com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities 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.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.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.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.Tenor;
import com.opengamma.strata.basics.value.ValueDerivatives;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.option.DeltaStrike;
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.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.product.common.PutCall;
/**
* Data provider of volatility for FX options in the log-normal or Black-Scholes model.
*
* The volatility is represented by a term structure of interpolated smile,
* {@link SmileDeltaTermStructure}, which represents expiry dependent smile formed of
* ATM, risk reversal and strangle as used in FX market.
*/
@BeanDefinition
public final class BlackFxOptionSmileVolatilities
implements BlackFxOptionVolatilities, ImmutableBean, Serializable {
/**
* The name of the volatilities.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final FxOptionVolatilitiesName name;
/**
* 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 volatility model.
*
* This represents expiry dependent smile which consists of ATM, risk reversal
* and strangle as used in FX market.
*/
@PropertyDefinition(validate = "notNull")
private final SmileDeltaTermStructure smile;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a smile.
*
* @param name the name of the volatilities
* @param currencyPair the currency pair
* @param valuationTime the valuation date-time
* @param smile the term structure of smile
* @return the provider
*/
public static BlackFxOptionSmileVolatilities of(
FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationTime,
SmileDeltaTermStructure smile) {
return new BlackFxOptionSmileVolatilities(name, currencyPair, valuationTime, smile);
}
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (this.name.equals(name)) {
return Optional.of(name.getMarketDataType().cast(this));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return smile.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return smile.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return smile.getParameterMetadata(parameterIndex);
}
@Override
public BlackFxOptionSmileVolatilities withParameter(int parameterIndex, double newValue) {
return new BlackFxOptionSmileVolatilities(
name, currencyPair, valuationDateTime, smile.withParameter(parameterIndex, newValue));
}
@Override
public BlackFxOptionSmileVolatilities withPerturbation(ParameterPerturbation perturbation) {
return new BlackFxOptionSmileVolatilities(
name, currencyPair, valuationDateTime, smile.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double volatility(CurrencyPair currencyPair, double expiryTime, double strike, double forward) {
if (currencyPair.isInverse(this.currencyPair)) {
return smile.volatility(expiryTime, 1d / strike, 1d / forward);
}
return smile.volatility(expiryTime, strike, forward);
}
@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) {
if (currencyPair.isInverse(this.currencyPair)) {
return smile.partialFirstDerivatives(expiry, 1d / strike, 1d / forward);
}
return smile.partialFirstDerivatives(expiry, strike, forward);
}
private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point) {
double expiryTime = point.getExpiry();
double strike = currencyPair.isInverse(point.getCurrencyPair()) ? 1d / point.getStrike() : point.getStrike();
double forward = currencyPair.isInverse(point.getCurrencyPair()) ? 1d / point.getForward() : point.getForward();
double pointValue = point.getSensitivity();
DoubleMatrix bucketedSensi = smile.volatilityAndSensitivities(expiryTime, strike, forward).getSensitivities();
DoubleArray smileExpiries = smile.getExpiries();
List> smileExpiryTenors = smile.getExpiryTenors();
int nTimes = smileExpiries.size();
List sensiList = new ArrayList<>();
List paramList = new ArrayList<>();
DoubleArray deltas = smile.getDelta();
int nDeltas = deltas.size();
// convert sensitivity
for (int i = 0; i < nTimes; ++i) {
double smileExpiry = smileExpiries.get(i);
Optional tenorOpt = smileExpiryTenors.get(i);
// calculate absolute delta
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal];
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j) {
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
// convert sensitivities
for (int j = 0; j < nDeltasTotal; ++j) {
sensiList.add(bucketedSensi.get(i, j) * pointValue);
DeltaStrike absoluteDelta = DeltaStrike.of(deltasTotal[j]);
ParameterMetadata parameterMetadata = tenorOpt
.map(tenor -> FxVolatilitySurfaceYearFractionParameterMetadata.of(smileExpiry, tenor, absoluteDelta, currencyPair))
.orElseGet(() -> FxVolatilitySurfaceYearFractionParameterMetadata.of(smileExpiry, absoluteDelta, currencyPair));
paramList.add(parameterMetadata);
}
}
return CurrencyParameterSensitivity.of(name, paramList, point.getCurrency(), DoubleArray.copyOf(sensiList));
}
//-------------------------------------------------------------------------
@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 smile.getDayCount().relativeYearFraction(valuationDate, date);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code BlackFxOptionSmileVolatilities}.
