com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.capfloor;
import static com.opengamma.strata.market.ValueType.BLACK_VOLATILITY;
import static com.opengamma.strata.market.ValueType.NORMAL_VOLATILITY;
import static com.opengamma.strata.market.ValueType.SABR_ALPHA;
import static com.opengamma.strata.market.ValueType.SABR_BETA;
import static com.opengamma.strata.market.ValueType.SABR_NU;
import static com.opengamma.strata.market.ValueType.SABR_RHO;
import static com.opengamma.strata.market.curve.interpolator.CurveExtrapolators.FLAT;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutablePreBuild;
import org.joda.beans.gen.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.market.curve.ConstantCurve;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveMetadata;
import com.opengamma.strata.market.curve.Curves;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.surface.SurfaceMetadata;
import com.opengamma.strata.market.surface.Surfaces;
import com.opengamma.strata.pricer.model.SabrVolatilityFormula;
import com.opengamma.strata.pricer.option.RawOptionData;
/**
* Definition of caplet volatilities calibration.
*
* This definition is used with {@link SabrIborCapletFloorletVolatilityBootstrapper}.
* The SABR parameters are computed by bootstrap along the time direction,
* thus the interpolation and left extrapolation for the time dimension must be local.
*
* Either rho or beta must be fixed.
* Then the calibration is computed to the other three SABR parameter curves.
* The resulting volatilities object will be {@link SabrParametersIborCapletFloorletVolatilities}.
*/
@BeanDefinition
public final class SabrIborCapletFloorletVolatilityBootstrapDefinition
implements IborCapletFloorletVolatilityDefinition, ImmutableBean, Serializable {
/**
* The name of the volatilities.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborCapletFloorletVolatilitiesName name;
/**
* The Ibor index for which the data is valid.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborIndex index;
/**
* The day count to measure the time in the expiry dimension.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DayCount dayCount;
/**
* The beta (elasticity) curve.
*
* This represents the beta parameter of SABR model.
*
* The beta will be treated as one of the calibration parameters if this field is not specified.
*/
@PropertyDefinition(get = "optional")
private final Curve betaCurve;
/**
* The rho (correlation) curve.
*
* This represents the rho parameter of SABR model.
*
* The rho will be treated as one of the calibration parameters if this field is not specified.
*/
@PropertyDefinition(get = "optional")
private final Curve rhoCurve;
/**
* The shift curve.
*
* This represents the shift parameter of shifted SABR model.
* The x value of the curve is the expiry.
*
* The shift is set to be zero if this field is not specified.
*/
@PropertyDefinition(validate = "notNull")
private final Curve shiftCurve;
/**
* The interpolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
*/
@PropertyDefinition(validate = "notNull")
private final CurveInterpolator interpolator;
/**
* The left extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
*/
@PropertyDefinition(validate = "notNull")
private final CurveExtrapolator extrapolatorLeft;
/**
* The right extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
*/
@PropertyDefinition(validate = "notNull")
private final CurveExtrapolator extrapolatorRight;
/**
* The SABR formula.
*/
@PropertyDefinition(validate = "notNull")
private final SabrVolatilityFormula sabrVolatilityFormula;
//-------------------------------------------------------------------------
/**
* Obtains an instance with zero shift and constant beta.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param beta the beta value
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double beta,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
Curve shiftCurve = ConstantCurve.of("Zero shift", 0d);
ConstantCurve betaCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Beta", dayCount, SABR_BETA), beta);
return new SabrIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
betaCurve,
null,
shiftCurve,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with constant beta and shift.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param beta the beta value
* @param shift the shift value
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double beta,
double shift,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve shiftCurve = ConstantCurve.of("Shift curve", shift);
ConstantCurve betaCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Beta", dayCount, SABR_BETA), beta);
return new SabrIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
betaCurve,
null,
shiftCurve,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with zero shift and constant beta.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param rho the rho value
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double rho,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
Curve shiftCurve = ConstantCurve.of("Zero shift", 0d);
ConstantCurve rhoCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Rho", dayCount, SABR_RHO), rho);
return new SabrIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
null,
rhoCurve,
shiftCurve,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with constant beta and shift.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param rho the rho value
* @param shift the shift value
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double rho,
double shift,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve shiftCurve = ConstantCurve.of("Shift curve", shift);
ConstantCurve rhoCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Rho", dayCount, SABR_RHO), rho);
return new SabrIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
null,
rhoCurve,
shiftCurve,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
//-------------------------------------------------------------------------
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.shiftCurve == null) {
builder.shiftCurve = ConstantCurve.of("Zero shift", 0d);
}
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(extrapolatorLeft.equals(FLAT), "extrapolator left must be flat extrapolator");
ArgChecker.isTrue(
interpolator.equals(CurveInterpolators.LINEAR) || interpolator.equals(CurveInterpolators.STEP_UPPER),
"interpolator must be local interpolator");
ArgChecker.isFalse(betaCurve != null && rhoCurve != null, "Only betaCurve or rhoCurve must be set, not both");
ArgChecker.isFalse(betaCurve == null && rhoCurve == null, "Either betaCurve or rhoCurve must be set");
}
//-------------------------------------------------------------------------
@Override
public SurfaceMetadata createMetadata(RawOptionData capFloorData) {
SurfaceMetadata metadata;
if (capFloorData.getDataType().equals(BLACK_VOLATILITY)) {
metadata = Surfaces.blackVolatilityByExpiryStrike(name.getName(), dayCount);
} else if (capFloorData.getDataType().equals(NORMAL_VOLATILITY)) {
metadata = Surfaces.normalVolatilityByExpiryStrike(name.getName(), dayCount);
} else {
throw new IllegalArgumentException("Data type not supported");
}
return metadata;
}
/**
* Creates curve metadata for SABR parameters.
