com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.fxopt;
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.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.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.value.ValueDerivatives;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
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.curve.Curves;
import com.opengamma.strata.market.curve.InterpolatedNodalCurve;
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.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.product.common.PutCall;
/**
* Volatility for FX options in the log-normal or Black model based on a curve.
*
* The volatility is represented by a curve on the expiry and the volatility
* is flat along the strike direction.
*/
@BeanDefinition
public final class BlackFxOptionFlatVolatilities
implements BlackFxOptionVolatilities, ImmutableBean, Serializable {
/**
* The currency pair that the volatilities are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurrencyPair currencyPair;
/**
* The valuation date-time.
* All data items in this provider is calibrated for this date-time.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ZonedDateTime valuationDateTime;
/**
* The Black volatility curve.
*
* The x-values represent the expiry year-fraction.
* The metadata of the curve must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final Curve curve;
/**
* The day count convention of the curve.
*/
private final transient DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance from an expiry-volatility curve and the date-time for which it is valid.
*
* The curve is specified by an instance of {@link Curve}, such as {@link InterpolatedNodalCurve}.
* The curve must contain the correct metadata:
*
* - The x-value type must be {@link ValueType#YEAR_FRACTION}
*
- The y-value type must be {@link ValueType#BLACK_VOLATILITY}
*
- The day count must be set in the additional information using {@link CurveInfoType#DAY_COUNT}
*
* Suitable curve metadata can be created using
* {@link Curves#blackVolatilityByExpiry(String, DayCount)}.
*
* @param currencyPair the currency pair
* @param valuationDateTime the valuation date-time
* @param curve the volatility curve
* @return the volatilities
*/
public static BlackFxOptionFlatVolatilities of(
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Curve curve) {
return new BlackFxOptionFlatVolatilities(currencyPair, valuationDateTime, curve);
}
@ImmutableConstructor
private BlackFxOptionFlatVolatilities(
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Curve curve) {
ArgChecker.notNull(currencyPair, "currencyPair");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(curve, "curve");
curve.getMetadata().getXValueType().checkEquals(
ValueType.YEAR_FRACTION, "Incorrect x-value type for Black volatilities");
curve.getMetadata().getYValueType().checkEquals(
ValueType.BLACK_VOLATILITY, "Incorrect y-value type for Black volatilities");
DayCount dayCount = curve.getMetadata().findInfo(CurveInfoType.DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect curve metadata, missing DayCount"));
this.currencyPair = currencyPair;
this.valuationDateTime = valuationDateTime;
this.curve = curve;
this.dayCount = dayCount;
}
// ensure standard constructor is invoked
private Object readResolve() {
return new BlackFxOptionFlatVolatilities(currencyPair, valuationDateTime, curve);
}
//-------------------------------------------------------------------------
@Override
public FxOptionVolatilitiesName getName() {
return FxOptionVolatilitiesName.of(curve.getName().getName());
}
@Override
public Optional findData(MarketDataName name) {
if (curve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(curve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return curve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return curve.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return curve.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return curve.findParameterIndex(metadata);
}
@Override
public BlackFxOptionFlatVolatilities withParameter(int parameterIndex, double newValue) {
return new BlackFxOptionFlatVolatilities(
currencyPair, valuationDateTime, curve.withParameter(parameterIndex, newValue));
}
@Override
public BlackFxOptionFlatVolatilities withPerturbation(ParameterPerturbation perturbation) {
return new BlackFxOptionFlatVolatilities(
currencyPair, valuationDateTime, curve.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double volatility(CurrencyPair currencyPair, double expiry, double strike, double forward) {
return curve.yValue(expiry);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof FxOptionSensitivity) {
FxOptionSensitivity pt = (FxOptionSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
@Override
public ValueDerivatives firstPartialDerivatives(
CurrencyPair currencyPair,
double expiry,
double strike,
double forward) {
double vol = volatility(currencyPair, expiry, strike, forward);
double dVoldStrike = 0d;
double dVoldExpiry = curve.firstDerivative(expiry);
return ValueDerivatives.of(vol, DoubleArray.of(dVoldStrike, dVoldExpiry));
}
private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point) {
double expiry = point.getExpiry();
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(expiry);
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
//-------------------------------------------------------------------------
@Override
public double price(double expiry, PutCall putCall, double strike, double forward, double volatility) {
return BlackFormulaRepository.price(forward, strike, expiry, volatility, putCall.isCall());
}
//-------------------------------------------------------------------------
@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 BlackFxOptionFlatVolatilities}.