* @return the meta-bean, not null
*/
public static BlackFxOptionSmileVolatilities.Meta meta() {
return BlackFxOptionSmileVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(BlackFxOptionSmileVolatilities.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 BlackFxOptionSmileVolatilities.Builder builder() {
return new BlackFxOptionSmileVolatilities.Builder();
}
private BlackFxOptionSmileVolatilities(
FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
SmileDeltaTermStructure smile) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
JodaBeanUtils.notNull(smile, "smile");
this.name = name;
this.currencyPair = currencyPair;
this.valuationDateTime = valuationDateTime;
this.smile = smile;
}
@Override
public BlackFxOptionSmileVolatilities.Meta metaBean() {
return BlackFxOptionSmileVolatilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name of the volatilities.
* @return the value of the property, not null
*/
@Override
public FxOptionVolatilitiesName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* 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 volatility model.
*
* This represents expiry dependent smile which consists of ATM, risk reversal
* and strangle as used in FX market.
* @return the value of the property, not null
*/
public SmileDeltaTermStructure getSmile() {
return smile;
}
//-----------------------------------------------------------------------
/**
* 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()) {
BlackFxOptionSmileVolatilities other = (BlackFxOptionSmileVolatilities) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) &&
JodaBeanUtils.equal(smile, other.smile);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
hash = hash * 31 + JodaBeanUtils.hashCode(smile);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("BlackFxOptionSmileVolatilities{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("smile").append('=').append(JodaBeanUtils.toString(smile));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code BlackFxOptionSmileVolatilities}.
*/
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", BlackFxOptionSmileVolatilities.class, FxOptionVolatilitiesName.class);
/**
* The meta-property for the {@code currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", BlackFxOptionSmileVolatilities.class, CurrencyPair.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", BlackFxOptionSmileVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code smile} property.
*/
private final MetaProperty smile = DirectMetaProperty.ofImmutable(
this, "smile", BlackFxOptionSmileVolatilities.class, SmileDeltaTermStructure.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"currencyPair",
"valuationDateTime",
"smile");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 1005147787: // currencyPair
return currencyPair;
case -949589828: // valuationDateTime
return valuationDateTime;
case 109556488: // smile
return smile;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BlackFxOptionSmileVolatilities.Builder builder() {
return new BlackFxOptionSmileVolatilities.Builder();
}
@Override
public Class beanType() {
return BlackFxOptionSmileVolatilities.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 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 smile} property.
* @return the meta-property, not null
*/
public MetaProperty smile() {
return smile;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((BlackFxOptionSmileVolatilities) bean).getName();
case 1005147787: // currencyPair
return ((BlackFxOptionSmileVolatilities) bean).getCurrencyPair();
case -949589828: // valuationDateTime
return ((BlackFxOptionSmileVolatilities) bean).getValuationDateTime();
case 109556488: // smile
return ((BlackFxOptionSmileVolatilities) bean).getSmile();
}
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 BlackFxOptionSmileVolatilities}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private FxOptionVolatilitiesName name;
private CurrencyPair currencyPair;
private ZonedDateTime valuationDateTime;
private SmileDeltaTermStructure smile;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(BlackFxOptionSmileVolatilities beanToCopy) {
this.name = beanToCopy.getName();
this.currencyPair = beanToCopy.getCurrencyPair();
this.valuationDateTime = beanToCopy.getValuationDateTime();
this.smile = beanToCopy.getSmile();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 1005147787: // currencyPair
return currencyPair;
case -949589828: // valuationDateTime
return valuationDateTime;
case 109556488: // smile
return smile;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3373707: // name
this.name = (FxOptionVolatilitiesName) newValue;
break;
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
case 109556488: // smile
this.smile = (SmileDeltaTermStructure) 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 BlackFxOptionSmileVolatilities build() {
return new BlackFxOptionSmileVolatilities(
name,
currencyPair,
valuationDateTime,
smile);
}
//-----------------------------------------------------------------------
/**
* Sets the name of the volatilities.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(FxOptionVolatilitiesName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* 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 volatility model.
*
* This represents expiry dependent smile which consists of ATM, risk reversal
* and strangle as used in FX market.
* @param smile the new value, not null
* @return this, for chaining, not null
*/
public Builder smile(SmileDeltaTermStructure smile) {
JodaBeanUtils.notNull(smile, "smile");
this.smile = smile;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("BlackFxOptionSmileVolatilities.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("smile").append('=').append(JodaBeanUtils.toString(smile));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}