com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition 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 java.io.Serializable;
import java.util.ArrayList;
import java.util.Collections;
import java.util.List;
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.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.collect.array.DoubleArray;
import com.opengamma.strata.market.curve.ConstantCurve;
import com.opengamma.strata.market.curve.ConstantNodalCurve;
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.InterpolatedNodalCurve;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
import com.opengamma.strata.market.surface.SurfaceMetadata;
import com.opengamma.strata.market.surface.Surfaces;
import com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform;
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 SabrIborCapletFloorletVolatilityCalibrator}.
* The term structure of SABR model parameters is calibrated to cap volatilities.
* The SABR parameters are represented by {@code NodalCurve} and the node positions on the curves are flexible.
*
* Either rho or beta must be fixed.
* Then the calibration is computed in terms of the other three SABR parameter curves.
* The resulting volatilities object will be {@link SabrParametersIborCapletFloorletVolatilities}.
*/
@BeanDefinition
public final class SabrIborCapletFloorletVolatilityCalibrationDefinition
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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
*/
@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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
*/
@PropertyDefinition(get = "optional")
private final Curve rhoCurve;
/**
* The shift curve.
*
* This represents the shift parameter of shifted SABR model.
*
* The shift is set to be zero if this field is not specified.
*/
@PropertyDefinition(validate = "notNull")
private final Curve shiftCurve;
/**
* The nodes of SABR parameter curves.
*
* The size of the list must be 4, ordered as alpha, beta, rho and nu.
*
* If the number of nodes is greater than 1, the curve will be created with {@code CurveInterpolator} and
* {@code CurveExtrapolator} specified below. Otherwise, {@code ConstantNodalCurve} will be created.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableList parameterCurveNodes;
/**
* The initial parameter values used in calibration.
*
* Default values will be used if not specified.
* The size of this field must be 4, ordered as alpha, beta, rho and nu.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray initialParameters;
/**
* The interpolator for the SABR parameters.
*/
@PropertyDefinition(validate = "notNull")
private final CurveInterpolator interpolator;
/**
* The left extrapolator for the SABR parameters.
*
* The flat extrapolation is used if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final CurveExtrapolator extrapolatorLeft;
/**
* The right extrapolator for the SABR parameters.
*
* The flat extrapolation is used if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final CurveExtrapolator extrapolatorRight;
/**
* The SABR formula.
*/
@PropertyDefinition(validate = "notNull")
private final SabrVolatilityFormula sabrVolatilityFormula;
//-------------------------------------------------------------------------
/**
* Obtains an instance with fixed beta and nonzero shift.
*
* The beta and shift are constant in time.
* The default initial values will be used in the calibration.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param beta the beta
* @param shift the shift
* @param alphaCurveNodes the alpha curve nodes
* @param rhoCurveNodes the rho curve nodes
* @param nuCurveNodes the nu curve nodes
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double beta,
double shift,
DoubleArray alphaCurveNodes,
DoubleArray rhoCurveNodes,
DoubleArray nuCurveNodes,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
DoubleArray initialValues = DoubleArray.of(0.1, beta, -0.2, 0.5);
return ofFixedBeta(
name,
index,
dayCount,
shift,
alphaCurveNodes,
rhoCurveNodes,
nuCurveNodes,
initialValues,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed beta and zero shift.
*
* The default initial values will be used in the calibration.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param beta the beta
* @param alphaCurveNodes the alpha curve nodes
* @param rhoCurveNodes the rho curve nodes
* @param nuCurveNodes the nu curve nodes
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double beta,
DoubleArray alphaCurveNodes,
DoubleArray rhoCurveNodes,
DoubleArray nuCurveNodes,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
DoubleArray initialValues = DoubleArray.of(0.1, beta, -0.2, 0.5);
return ofFixedBeta(
name,
index,
dayCount,
alphaCurveNodes,
rhoCurveNodes,
nuCurveNodes,
initialValues,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed beta, nonzero shift and initial values.
