com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition 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.curve.interpolator.CurveExtrapolators.FLAT;
import java.io.Serializable;
import java.time.Period;
import java.util.ArrayList;
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.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.ImmutableValidator;
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.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.ValueType;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.option.SimpleStrike;
import com.opengamma.strata.market.surface.SurfaceMetadata;
import com.opengamma.strata.market.surface.Surfaces;
import com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator;
import com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata;
import com.opengamma.strata.pricer.option.RawOptionData;
/**
* Definition of caplet volatilities calibration.
*
* This definition is used with {@link SurfaceIborCapletFloorletVolatilityBootstrapper}.
* The caplet volatilities are computed by bootstrap along the time direction,
* thus the interpolation and left extrapolation for the time dimension must be local.
* The resulting volatilities object will be a set of caplet volatilities interpolated by {@link GridSurfaceInterpolator}.
*/
@BeanDefinition(builderScope = "private")
public final class SurfaceIborCapletFloorletVolatilityBootstrapDefinition
implements IborCapletFloorletVolatilityDefinition, ImmutableBean, Serializable {
/**
* The name of the volatilities.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborCapletFloorletVolatilitiesName name;
/**
* The Ibor index.
*/
@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 interpolator for the caplet volatilities.
*/
@PropertyDefinition(validate = "notNull")
private final GridSurfaceInterpolator interpolator;
/**
* The shift parameter of shifted Black model.
*
* The market volatilities are calibrated to shifted Black model if this field is not null.
*/
@PropertyDefinition(get = "optional")
private final Curve shiftCurve;
//-------------------------------------------------------------------------
/**
* Obtains an instance with gird surface interpolator.
*
* @param name the name of the volatilities
* @param index the Ibor index
* @param dayCount the day count to use
* @param interpolator the surface interpolator
* @return the instance
*/
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator) {
return of(name, index, dayCount, interpolator, null);
}
/**
* Obtains an instance with gird surface interpolator and shift curve.
*
* @param name the name of the volatilities
* @param index the Ibor index
* @param dayCount the day count to use
* @param interpolator the surface interpolator
* @param shiftCurve the shift curve
* @return the instance
*/
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator,
Curve shiftCurve) {
return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition(name, index, dayCount, interpolator, shiftCurve);
}
/**
* Obtains an instance with time interpolator and strike interpolator.
*
* The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}.
*
* @param name the name of the volatilities
* @param index the Ibor index
* @param dayCount the day count to use
* @param timeInterpolator the time interpolator
* @param strikeInterpolator the strike interpolator
* @return the instance
*/
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator) {
return of(name, index, dayCount, timeInterpolator, strikeInterpolator, null);
}
/**
* Obtains an instance with time interpolator, strike interpolator and shift curve.
*
* The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}.
*
* @param name the name of the volatilities
* @param index the Ibor index
* @param dayCount the day count to use
* @param timeInterpolator the time interpolator
* @param strikeInterpolator the strike interpolator
* @param shiftCurve the shift curve
* @return the instance
*/
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator,
Curve shiftCurve) {
GridSurfaceInterpolator gridInterpolator = GridSurfaceInterpolator.of(timeInterpolator, strikeInterpolator);
return of(name, index, dayCount, gridInterpolator, shiftCurve);
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(interpolator.getXExtrapolatorLeft().equals(FLAT), "x extrapolator left must be flat extrapolator");
ArgChecker.isTrue(interpolator.getXInterpolator().equals(CurveInterpolators.LINEAR) ||
interpolator.getXInterpolator().equals(CurveInterpolators.STEP_UPPER) ||
interpolator.getXInterpolator().equals(CurveInterpolators.TIME_SQUARE),
"x interpolator must be local interpolator");
}
//-------------------------------------------------------------------------
@Override
public SurfaceMetadata createMetadata(RawOptionData capFloorData) {
List list = new ArrayList<>();
ImmutableList expiries = capFloorData.getExpiries();
int nExpiries = expiries.size();
DoubleArray strikes = capFloorData.getStrikes();
int nStrikes = strikes.size();
for (int i = 0; i < nExpiries; ++i) {
for (int j = 0; j < nStrikes; ++j) {
if (Double.isFinite(capFloorData.getData().get(i, j))) {
list.add(GenericVolatilitySurfacePeriodParameterMetadata.of(expiries.get(i), SimpleStrike.of(strikes.get(j))));
}
}
}
SurfaceMetadata metadata;
if (capFloorData.getDataType().equals(ValueType.BLACK_VOLATILITY)) {
metadata = Surfaces.blackVolatilityByExpiryStrike(name.getName(), dayCount);
} else if (capFloorData.getDataType().equals(ValueType.NORMAL_VOLATILITY)) {
metadata = Surfaces.normalVolatilityByExpiryStrike(name.getName(), dayCount);
} else {
throw new IllegalArgumentException("Data type not supported");
}
return metadata.withParameterMetadata(list);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SurfaceIborCapletFloorletVolatilityBootstrapDefinition}.
