the {@link BondFutureVolatilities#volatility} method.
*
* @return the type
*/
public abstract ValueType getVolatilityType();
/**
* Gets the valuation date.
*
* The volatilities are calibrated for this date.
*
* @return the valuation date
*/
@Override
public default LocalDate getValuationDate() {
return getValuationDateTime().toLocalDate();
}
/**
* Gets the valuation date-time.
*
* The volatilities are calibrated for this date-time.
*
* @return the valuation date-time
*/
public abstract ZonedDateTime getValuationDateTime();
@Override
public abstract BondFutureVolatilities withParameter(int parameterIndex, double newValue);
@Override
public abstract BondFutureVolatilities withPerturbation(ParameterPerturbation perturbation);
//-------------------------------------------------------------------------
/**
* Calculates the volatility at the specified expiry.
*
* @param expiryDateTime the option expiry
* @param fixingDate the underlying future fixing date
* @param strike the option strike rate
* @param forward the forward rate
* @return the volatility
* @throws RuntimeException if the value cannot be obtained
*/
public default double volatility(ZonedDateTime expiryDateTime, LocalDate fixingDate, double strike, double forward) {
return volatility(relativeTime(expiryDateTime), fixingDate, strike, forward);
}
/**
* Calculates the volatility at the specified expiry.
*
* This relies on expiry supplied by {@link #relativeTime(ZonedDateTime)}.
*
* @param expiry the time to expiry as a year fraction
* @param fixingDate the underlying future fixing date
* @param strike the option strike rate
* @param forward the forward rate
* @return the volatility
* @throws RuntimeException if the value cannot be obtained
*/
public abstract double volatility(double expiry, LocalDate fixingDate, double strike, double forward);
//-------------------------------------------------------------------------
/**
* Calculates the parameter sensitivity.
*
* This computes the {@link CurrencyParameterSensitivities} associated with the {@link PointSensitivities}.
* This corresponds to the projection of the point sensitivity to the internal parameters representation.
*
* @param pointSensitivities the point sensitivities
* @return the sensitivity to the underlying parameters
*/
public default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities) {
return parameterSensitivity(PointSensitivities.of(pointSensitivities));
}
/**
* Calculates the parameter sensitivity.
*
* This computes the {@link CurrencyParameterSensitivities} associated with the {@link PointSensitivities}.
* This corresponds to the projection of the point sensitivity to the internal parameters representation.
*
* @param pointSensitivities the point sensitivities
* @return the sensitivity to the underlying parameters
*/
public abstract CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities);
//-------------------------------------------------------------------------
/**
* Converts a time and date to a relative year fraction.
*
* When the date is after the valuation date (and potentially time), the returned number is negative.
*
* @param dateTime the date-time to find the relative year fraction of
* @return the relative year fraction
*/
public abstract double relativeTime(ZonedDateTime dateTime);
}