*
* The beta and shift are constant in time.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param shift the shift
* @param alphaCurveNodes the alpha curve nodes
* @param rhoCurveNodes the rho curve nodes
* @param nuCurveNodes the nu curve nodes
* @param initialParameters the initial parameters
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double shift,
DoubleArray alphaCurveNodes,
DoubleArray rhoCurveNodes,
DoubleArray nuCurveNodes,
DoubleArray initialParameters,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve betaCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Beta", dayCount, SABR_BETA), initialParameters.get(1));
ConstantCurve shiftCurve = ConstantCurve.of("Shift curve", shift);
return new SabrIborCapletFloorletVolatilityCalibrationDefinition(
name,
index,
dayCount,
betaCurve,
null,
shiftCurve,
ImmutableList.of(alphaCurveNodes, DoubleArray.of(), rhoCurveNodes, nuCurveNodes),
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed beta, zero shift and initial values.
*
* The beta and shift are constant in time.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param alphaCurveNodes the alpha curve nodes
* @param rhoCurveNodes the rho curve nodes
* @param nuCurveNodes the nu curve nodes
* @param initialParameters the initial parameters
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedBeta(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
DoubleArray alphaCurveNodes,
DoubleArray rhoCurveNodes,
DoubleArray nuCurveNodes,
DoubleArray initialParameters,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve betaCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Beta", dayCount, SABR_BETA), initialParameters.get(1));
Curve shiftCurve = ConstantCurve.of("Zero shift", 0d);
return new SabrIborCapletFloorletVolatilityCalibrationDefinition(
name,
index,
dayCount,
betaCurve,
null,
shiftCurve,
ImmutableList.of(alphaCurveNodes, DoubleArray.of(), rhoCurveNodes, nuCurveNodes),
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed rho and nonzero shift.
*
* The rho and shift are constant in time.
* The default initial values will be used in the calibration.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param rho the rho
* @param shift the shift
* @param alphaCurveNodes the alpha curve nodes
* @param betaCurveNodes the beta curve nodes
* @param nuCurveNodes the nu curve nodes
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double rho,
double shift,
DoubleArray alphaCurveNodes,
DoubleArray betaCurveNodes,
DoubleArray nuCurveNodes,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
DoubleArray initialParameters = DoubleArray.of(0.1, 0.7, rho, 0.5);
return ofFixedRho(
name,
index,
dayCount,
shift,
alphaCurveNodes,
betaCurveNodes,
nuCurveNodes,
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed rho and zero shift.
*
* The rho is constant in time.
* The default initial values will be used in the calibration.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param rho the rho
* @param alphaCurveNodes the alpha curve nodes
* @param betaCurveNodes the beta curve nodes
* @param nuCurveNodes the nu curve nodes
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double rho,
DoubleArray alphaCurveNodes,
DoubleArray betaCurveNodes,
DoubleArray nuCurveNodes,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
DoubleArray initialParameters = DoubleArray.of(0.1, 0.7, rho, 0.5);
return ofFixedRho(
name,
index,
dayCount,
alphaCurveNodes,
betaCurveNodes,
nuCurveNodes,
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed rho, nonzero shift and initial values.
*
* The rho and shift are constant in time.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param shift the shift
* @param alphaCurveNodes the alpha curve nodes
* @param betaCurveNodes the beta curve nodes
* @param nuCurveNodes the nu curve nodes
* @param initialParameters the initial parameters
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double shift,
DoubleArray alphaCurveNodes,
DoubleArray betaCurveNodes,
DoubleArray nuCurveNodes,
DoubleArray initialParameters,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve rhoCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Rho", dayCount, SABR_RHO), initialParameters.get(2));
ConstantCurve shiftCurve = ConstantCurve.of("Shift curve", shift);
return new SabrIborCapletFloorletVolatilityCalibrationDefinition(
name,
index,
dayCount,
null,
rhoCurve,
shiftCurve,
ImmutableList.of(alphaCurveNodes, betaCurveNodes, DoubleArray.of(), nuCurveNodes),
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
/**
* Obtains an instance with fixed rho, zero shift and initial values.