* @return the meta-bean, not null
*/
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta meta() {
return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private SurfaceIborCapletFloorletVolatilityBootstrapDefinition(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator,
Curve shiftCurve) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(interpolator, "interpolator");
this.name = name;
this.index = index;
this.dayCount = dayCount;
this.interpolator = interpolator;
this.shiftCurve = shiftCurve;
validate();
}
@Override
public SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta metaBean() {
return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.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.
* @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 interpolator for the caplet volatilities.
* @return the value of the property, not null
*/
public GridSurfaceInterpolator getInterpolator() {
return interpolator;
}
//-----------------------------------------------------------------------
/**
* Gets the shift parameter of shifted Black model.
*
* The market volatilities are calibrated to shifted Black model if this field is not null.
* @return the optional value of the property, not null
*/
public Optional getShiftCurve() {
return Optional.ofNullable(shiftCurve);
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SurfaceIborCapletFloorletVolatilityBootstrapDefinition other = (SurfaceIborCapletFloorletVolatilityBootstrapDefinition) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(interpolator, other.interpolator) &&
JodaBeanUtils.equal(shiftCurve, other.shiftCurve);
}
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(interpolator);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftCurve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("SurfaceIborCapletFloorletVolatilityBootstrapDefinition{");
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("interpolator").append('=').append(JodaBeanUtils.toString(interpolator)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SurfaceIborCapletFloorletVolatilityBootstrapDefinition}.
*/
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", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, IborCapletFloorletVolatilitiesName.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, IborIndex.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, DayCount.class);
/**
* The meta-property for the {@code interpolator} property.
*/
private final MetaProperty interpolator = DirectMetaProperty.ofImmutable(
this, "interpolator", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, GridSurfaceInterpolator.class);
/**
* The meta-property for the {@code shiftCurve} property.
*/
private final MetaProperty shiftCurve = DirectMetaProperty.ofImmutable(
this, "shiftCurve", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, Curve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"index",
"dayCount",
"interpolator",
"shiftCurve");
/**
* 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 2096253127: // interpolator
return interpolator;
case 1908090253: // shiftCurve
return shiftCurve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Builder();
}
@Override
public Class beanType() {
return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.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 interpolator} property.
* @return the meta-property, not null
*/
public MetaProperty interpolator() {
return interpolator;
}
/**
* 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 3373707: // name
return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getName();
case 100346066: // index
return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getIndex();
case 1905311443: // dayCount
return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getDayCount();
case 2096253127: // interpolator
return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getInterpolator();
case 1908090253: // shiftCurve
return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).shiftCurve;
}
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 SurfaceIborCapletFloorletVolatilityBootstrapDefinition}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private IborCapletFloorletVolatilitiesName name;
private IborIndex index;
private DayCount dayCount;
private GridSurfaceInterpolator interpolator;
private Curve shiftCurve;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@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 2096253127: // interpolator
return interpolator;
case 1908090253: // shiftCurve
return shiftCurve;
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 2096253127: // interpolator
this.interpolator = (GridSurfaceInterpolator) newValue;
break;
case 1908090253: // shiftCurve
this.shiftCurve = (Curve) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public SurfaceIborCapletFloorletVolatilityBootstrapDefinition build() {
return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition(
name,
index,
dayCount,
interpolator,
shiftCurve);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("SurfaceIborCapletFloorletVolatilityBootstrapDefinition.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("interpolator").append('=').append(JodaBeanUtils.toString(interpolator)).append(',').append(' ');
buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}