com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities 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.ImmutablePreBuild;
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.data.MarketDataName;
import com.opengamma.strata.market.ValueType;
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 FX options in the log-normal or Black model based on a surface.
*
* The volatility is represented by a surface on the expiry and strike value.
*/
@BeanDefinition
public final class BlackFxOptionSurfaceVolatilities
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 Black volatility surface.
*
* The x-values represent the expiry year-fraction.
* The y-values represent the strike.
* The metadata of the surface must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final Surface surface;
/**
* The day count convention of the curve.
*/
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.
*
* {@code FxOptionVolatilitiesName} is built from the name in {@code Surface}.
*
* 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 currencyPair the currency pair
* @param valuationDateTime the valuation date-time
* @param surface the volatility surface
* @return the volatilities
*/
public static BlackFxOptionSurfaceVolatilities of(
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Surface surface) {
FxOptionVolatilitiesName name = FxOptionVolatilitiesName.of(surface.getName().getName());
return of(name, currencyPair, valuationDateTime, surface);
}
/**
* 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 name the name
* @param currencyPair the currency pair
* @param valuationDateTime the valuation date-time
* @param surface the volatility surface
* @return the volatilities
*/
public static BlackFxOptionSurfaceVolatilities of(
FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Surface surface) {
return new BlackFxOptionSurfaceVolatilities(name, currencyPair, valuationDateTime, surface);
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.name == null && builder.surface != null) {
builder.name = FxOptionVolatilitiesName.of(builder.surface.getName().getName());
}
}
@ImmutableConstructor
private BlackFxOptionSurfaceVolatilities(
FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Surface surface) {
ArgChecker.notNull(name, "name");
ArgChecker.notNull(currencyPair, "currencyPair");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(surface, "surface");
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"));
this.name = name;
this.currencyPair = currencyPair;
this.valuationDateTime = valuationDateTime;
this.surface = surface;
this.dayCount = dayCount;
}
// ensure standard constructor is invoked
private Object readResolve() {
return new BlackFxOptionSurfaceVolatilities(name, currencyPair, valuationDateTime, surface);
}
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (surface.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(surface));
}
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 BlackFxOptionSurfaceVolatilities withParameter(int parameterIndex, double newValue) {
return new BlackFxOptionSurfaceVolatilities(
name, currencyPair, valuationDateTime, surface.withParameter(parameterIndex, newValue));
}
@Override
public BlackFxOptionSurfaceVolatilities withPerturbation(ParameterPerturbation perturbation) {
return new BlackFxOptionSurfaceVolatilities(
name, currencyPair, valuationDateTime, surface.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double volatility(CurrencyPair currencyPair, double expiry, double strike, double forward) {
if (currencyPair.isInverse(this.currencyPair)) {
return surface.zValue(expiry, 1d / strike);
}
return surface.zValue(expiry, strike);
}
@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 surface.firstPartialDerivatives(expiry, 1d / strike);
}
return surface.firstPartialDerivatives(expiry, strike);
}
private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point) {
double expiry = point.getExpiry();
double strike = point.getCurrencyPair().isInverse(currencyPair) ? 1d / point.getStrike() : point.getStrike();
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, strike);
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 BlackFxOptionSurfaceVolatilities}.
* @return the meta-bean, not null
*/
public static BlackFxOptionSurfaceVolatilities.Meta meta() {
return BlackFxOptionSurfaceVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(BlackFxOptionSurfaceVolatilities.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 BlackFxOptionSurfaceVolatilities.Builder builder() {
return new BlackFxOptionSurfaceVolatilities.Builder();
}
@Override
public BlackFxOptionSurfaceVolatilities.Meta metaBean() {
return BlackFxOptionSurfaceVolatilities.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 Black volatility surface.
*
* The x-values represent the expiry year-fraction.
* The y-values represent the strike.
* The metadata of the surface must define a day count.
* @return the value of the property, not null
*/
public Surface getSurface() {
return surface;
}
//-----------------------------------------------------------------------
/**
* 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()) {
BlackFxOptionSurfaceVolatilities other = (BlackFxOptionSurfaceVolatilities) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) &&
JodaBeanUtils.equal(surface, other.surface);
}
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(surface);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("BlackFxOptionSurfaceVolatilities{");
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("surface").append('=').append(JodaBeanUtils.toString(surface));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code BlackFxOptionSurfaceVolatilities}.
*/
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", BlackFxOptionSurfaceVolatilities.class, FxOptionVolatilitiesName.class);
/**
* The meta-property for the {@code currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", BlackFxOptionSurfaceVolatilities.class, CurrencyPair.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", BlackFxOptionSurfaceVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code surface} property.
*/
private final MetaProperty surface = DirectMetaProperty.ofImmutable(
this, "surface", BlackFxOptionSurfaceVolatilities.class, Surface.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"currencyPair",
"valuationDateTime",
"surface");
/**
* 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 -1853231955: // surface
return surface;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BlackFxOptionSurfaceVolatilities.Builder builder() {
return new BlackFxOptionSurfaceVolatilities.Builder();
}
@Override
public Class beanType() {
return BlackFxOptionSurfaceVolatilities.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 surface} property.
* @return the meta-property, not null
*/
public MetaProperty surface() {
return surface;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((BlackFxOptionSurfaceVolatilities) bean).getName();
case 1005147787: // currencyPair
return ((BlackFxOptionSurfaceVolatilities) bean).getCurrencyPair();
case -949589828: // valuationDateTime
return ((BlackFxOptionSurfaceVolatilities) bean).getValuationDateTime();
case -1853231955: // surface
return ((BlackFxOptionSurfaceVolatilities) bean).getSurface();
}
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 BlackFxOptionSurfaceVolatilities}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private FxOptionVolatilitiesName name;
private CurrencyPair currencyPair;
private ZonedDateTime valuationDateTime;
private Surface surface;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(BlackFxOptionSurfaceVolatilities beanToCopy) {
this.name = beanToCopy.getName();
this.currencyPair = beanToCopy.getCurrencyPair();
this.valuationDateTime = beanToCopy.getValuationDateTime();
this.surface = beanToCopy.getSurface();
}
//-----------------------------------------------------------------------
@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 -1853231955: // surface
return surface;
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 -1853231955: // surface
this.surface = (Surface) 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 BlackFxOptionSurfaceVolatilities build() {
preBuild(this);
return new BlackFxOptionSurfaceVolatilities(
name,
currencyPair,
valuationDateTime,
surface);
}
//-----------------------------------------------------------------------
/**
* 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 Black volatility surface.
*
* The x-values represent the expiry year-fraction.
* The y-values represent the strike.
* The metadata of the surface must define a day count.
* @param surface the new value, not null
* @return this, for chaining, not null
*/
public Builder surface(Surface surface) {
JodaBeanUtils.notNull(surface, "surface");
this.surface = surface;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("BlackFxOptionSurfaceVolatilities.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("surface").append('=').append(JodaBeanUtils.toString(surface));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}