*
* @return the curve metadata
*/
public ImmutableList createSabrParameterMetadata() {
CurveMetadata alphaMetadata = Curves.sabrParameterByExpiry(name.getName() + "-Alpha", dayCount, SABR_ALPHA);
CurveMetadata betaMetadata = Curves.sabrParameterByExpiry(name.getName() + "-Beta", dayCount, SABR_BETA);
CurveMetadata rhoMetadata = Curves.sabrParameterByExpiry(name.getName() + "-Rho", dayCount, SABR_RHO);
CurveMetadata nuMetadata = Curves.sabrParameterByExpiry(name.getName() + "-Nu", dayCount, SABR_NU);
return ImmutableList.of(alphaMetadata, betaMetadata, rhoMetadata, nuMetadata);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SabrIborCapletFloorletVolatilityBootstrapDefinition}.
* @return the meta-bean, not null
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta meta() {
return SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder builder() {
return new SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder();
}
private SabrIborCapletFloorletVolatilityBootstrapDefinition(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
Curve betaCurve,
Curve rhoCurve,
Curve shiftCurve,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(shiftCurve, "shiftCurve");
JodaBeanUtils.notNull(interpolator, "interpolator");
JodaBeanUtils.notNull(extrapolatorLeft, "extrapolatorLeft");
JodaBeanUtils.notNull(extrapolatorRight, "extrapolatorRight");
JodaBeanUtils.notNull(sabrVolatilityFormula, "sabrVolatilityFormula");
this.name = name;
this.index = index;
this.dayCount = dayCount;
this.betaCurve = betaCurve;
this.rhoCurve = rhoCurve;
this.shiftCurve = shiftCurve;
this.interpolator = interpolator;
this.extrapolatorLeft = extrapolatorLeft;
this.extrapolatorRight = extrapolatorRight;
this.sabrVolatilityFormula = sabrVolatilityFormula;
validate();
}
@Override
public SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta metaBean() {
return SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name of the volatilities.
* @return the value of the property, not null
*/
@Override
public IborCapletFloorletVolatilitiesName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index for which the data is valid.
* @return the value of the property, not null
*/
@Override
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the day count to measure the time in the expiry dimension.
* @return the value of the property, not null
*/
@Override
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the beta (elasticity) curve.
*
* This represents the beta parameter of SABR model.
*
* The beta will be treated as one of the calibration parameters if this field is not specified.
* @return the optional value of the property, not null
*/
public Optional getBetaCurve() {
return Optional.ofNullable(betaCurve);
}
//-----------------------------------------------------------------------
/**
* Gets the rho (correlation) curve.
*
* This represents the rho parameter of SABR model.
*
* The rho will be treated as one of the calibration parameters if this field is not specified.
* @return the optional value of the property, not null
*/
public Optional getRhoCurve() {
return Optional.ofNullable(rhoCurve);
}
//-----------------------------------------------------------------------
/**
* Gets the shift curve.
*
* This represents the shift parameter of shifted SABR model.
* The x value of the curve is the expiry.
*
* The shift is set to be zero if this field is not specified.