*
* The rho is constant in time.
*
* @param name the name of volatilities
* @param index the Ibor index
* @param dayCount the day count
* @param alphaCurveNodes the alpha curve nodes
* @param betaCurveNodes the beta curve nodes
* @param nuCurveNodes the nu curve nodes
* @param initialParameters the initial parameters
* @param interpolator the interpolator
* @param extrapolatorLeft the left extrapolator
* @param extrapolatorRight the right extrapolator
* @param sabrVolatilityFormula the SABR formula
* @return the instance
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition ofFixedRho(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
DoubleArray alphaCurveNodes,
DoubleArray betaCurveNodes,
DoubleArray nuCurveNodes,
DoubleArray initialParameters,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight,
SabrVolatilityFormula sabrVolatilityFormula) {
ConstantCurve rhoCurve = ConstantCurve.of(
Curves.sabrParameterByExpiry(name.getName() + "-Rho", dayCount, SABR_RHO), initialParameters.get(2));
Curve shiftCurve = ConstantCurve.of("Zero shift", 0d);
return new SabrIborCapletFloorletVolatilityCalibrationDefinition(
name,
index,
dayCount,
null,
rhoCurve,
shiftCurve,
ImmutableList.of(alphaCurveNodes, betaCurveNodes, DoubleArray.of(), nuCurveNodes),
initialParameters,
interpolator,
extrapolatorLeft,
extrapolatorRight,
sabrVolatilityFormula);
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(initialParameters.size() == 4, "The size of initialParameters must be 4");
ArgChecker.isTrue(parameterCurveNodes.size() == 4, "The size of parameterCurveNodes must be 4");
ArgChecker.isFalse(parameterCurveNodes.get(0).isEmpty(), "The alpha curve nodes must not be empty");
ArgChecker.isFalse(parameterCurveNodes.get(3).isEmpty(), "The nu curve nodes must not be empty");
if (betaCurve == null) { // rho fixed
ArgChecker.isFalse(rhoCurve == null, "Either betaCurve or rhoCurve must be set");
ArgChecker.isFalse(parameterCurveNodes.get(1).isEmpty(), "The beta curve nodes must not be empty");
} else { // beta fixed
ArgChecker.isTrue(rhoCurve == null, "Only betaCurve or rhoCurve must be set, not both");
ArgChecker.isFalse(parameterCurveNodes.get(2).isEmpty(), "The rho curve nodes must not be empty");
}
}
//-------------------------------------------------------------------------
@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.
*
* The metadata in the list are ordered as alpha, beta, rho, then nu.
*
* @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);
}
/**
* Creates the parameter curves with parameter node values.
*
* The node values must be combined nodes ordered as
* alpha, beta (if beta is not fixed), rho (if rho is not fixed), then nu.
*
* The returned curves are ordered in the same way.
* If the beta is fixed, {@code betaCurve} is returned as the second element.
* If the rho is fixed, {@code rhoCurve} is returned as the third element.
*
* @param metadata the metadata
* @param nodeValues the parameter node values
* @return the curves
*/
public List createSabrParameterCurve(List metadata, DoubleArray nodeValues) {
List res = new ArrayList<>();
int offset = 0;
for (int i = 0; i < 4; ++i) {
if (isFixed(i)) {
res.add(getBetaCurve().orElse(rhoCurve));
} else {
int nNodes = parameterCurveNodes.get(i).size();
int currentOffset = offset;
if (nNodes > 1) {
res.add(InterpolatedNodalCurve.of(
metadata.get(i),
parameterCurveNodes.get(i),
DoubleArray.of(nNodes, n -> nodeValues.get(n + currentOffset)),
interpolator,
extrapolatorLeft,
extrapolatorRight));
} else {
res.add(ConstantNodalCurve.of(
metadata.get(i),
parameterCurveNodes.get(i).get(0),
nodeValues.get(currentOffset)));
}
offset += nNodes;
}
}
return res;
}
/**
* Creates the transformation definition for all the curve parameters.