* @return the meta-bean, not null
*/
public static BlackFxOptionFlatVolatilities.Meta meta() {
return BlackFxOptionFlatVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(BlackFxOptionFlatVolatilities.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 BlackFxOptionFlatVolatilities.Builder builder() {
return new BlackFxOptionFlatVolatilities.Builder();
}
@Override
public BlackFxOptionFlatVolatilities.Meta metaBean() {
return BlackFxOptionFlatVolatilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the currency pair that the volatilities are for.
* @return the value of the property, not null
*/
@Override
public CurrencyPair getCurrencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date-time.
* All data items in this provider is calibrated for this date-time.
* @return the value of the property, not null
*/
@Override
public ZonedDateTime getValuationDateTime() {
return valuationDateTime;
}
//-----------------------------------------------------------------------
/**
* Gets the Black volatility curve.
*
* The x-values represent the expiry year-fraction.
* The metadata of the curve must define a day count.
* @return the value of the property, not null
*/
public Curve getCurve() {
return curve;
}
//-----------------------------------------------------------------------
/**
* 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()) {
BlackFxOptionFlatVolatilities other = (BlackFxOptionFlatVolatilities) obj;
return JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) &&
JodaBeanUtils.equal(curve, other.curve);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
hash = hash * 31 + JodaBeanUtils.hashCode(curve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("BlackFxOptionFlatVolatilities{");
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code BlackFxOptionFlatVolatilities}.
*/
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 currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", BlackFxOptionFlatVolatilities.class, CurrencyPair.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", BlackFxOptionFlatVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code curve} property.
*/
private final MetaProperty curve = DirectMetaProperty.ofImmutable(
this, "curve", BlackFxOptionFlatVolatilities.class, Curve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"currencyPair",
"valuationDateTime",
"curve");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case -949589828: // valuationDateTime
return valuationDateTime;
case 95027439: // curve
return curve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BlackFxOptionFlatVolatilities.Builder builder() {
return new BlackFxOptionFlatVolatilities.Builder();
}
@Override
public Class beanType() {
return BlackFxOptionFlatVolatilities.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code currencyPair} property.
* @return the meta-property, not null
*/
public MetaProperty currencyPair() {
return currencyPair;
}
/**
* 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 curve} property.
* @return the meta-property, not null
*/
public MetaProperty curve() {
return curve;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return ((BlackFxOptionFlatVolatilities) bean).getCurrencyPair();
case -949589828: // valuationDateTime
return ((BlackFxOptionFlatVolatilities) bean).getValuationDateTime();
case 95027439: // curve
return ((BlackFxOptionFlatVolatilities) bean).getCurve();
}
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 BlackFxOptionFlatVolatilities}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CurrencyPair currencyPair;
private ZonedDateTime valuationDateTime;
private Curve curve;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(BlackFxOptionFlatVolatilities beanToCopy) {
this.currencyPair = beanToCopy.getCurrencyPair();
this.valuationDateTime = beanToCopy.getValuationDateTime();
this.curve = beanToCopy.getCurve();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case -949589828: // valuationDateTime
return valuationDateTime;
case 95027439: // curve
return curve;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
case 95027439: // curve
this.curve = (Curve) 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 BlackFxOptionFlatVolatilities build() {
return new BlackFxOptionFlatVolatilities(
currencyPair,
valuationDateTime,
curve);
}
//-----------------------------------------------------------------------
/**
* Sets the currency pair that the volatilities are for.
* @param currencyPair the new value, not null
* @return this, for chaining, not null
*/
public Builder currencyPair(CurrencyPair currencyPair) {
JodaBeanUtils.notNull(currencyPair, "currencyPair");
this.currencyPair = currencyPair;
return this;
}
/**
* Sets the valuation date-time.
* All data items in this provider is calibrated for this date-time.
* @param valuationDateTime the new value, not null
* @return this, for chaining, not null
*/
public Builder valuationDateTime(ZonedDateTime valuationDateTime) {
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
this.valuationDateTime = valuationDateTime;
return this;
}
/**
* Sets the Black volatility curve.
*
* The x-values represent the expiry year-fraction.
* The metadata of the curve must define a day count.
* @param curve the new value, not null
* @return this, for chaining, not null
*/
public Builder curve(Curve curve) {
JodaBeanUtils.notNull(curve, "curve");
this.curve = curve;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("BlackFxOptionFlatVolatilities.Builder{");
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}