* @return the value of the property, not null
*/
public Curve getShiftCurve() {
return shiftCurve;
}
//-----------------------------------------------------------------------
/**
* Gets the interpolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @return the value of the property, not null
*/
public CurveInterpolator getInterpolator() {
return interpolator;
}
//-----------------------------------------------------------------------
/**
* Gets the left extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @return the value of the property, not null
*/
public CurveExtrapolator getExtrapolatorLeft() {
return extrapolatorLeft;
}
//-----------------------------------------------------------------------
/**
* Gets the right extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @return the value of the property, not null
*/
public CurveExtrapolator getExtrapolatorRight() {
return extrapolatorRight;
}
//-----------------------------------------------------------------------
/**
* Gets the SABR formula.
* @return the value of the property, not null
*/
public SabrVolatilityFormula getSabrVolatilityFormula() {
return sabrVolatilityFormula;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SabrIborCapletFloorletVolatilityBootstrapDefinition other = (SabrIborCapletFloorletVolatilityBootstrapDefinition) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(betaCurve, other.betaCurve) &&
JodaBeanUtils.equal(rhoCurve, other.rhoCurve) &&
JodaBeanUtils.equal(shiftCurve, other.shiftCurve) &&
JodaBeanUtils.equal(interpolator, other.interpolator) &&
JodaBeanUtils.equal(extrapolatorLeft, other.extrapolatorLeft) &&
JodaBeanUtils.equal(extrapolatorRight, other.extrapolatorRight) &&
JodaBeanUtils.equal(sabrVolatilityFormula, other.sabrVolatilityFormula);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(betaCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(rhoCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(interpolator);
hash = hash * 31 + JodaBeanUtils.hashCode(extrapolatorLeft);
hash = hash * 31 + JodaBeanUtils.hashCode(extrapolatorRight);
hash = hash * 31 + JodaBeanUtils.hashCode(sabrVolatilityFormula);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("SabrIborCapletFloorletVolatilityBootstrapDefinition{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("betaCurve").append('=').append(JodaBeanUtils.toString(betaCurve)).append(',').append(' ');
buf.append("rhoCurve").append('=').append(JodaBeanUtils.toString(rhoCurve)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve)).append(',').append(' ');
buf.append("interpolator").append('=').append(JodaBeanUtils.toString(interpolator)).append(',').append(' ');
buf.append("extrapolatorLeft").append('=').append(JodaBeanUtils.toString(extrapolatorLeft)).append(',').append(' ');
buf.append("extrapolatorRight").append('=').append(JodaBeanUtils.toString(extrapolatorRight)).append(',').append(' ');
buf.append("sabrVolatilityFormula").append('=').append(JodaBeanUtils.toString(sabrVolatilityFormula));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SabrIborCapletFloorletVolatilityBootstrapDefinition}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code name} property.
*/
private final MetaProperty name = DirectMetaProperty.ofImmutable(
this, "name", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, IborCapletFloorletVolatilitiesName.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, IborIndex.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, DayCount.class);
/**
* The meta-property for the {@code betaCurve} property.
*/
private final MetaProperty betaCurve = DirectMetaProperty.ofImmutable(
this, "betaCurve", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, Curve.class);
/**
* The meta-property for the {@code rhoCurve} property.
*/
private final MetaProperty rhoCurve = DirectMetaProperty.ofImmutable(
this, "rhoCurve", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, Curve.class);
/**
* The meta-property for the {@code shiftCurve} property.
*/
private final MetaProperty shiftCurve = DirectMetaProperty.ofImmutable(
this, "shiftCurve", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, Curve.class);
/**
* The meta-property for the {@code interpolator} property.
*/
private final MetaProperty interpolator = DirectMetaProperty.ofImmutable(
this, "interpolator", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, CurveInterpolator.class);
/**
* The meta-property for the {@code extrapolatorLeft} property.
*/
private final MetaProperty extrapolatorLeft = DirectMetaProperty.ofImmutable(
this, "extrapolatorLeft", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, CurveExtrapolator.class);
/**
* The meta-property for the {@code extrapolatorRight} property.
*/
private final MetaProperty extrapolatorRight = DirectMetaProperty.ofImmutable(
this, "extrapolatorRight", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, CurveExtrapolator.class);
/**
* The meta-property for the {@code sabrVolatilityFormula} property.