*
* The elements in {@code transform} must be ordered as alpha, beta, rho, then nu.
*
* @param transform the transform
* @return the full transform
*/
public ParameterLimitsTransform[] createFullTransform(ParameterLimitsTransform[] transform) {
ArgChecker.isTrue(transform.length == 4,
"transform must contain transformation defintion for alpha, beta, rho and nu");
List fullTransformList = new ArrayList<>();
int length = 0;
for (int i = 0; i < 4; ++i) {
if (isFixed(i)) {
// fixed parameter
} else {
int nNodes = parameterCurveNodes.get(i).size();
fullTransformList.addAll(Collections.nCopies(nNodes, transform[i]));
length += nNodes;
}
}
return fullTransformList.toArray(new ParameterLimitsTransform[length]);
}
/**
* Create initial values for all the curve parameters.
*
* @return the initial values
*/
public DoubleArray createFullInitialValues() {
List fullInitialValues = new ArrayList<>();
for (int i = 0; i < 4; ++i) {
if (isFixed(i)) {
// fixed parameter
} else {
int nNodes = parameterCurveNodes.get(i).size();
fullInitialValues.addAll(Collections.nCopies(nNodes, initialParameters.get(i)));
}
}
return DoubleArray.copyOf(fullInitialValues);
}
private boolean isFixed(int index) {
return (index == 1 && getBetaCurve().isPresent()) || (index == 2 && getRhoCurve().isPresent());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SabrIborCapletFloorletVolatilityCalibrationDefinition}.
* @return the meta-bean, not null
*/
public static SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta meta() {
return SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(SabrIborCapletFloorletVolatilityCalibrationDefinition.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 SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder builder() {
return new SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder();
}
private SabrIborCapletFloorletVolatilityCalibrationDefinition(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
Curve betaCurve,
Curve rhoCurve,
Curve shiftCurve,
List parameterCurveNodes,
DoubleArray initialParameters,
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(parameterCurveNodes, "parameterCurveNodes");
JodaBeanUtils.notNull(initialParameters, "initialParameters");
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.parameterCurveNodes = ImmutableList.copyOf(parameterCurveNodes);
this.initialParameters = initialParameters;
this.interpolator = interpolator;
this.extrapolatorLeft = extrapolatorLeft;
this.extrapolatorRight = extrapolatorRight;
this.sabrVolatilityFormula = sabrVolatilityFormula;
validate();
}
@Override
public SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta metaBean() {
return SabrIborCapletFloorletVolatilityCalibrationDefinition.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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
* @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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
* @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 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 nodes of SABR parameter curves.
*
* The size of the list must be 4, ordered as alpha, beta, rho and nu.
*
* If the number of nodes is greater than 1, the curve will be created with {@code CurveInterpolator} and
* {@code CurveExtrapolator} specified below. Otherwise, {@code ConstantNodalCurve} will be created.
* @return the value of the property, not null
*/
public ImmutableList getParameterCurveNodes() {
return parameterCurveNodes;
}
//-----------------------------------------------------------------------
/**
* Gets the initial parameter values used in calibration.
*
* Default values will be used if not specified.
* The size of this field must be 4, ordered as alpha, beta, rho and nu.
* @return the value of the property, not null
*/
public DoubleArray getInitialParameters() {
return initialParameters;
}
//-----------------------------------------------------------------------
/**
* Gets the interpolator for the SABR parameters.
* @return the value of the property, not null
*/
public CurveInterpolator getInterpolator() {
return interpolator;
}
//-----------------------------------------------------------------------
/**
* Gets the left extrapolator for the SABR parameters.
