com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities 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 java.io.Serializable;
import java.time.LocalDate;
import java.time.ZonedDateTime;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalInt;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
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.ImmutableConstructor;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveInfoType;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.market.surface.InterpolatedNodalSurface;
import com.opengamma.strata.market.surface.Surface;
import com.opengamma.strata.market.surface.SurfaceInfoType;
import com.opengamma.strata.market.surface.Surfaces;
import com.opengamma.strata.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.product.common.PutCall;
/**
* Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.
*
* The volatility is represented by a surface on the expiry and strike dimensions.
* The shift parameter is represented by a curve defined by expiry.
*
* Although this implementation is able to handle zero shift, it is recommended to use
* {@link BlackIborCapletFloorletExpiryStrikeVolatilities} instead.
*/
@BeanDefinition(builderScope = "private")
public final class ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
implements BlackIborCapletFloorletVolatilities, ImmutableBean, Serializable {
/**
* The Ibor index.
*
* The data must valid in terms of this Ibor index.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborIndex index;
/**
* The valuation date-time.
*
* The volatilities are calibrated for this date-time.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ZonedDateTime valuationDateTime;
/**
* The Black volatility surface.
*
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the strike.
*/
@PropertyDefinition(validate = "notNull")
private final Surface surface;
/**
* The shift parameter of shifted Black model.
*
* The x value of the curve is the expiry.
* Use {@link BlackIborCapletFloorletExpiryStrikeVolatilities} for zero shift.
*/
@PropertyDefinition(validate = "notNull")
private final Curve shiftCurve;
/**
* The day count convention of the surface.
*/
private final transient DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance from the implied volatility surface and the date-time for which it is valid.
*
* The surface is specified by an instance of {@link Surface}, such as {@link InterpolatedNodalSurface}.
* The surface must contain the correct metadata:
*
* - The x-value type must be {@link ValueType#YEAR_FRACTION}
*
- The y-value type must be {@link ValueType#STRIKE}
*
- The z-value type must be {@link ValueType#BLACK_VOLATILITY}
*
- The day count must be set in the additional information using {@link SurfaceInfoType#DAY_COUNT}
*
* Suitable surface metadata can be created using
* {@link Surfaces#blackVolatilityByExpiryStrike(String, DayCount)}.
*
* @param index the Ibor index for which the data is valid
* @param valuationDateTime the valuation date-time
* @param surface the implied volatility surface
* @param shiftCurve the shift surface
* @return the volatilities
*/
public static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities of(
IborIndex index,
ZonedDateTime valuationDateTime,
Surface surface,
Curve shiftCurve) {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(index, valuationDateTime, surface, shiftCurve);
}
@ImmutableConstructor
private ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(
IborIndex index,
ZonedDateTime valuationDateTime,
Surface surface,
Curve shiftCurve) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(surface, "surface");
ArgChecker.notNull(shiftCurve, "shiftCurve");
surface.getMetadata().getXValueType().checkEquals(
ValueType.YEAR_FRACTION, "Incorrect x-value type for Black volatilities");
surface.getMetadata().getYValueType().checkEquals(
ValueType.STRIKE, "Incorrect y-value type for Black volatilities");
surface.getMetadata().getZValueType().checkEquals(
ValueType.BLACK_VOLATILITY, "Incorrect z-value type for Black volatilities");
DayCount dayCount = surface.getMetadata().findInfo(SurfaceInfoType.DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect surface metadata, missing DayCount"));
validate(shiftCurve, dayCount);
this.index = index;
this.valuationDateTime = valuationDateTime;
this.surface = surface;
this.dayCount = dayCount;
this.shiftCurve = shiftCurve;
}
private static void validate(Curve curve, DayCount dayCount) {
if (!curve.getMetadata().findInfo(CurveInfoType.DAY_COUNT).orElse(dayCount).equals(dayCount)) {
throw new IllegalArgumentException("shift curve must have the same day count as surface");
}
}
// ensure standard constructor is invoked
private Object readResolve() {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(index, valuationDateTime, surface, shiftCurve);
}
//-------------------------------------------------------------------------
@Override
public IborCapletFloorletVolatilitiesName getName() {
return IborCapletFloorletVolatilitiesName.of(surface.getName().getName());
}
@Override
public Optional findData(MarketDataName name) {
if (surface.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(surface));
}
if (shiftCurve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(shiftCurve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return surface.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return surface.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return surface.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return surface.findParameterIndex(metadata);
}
@Override
public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities withParameter(int parameterIndex, double newValue) {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(
index, valuationDateTime, surface.withParameter(parameterIndex, newValue), shiftCurve);
}
@Override
public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities withPerturbation(ParameterPerturbation perturbation) {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(
index, valuationDateTime, surface.withPerturbation(perturbation), shiftCurve);
}
//-------------------------------------------------------------------------
@Override
public double volatility(double expiry, double strike, double forward) {
double shift = shiftCurve.yValue(expiry);
return surface.zValue(expiry, strike + shift);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof IborCapletFloorletSensitivity) {
IborCapletFloorletSensitivity pt = (IborCapletFloorletSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
private CurrencyParameterSensitivity parameterSensitivity(IborCapletFloorletSensitivity point) {
double expiry = point.getExpiry();