*/
private final MetaProperty sabrVolatilityFormula = DirectMetaProperty.ofImmutable(
this, "sabrVolatilityFormula", SabrIborCapletFloorletVolatilityBootstrapDefinition.class, SabrVolatilityFormula.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"index",
"dayCount",
"betaCurve",
"rhoCurve",
"shiftCurve",
"interpolator",
"extrapolatorLeft",
"extrapolatorRight",
"sabrVolatilityFormula");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 100346066: // index
return index;
case 1905311443: // dayCount
return dayCount;
case 1607020767: // betaCurve
return betaCurve;
case -2128671882: // rhoCurve
return rhoCurve;
case 1908090253: // shiftCurve
return shiftCurve;
case 2096253127: // interpolator
return interpolator;
case 1271703994: // extrapolatorLeft
return extrapolatorLeft;
case 773779145: // extrapolatorRight
return extrapolatorRight;
case -683564541: // sabrVolatilityFormula
return sabrVolatilityFormula;
}
return super.metaPropertyGet(propertyName);
}
@Override
public SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder builder() {
return new SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder();
}
@Override
public Class beanType() {
return SabrIborCapletFloorletVolatilityBootstrapDefinition.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty name() {
return name;
}
/**
* The meta-property for the {@code index} property.
* @return the meta-property, not null
*/
public MetaProperty index() {
return index;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code betaCurve} property.
* @return the meta-property, not null
*/
public MetaProperty betaCurve() {
return betaCurve;
}
/**
* The meta-property for the {@code rhoCurve} property.
* @return the meta-property, not null
*/
public MetaProperty rhoCurve() {
return rhoCurve;
}
/**
* The meta-property for the {@code shiftCurve} property.
* @return the meta-property, not null
*/
public MetaProperty shiftCurve() {
return shiftCurve;
}
/**
* The meta-property for the {@code interpolator} property.
* @return the meta-property, not null
*/
public MetaProperty interpolator() {
return interpolator;
}
/**
* The meta-property for the {@code extrapolatorLeft} property.
* @return the meta-property, not null
*/
public MetaProperty extrapolatorLeft() {
return extrapolatorLeft;
}
/**
* The meta-property for the {@code extrapolatorRight} property.
* @return the meta-property, not null
*/
public MetaProperty extrapolatorRight() {
return extrapolatorRight;
}
/**
* The meta-property for the {@code sabrVolatilityFormula} property.
* @return the meta-property, not null
*/
public MetaProperty sabrVolatilityFormula() {
return sabrVolatilityFormula;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getName();
case 100346066: // index
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getIndex();
case 1905311443: // dayCount
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getDayCount();
case 1607020767: // betaCurve
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).betaCurve;
case -2128671882: // rhoCurve
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).rhoCurve;
case 1908090253: // shiftCurve
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getShiftCurve();
case 2096253127: // interpolator
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getInterpolator();
case 1271703994: // extrapolatorLeft
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getExtrapolatorLeft();
case 773779145: // extrapolatorRight
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getExtrapolatorRight();
case -683564541: // sabrVolatilityFormula
return ((SabrIborCapletFloorletVolatilityBootstrapDefinition) bean).getSabrVolatilityFormula();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code SabrIborCapletFloorletVolatilityBootstrapDefinition}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private IborCapletFloorletVolatilitiesName name;
private IborIndex index;
private DayCount dayCount;
private Curve betaCurve;
private Curve rhoCurve;
private Curve shiftCurve;
private CurveInterpolator interpolator;
private CurveExtrapolator extrapolatorLeft;
private CurveExtrapolator extrapolatorRight;
private SabrVolatilityFormula sabrVolatilityFormula;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(SabrIborCapletFloorletVolatilityBootstrapDefinition beanToCopy) {
this.name = beanToCopy.getName();
this.index = beanToCopy.getIndex();
this.dayCount = beanToCopy.getDayCount();
this.betaCurve = beanToCopy.betaCurve;
this.rhoCurve = beanToCopy.rhoCurve;
this.shiftCurve = beanToCopy.getShiftCurve();
this.interpolator = beanToCopy.getInterpolator();
this.extrapolatorLeft = beanToCopy.getExtrapolatorLeft();
this.extrapolatorRight = beanToCopy.getExtrapolatorRight();
this.sabrVolatilityFormula = beanToCopy.getSabrVolatilityFormula();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 100346066: // index
return index;
case 1905311443: // dayCount
return dayCount;
case 1607020767: // betaCurve
return betaCurve;
case -2128671882: // rhoCurve
return rhoCurve;
case 1908090253: // shiftCurve
return shiftCurve;
case 2096253127: // interpolator
return interpolator;
case 1271703994: // extrapolatorLeft
return extrapolatorLeft;
case 773779145: // extrapolatorRight
return extrapolatorRight;
case -683564541: // sabrVolatilityFormula
return sabrVolatilityFormula;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3373707: // name
this.name = (IborCapletFloorletVolatilitiesName) newValue;
break;
case 100346066: // index
this.index = (IborIndex) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case 1607020767: // betaCurve
this.betaCurve = (Curve) newValue;
break;
case -2128671882: // rhoCurve
this.rhoCurve = (Curve) newValue;
break;
case 1908090253: // shiftCurve
this.shiftCurve = (Curve) newValue;
break;
case 2096253127: // interpolator
this.interpolator = (CurveInterpolator) newValue;
break;
case 1271703994: // extrapolatorLeft
this.extrapolatorLeft = (CurveExtrapolator) newValue;
break;
case 773779145: // extrapolatorRight
this.extrapolatorRight = (CurveExtrapolator) newValue;
break;
case -683564541: // sabrVolatilityFormula
this.sabrVolatilityFormula = (SabrVolatilityFormula) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public SabrIborCapletFloorletVolatilityBootstrapDefinition build() {
preBuild(this);
return new SabrIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
betaCurve,
rhoCurve,
shiftCurve,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
//-----------------------------------------------------------------------
/**
* Sets the name of the volatilities.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(IborCapletFloorletVolatilitiesName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the Ibor index for which the data is valid.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(IborIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the day count to measure the time in the expiry dimension.