*
* The flat extrapolation is used if not specified.
* @return the value of the property, not null
*/
public CurveExtrapolator getExtrapolatorLeft() {
return extrapolatorLeft;
}
//-----------------------------------------------------------------------
/**
* Gets the right extrapolator for the SABR parameters.
*
* The flat extrapolation is used if not specified.
* @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()) {
SabrIborCapletFloorletVolatilityCalibrationDefinition other = (SabrIborCapletFloorletVolatilityCalibrationDefinition) 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(parameterCurveNodes, other.parameterCurveNodes) &&
JodaBeanUtils.equal(initialParameters, other.initialParameters) &&
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(parameterCurveNodes);
hash = hash * 31 + JodaBeanUtils.hashCode(initialParameters);
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(416);
buf.append("SabrIborCapletFloorletVolatilityCalibrationDefinition{");
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("parameterCurveNodes").append('=').append(JodaBeanUtils.toString(parameterCurveNodes)).append(',').append(' ');
buf.append("initialParameters").append('=').append(JodaBeanUtils.toString(initialParameters)).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 SabrIborCapletFloorletVolatilityCalibrationDefinition}.
*/
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", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, IborCapletFloorletVolatilitiesName.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, IborIndex.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, DayCount.class);
/**
* The meta-property for the {@code betaCurve} property.
*/
private final MetaProperty betaCurve = DirectMetaProperty.ofImmutable(
this, "betaCurve", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, Curve.class);
/**
* The meta-property for the {@code rhoCurve} property.
*/
private final MetaProperty rhoCurve = DirectMetaProperty.ofImmutable(
this, "rhoCurve", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, Curve.class);
/**
* The meta-property for the {@code shiftCurve} property.
*/
private final MetaProperty shiftCurve = DirectMetaProperty.ofImmutable(
this, "shiftCurve", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, Curve.class);
/**
* The meta-property for the {@code parameterCurveNodes} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> parameterCurveNodes = DirectMetaProperty.ofImmutable(
this, "parameterCurveNodes", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code initialParameters} property.
*/
private final MetaProperty initialParameters = DirectMetaProperty.ofImmutable(
this, "initialParameters", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, DoubleArray.class);
/**
* The meta-property for the {@code interpolator} property.
*/
private final MetaProperty interpolator = DirectMetaProperty.ofImmutable(
this, "interpolator", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, CurveInterpolator.class);
/**
* The meta-property for the {@code extrapolatorLeft} property.
*/
private final MetaProperty extrapolatorLeft = DirectMetaProperty.ofImmutable(
this, "extrapolatorLeft", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, CurveExtrapolator.class);
/**
* The meta-property for the {@code extrapolatorRight} property.
*/
private final MetaProperty extrapolatorRight = DirectMetaProperty.ofImmutable(
this, "extrapolatorRight", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, CurveExtrapolator.class);
/**
* The meta-property for the {@code sabrVolatilityFormula} property.
*/
private final MetaProperty sabrVolatilityFormula = DirectMetaProperty.ofImmutable(
this, "sabrVolatilityFormula", SabrIborCapletFloorletVolatilityCalibrationDefinition.class, SabrVolatilityFormula.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"index",
"dayCount",
"betaCurve",
"rhoCurve",
"shiftCurve",
"parameterCurveNodes",
"initialParameters",
"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 -1431162997: // parameterCurveNodes
return parameterCurveNodes;
case 1451864142: // initialParameters
return initialParameters;
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 SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder builder() {
return new SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder();
}
@Override
public Class beanType() {
return SabrIborCapletFloorletVolatilityCalibrationDefinition.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 parameterCurveNodes} property.
* @return the meta-property, not null
*/
public MetaProperty> parameterCurveNodes() {
return parameterCurveNodes;
}
/**
* The meta-property for the {@code initialParameters} property.