double strike = point.getStrike();
double shift = shiftCurve.yValue(expiry);
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, strike + shift);
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
//-------------------------------------------------------------------------
@Override
public double price(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = shiftCurve.yValue(expiry);
return BlackFormulaRepository.price(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceDelta(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = shiftCurve.yValue(expiry);
return BlackFormulaRepository.delta(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceGamma(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = shiftCurve.yValue(expiry);
return BlackFormulaRepository.gamma(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceTheta(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = shiftCurve.yValue(expiry);
return BlackFormulaRepository.driftlessTheta(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceVega(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = shiftCurve.yValue(expiry);
return BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility);
}
//-------------------------------------------------------------------------
@Override
public double relativeTime(ZonedDateTime dateTime) {
ArgChecker.notNull(dateTime, "dateTime");
LocalDate valuationDate = valuationDateTime.toLocalDate();
LocalDate date = dateTime.toLocalDate();
return dayCount.relativeYearFraction(valuationDate, date);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities}.
* @return the meta-bean, not null
*/
public static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta meta() {
return ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta metaBean() {
return ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index.
*
* The data must valid in terms of this Ibor index.
* @return the value of the property, not null
*/
@Override
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date-time.
*
* The volatilities are calibrated for this date-time.
* @return the value of the property, not null
*/
@Override
public ZonedDateTime getValuationDateTime() {
return valuationDateTime;
}
//-----------------------------------------------------------------------
/**
* Gets the Black volatility surface.
*
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the strike.
* @return the value of the property, not null
*/
public Surface getSurface() {
return surface;
}
//-----------------------------------------------------------------------
/**
* Gets the shift parameter of shifted Black model.
*
* The x value of the curve is the expiry.
* Use {@link BlackIborCapletFloorletExpiryStrikeVolatilities} for zero shift.
* @return the value of the property, not null
*/
public Curve getShiftCurve() {
return shiftCurve;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities other = (ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities) obj;
return JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) &&
JodaBeanUtils.equal(surface, other.surface) &&
JodaBeanUtils.equal(shiftCurve, other.shiftCurve);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
hash = hash * 31 + JodaBeanUtils.hashCode(surface);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftCurve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("surface").append('=').append(JodaBeanUtils.toString(surface)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities}.
*/
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 index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.class, IborIndex.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code surface} property.
*/
private final MetaProperty surface = DirectMetaProperty.ofImmutable(
this, "surface", ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.class, Surface.class);
/**
* The meta-property for the {@code shiftCurve} property.
*/
private final MetaProperty shiftCurve = DirectMetaProperty.ofImmutable(
this, "shiftCurve", ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.class, Curve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"index",
"valuationDateTime",
"surface",
"shiftCurve");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -949589828: // valuationDateTime
return valuationDateTime;
case -1853231955: // surface
return surface;
case 1908090253: // shiftCurve
return shiftCurve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Builder();
}
@Override
public Class beanType() {
return ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* 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 valuationDateTime} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDateTime() {
return valuationDateTime;
}
/**
* The meta-property for the {@code surface} property.
* @return the meta-property, not null
*/
public MetaProperty surface() {
return surface;
}
/**
* The meta-property for the {@code shiftCurve} property.
* @return the meta-property, not null
*/
public MetaProperty shiftCurve() {
return shiftCurve;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 100346066: // index
return ((ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities) bean).getIndex();
case -949589828: // valuationDateTime
return ((ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities) bean).getValuationDateTime();
case -1853231955: // surface
return ((ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities) bean).getSurface();
case 1908090253: // shiftCurve
return ((ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities) bean).getShiftCurve();
}
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 ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private IborIndex index;
private ZonedDateTime valuationDateTime;
private Surface surface;
private Curve shiftCurve;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -949589828: // valuationDateTime
return valuationDateTime;
case -1853231955: // surface
return surface;
case 1908090253: // shiftCurve
return shiftCurve;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 100346066: // index
this.index = (IborIndex) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
case -1853231955: // surface
this.surface = (Surface) newValue;
break;
case 1908090253: // shiftCurve
this.shiftCurve = (Curve) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities build() {
return new ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities(
index,
valuationDateTime,
surface,
shiftCurve);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Builder{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("surface").append('=').append(JodaBeanUtils.toString(surface)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}