* @param dayCount the new value, not null
* @return this, for chaining, not null
*/
public Builder dayCount(DayCount dayCount) {
JodaBeanUtils.notNull(dayCount, "dayCount");
this.dayCount = dayCount;
return this;
}
/**
* Sets the beta (elasticity) curve.
*
* This represents the beta parameter of SABR model.
*
* The beta will be treated as one of the calibration parameters if this field is not specified.
* @param betaCurve the new value
* @return this, for chaining, not null
*/
public Builder betaCurve(Curve betaCurve) {
this.betaCurve = betaCurve;
return this;
}
/**
* Sets the rho (correlation) curve.
*
* This represents the rho parameter of SABR model.
*
* The rho will be treated as one of the calibration parameters if this field is not specified.
* @param rhoCurve the new value
* @return this, for chaining, not null
*/
public Builder rhoCurve(Curve rhoCurve) {
this.rhoCurve = rhoCurve;
return this;
}
/**
* Sets the shift curve.
*
* This represents the shift parameter of shifted SABR model.
* The x value of the curve is the expiry.
*
* The shift is set to be zero if this field is not specified.
* @param shiftCurve the new value, not null
* @return this, for chaining, not null
*/
public Builder shiftCurve(Curve shiftCurve) {
JodaBeanUtils.notNull(shiftCurve, "shiftCurve");
this.shiftCurve = shiftCurve;
return this;
}
/**
* Sets the interpolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @param interpolator the new value, not null
* @return this, for chaining, not null
*/
public Builder interpolator(CurveInterpolator interpolator) {
JodaBeanUtils.notNull(interpolator, "interpolator");
this.interpolator = interpolator;
return this;
}
/**
* Sets the left extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @param extrapolatorLeft the new value, not null
* @return this, for chaining, not null
*/
public Builder extrapolatorLeft(CurveExtrapolator extrapolatorLeft) {
JodaBeanUtils.notNull(extrapolatorLeft, "extrapolatorLeft");
this.extrapolatorLeft = extrapolatorLeft;
return this;
}
/**
* Sets the right extrapolator for the SABR parameter curves.
*
* The x value of the interpolated curves is the expiry.
* @param extrapolatorRight the new value, not null
* @return this, for chaining, not null
*/
public Builder extrapolatorRight(CurveExtrapolator extrapolatorRight) {
JodaBeanUtils.notNull(extrapolatorRight, "extrapolatorRight");
this.extrapolatorRight = extrapolatorRight;
return this;
}
/**
* Sets the SABR formula.
* @param sabrVolatilityFormula the new value, not null
* @return this, for chaining, not null
*/
public Builder sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula) {
JodaBeanUtils.notNull(sabrVolatilityFormula, "sabrVolatilityFormula");
this.sabrVolatilityFormula = sabrVolatilityFormula;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("betaCurve").append('=').append(JodaBeanUtils.toString(betaCurve)).append(',').append(' ');
buf.append("rhoCurve").append('=').append(JodaBeanUtils.toString(rhoCurve)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve)).append(',').append(' ');
buf.append("interpolator").append('=').append(JodaBeanUtils.toString(interpolator)).append(',').append(' ');
buf.append("extrapolatorLeft").append('=').append(JodaBeanUtils.toString(extrapolatorLeft)).append(',').append(' ');
buf.append("extrapolatorRight").append('=').append(JodaBeanUtils.toString(extrapolatorRight)).append(',').append(' ');
buf.append("sabrVolatilityFormula").append('=').append(JodaBeanUtils.toString(sabrVolatilityFormula));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}