* @return the meta-property, not null
*/
public MetaProperty initialParameters() {
return initialParameters;
}
/**
* 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 ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getName();
case 100346066: // index
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getIndex();
case 1905311443: // dayCount
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getDayCount();
case 1607020767: // betaCurve
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).betaCurve;
case -2128671882: // rhoCurve
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).rhoCurve;
case 1908090253: // shiftCurve
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getShiftCurve();
case -1431162997: // parameterCurveNodes
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getParameterCurveNodes();
case 1451864142: // initialParameters
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getInitialParameters();
case 2096253127: // interpolator
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getInterpolator();
case 1271703994: // extrapolatorLeft
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getExtrapolatorLeft();
case 773779145: // extrapolatorRight
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) bean).getExtrapolatorRight();
case -683564541: // sabrVolatilityFormula
return ((SabrIborCapletFloorletVolatilityCalibrationDefinition) 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 SabrIborCapletFloorletVolatilityCalibrationDefinition}.
*/
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 List parameterCurveNodes = ImmutableList.of();
private DoubleArray initialParameters;
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(SabrIborCapletFloorletVolatilityCalibrationDefinition 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.parameterCurveNodes = beanToCopy.getParameterCurveNodes();
this.initialParameters = beanToCopy.getInitialParameters();
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 -1431162997: // parameterCurveNodes
return parameterCurveNodes;
case 1451864142: // initialParameters
return initialParameters;
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);
}
}
@SuppressWarnings("unchecked")
@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 -1431162997: // parameterCurveNodes
this.parameterCurveNodes = (List) newValue;
break;
case 1451864142: // initialParameters
this.initialParameters = (DoubleArray) 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 SabrIborCapletFloorletVolatilityCalibrationDefinition build() {
return new SabrIborCapletFloorletVolatilityCalibrationDefinition(
name,
index,
dayCount,
betaCurve,
rhoCurve,
shiftCurve,
parameterCurveNodes,
initialParameters,
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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
* @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.
* Either {@code betaCurve} or {@code rhoCurve} must be present.
* @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 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 nodes of SABR parameter curves.
*
* The size of the list must be 4, ordered as alpha, beta, rho and nu.
*
* If the number of nodes is greater than 1, the curve will be created with {@code CurveInterpolator} and
* {@code CurveExtrapolator} specified below. Otherwise, {@code ConstantNodalCurve} will be created.
* @param parameterCurveNodes the new value, not null
* @return this, for chaining, not null
*/
public Builder parameterCurveNodes(List parameterCurveNodes) {
JodaBeanUtils.notNull(parameterCurveNodes, "parameterCurveNodes");
this.parameterCurveNodes = parameterCurveNodes;
return this;
}
/**
* Sets the {@code parameterCurveNodes} property in the builder
* from an array of objects.
* @param parameterCurveNodes the new value, not null
* @return this, for chaining, not null
*/
public Builder parameterCurveNodes(DoubleArray... parameterCurveNodes) {
return parameterCurveNodes(ImmutableList.copyOf(parameterCurveNodes));
}
/**
* Sets the initial parameter values used in calibration.
*
* Default values will be used if not specified.
* The size of this field must be 4, ordered as alpha, beta, rho and nu.
* @param initialParameters the new value, not null
* @return this, for chaining, not null
*/
public Builder initialParameters(DoubleArray initialParameters) {
JodaBeanUtils.notNull(initialParameters, "initialParameters");
this.initialParameters = initialParameters;
return this;
}
/**
* Sets the interpolator for the SABR parameters.
* @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 parameters.
*
* The flat extrapolation is used if not specified.
* @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 parameters.
*
* The flat extrapolation is used if not specified.
* @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(416);
buf.append("SabrIborCapletFloorletVolatilityCalibrationDefinition.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("parameterCurveNodes").append('=').append(JodaBeanUtils.toString(parameterCurveNodes)).append(',').append(' ');
buf.append("initialParameters").append('=').append(JodaBeanUtils.toString(initialParameters)).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 --------------------------
}