com.opengamma.strata.pricer.fxopt.SmileDeltaParameters Maven / Gradle / Ivy
/*
* Copyright (C) 2011 - 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.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.ImmutablePreBuild;
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.Tenor;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.option.DeltaStrike;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.ParameterizedData;
import com.opengamma.strata.market.param.TenoredParameterMetadata;
import com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata;
import com.opengamma.strata.pricer.impl.option.BlackFormulaRepository;
/**
* A delta dependent smile as used in Forex market.
*
* This contains the data for delta dependent smile from at-the-money, risk reversal and strangle.
* The delta used is the delta with respect to forward.
*/
@BeanDefinition(builderScope = "private")
public final class SmileDeltaParameters
implements ParameterizedData, ImmutableBean, Serializable {
/**
* The time to expiry associated with the data.
*/
@PropertyDefinition
private final double expiry;
/**
* The delta of the different data points.
* Must be positive and sorted in ascending order.
* The put will have as delta the opposite of the numbers.
* The array is typically {@code [0.1, 0.25]}. The at-the-money value of 0.5 is not included.
*/
@PropertyDefinition
private final DoubleArray delta;
/**
* The volatilities associated with the strikes.
* This will be of size {@code (delta.size() * 2) + 1} with the put with lower delta (in absolute value) first,
* at-the-money and call with larger delta first.
*/
@PropertyDefinition
private final DoubleArray volatility;
/**
* The associated metadata.
* This will be of size {@code (delta.size() * 2) + 1} with the put with lower delta (in absolute value) first,
* at-the-money and call with larger delta first.
*/
@PropertyDefinition
private final ImmutableList parameterMetadata;
//-------------------------------------------------------------------------
/**
* Obtains an instance from volatility.
*
* {@code GenericVolatilitySurfaceYearFractionParameterMetadata} is used for parameter metadata.
*
* @param expiry the time to expiry associated to the data
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param volatility the volatilities
* @return the smile definition
*/
public static SmileDeltaParameters of(double expiry, DoubleArray delta, DoubleArray volatility) {
return of(expiry, delta, volatility, createParameterMetadata(expiry, null, delta));
}
/**
* Obtains an instance from volatility.
*
* {@code GenericVolatilitySurfaceYearFractionParameterMetadata} is used for parameter metadata.
*
* @param expiry the time to expiry associated to the data
* @param expiryTenor the tenor associated with the expiry
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param volatility the volatilities
* @return the smile definition
*/
public static SmileDeltaParameters of(double expiry, Tenor expiryTenor, DoubleArray delta, DoubleArray volatility) {
return of(expiry, delta, volatility, createParameterMetadata(expiry, expiryTenor, delta));
}
/**
* Obtains an instance from volatility.
*
* @param expiry the time to expiry associated to the data
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param volatility the volatilities
* @param parameterMetadata the parameter metadata
* @return the smile definition
*/
public static SmileDeltaParameters of(
double expiry,
DoubleArray delta,
DoubleArray volatility,
List parameterMetadata) {
ArgChecker.notNull(delta, "delta");
ArgChecker.notNull(volatility, "volatility");
return new SmileDeltaParameters(expiry, delta, volatility, parameterMetadata);
}
/**
* Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
*
* {@code GenericVolatilitySurfaceYearFractionParameterMetadata} is used for parameter metadata.
*
* @param expiry the time to expiry associated to the data
* @param atmVolatility the at-the-money volatility
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param riskReversal the risk reversal volatility figures, in the same order as the delta
* @param strangle the strangle volatility figures, in the same order as the delta
* @return the smile definition
*/
public static SmileDeltaParameters of(
double expiry,
double atmVolatility,
DoubleArray delta,
DoubleArray riskReversal,
DoubleArray strangle) {
return of(expiry, atmVolatility, delta, riskReversal, strangle, createParameterMetadata(expiry, null, delta));
}
/**
* Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
*
* This factory allows the tenor to be included in the parameter metadata.
*
* @param expiry the time to expiry associated to the data
* @param expiryTenor the tenor associated with the expiry
* @param atmVolatility the at-the-money volatility
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param riskReversal the risk reversal volatility figures, in the same order as the delta
* @param strangle the strangle volatility figures, in the same order as the delta
* @return the smile definition
*/
public static SmileDeltaParameters of(
double expiry,
Tenor expiryTenor,
double atmVolatility,
DoubleArray delta,
DoubleArray riskReversal,
DoubleArray strangle) {
return of(expiry, atmVolatility, delta, riskReversal, strangle, createParameterMetadata(expiry, expiryTenor, delta));
}
/**
* Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
*
* @param expiry the time to expiry associated to the data
* @param atmVolatility the at-the-money volatility
* @param delta the delta of the different data points, must be positive and sorted in ascending order,
* the put will have as delta the opposite of the numbers
* @param riskReversal the risk reversal volatility figures, in the same order as the delta
* @param strangle the strangle volatility figures, in the same order as the delta
* @param parameterMetadata the parameter metadata
* @return the smile definition
*/
public static SmileDeltaParameters of(
double expiry,
double atmVolatility,
DoubleArray delta,
DoubleArray riskReversal,
DoubleArray strangle,
List parameterMetadata) {
ArgChecker.notNull(delta, "delta");
ArgChecker.notNull(riskReversal, "riskReversal");
ArgChecker.notNull(strangle, "strangle");
int nbDelta = delta.size();
ArgChecker.isTrue(nbDelta == riskReversal.size(),
"Length of delta {} should be equal to length of riskReversal {}", delta.size(), riskReversal.size());
ArgChecker.isTrue(nbDelta == strangle.size(),
"Length of delta {} should be equal to length of strangle {} ", delta.size(), strangle.size());
double[] volatility = new double[2 * nbDelta + 1];
volatility[nbDelta] = atmVolatility;
for (int i = 0; i < nbDelta; i++) {
volatility[i] = strangle.get(i) + atmVolatility - riskReversal.get(i) / 2.0; // Put
volatility[2 * nbDelta - i] = strangle.get(i) + atmVolatility + riskReversal.get(i) / 2.0; // Call
}
return of(expiry, delta, DoubleArray.ofUnsafe(volatility), parameterMetadata);
}
//-------------------------------------------------------------------------
// creates the metadata, tenor may be null
private static ImmutableList createParameterMetadata(
double expiry,
Tenor expiryTenor,
DoubleArray delta) {
ArgChecker.notNull(delta, "delta");
int nbDelta = delta.size();
ParameterMetadata[] paramMetadata = new ParameterMetadata[2 * nbDelta + 1];
// at the money, 0.5
DeltaStrike strikeAtm = DeltaStrike.of(0.5d);
paramMetadata[nbDelta] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, expiryTenor, strikeAtm);
for (int i = 0; i < nbDelta; i++) {
// put, such as 0.1 and 0.25
DeltaStrike strikePut = DeltaStrike.of(1d - delta.get(i));
paramMetadata[i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, expiryTenor, strikePut);
// call, such as 0.75 and 0.9
DeltaStrike strikeCall = DeltaStrike.of(delta.get(i));
paramMetadata[2 * nbDelta - i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, expiryTenor, strikeCall);
}
return ImmutableList.copyOf(paramMetadata);
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.parameterMetadata == null) {
if (builder.delta != null) {
builder.parameterMetadata = createParameterMetadata(builder.expiry, null, builder.delta);
}
}
}
@ImmutableValidator
private void validate() {
int nbDelta = delta.size();
ArgChecker.isTrue(2 * nbDelta + 1 == volatility.size(),
"Length of delta {} should be coherent with volatility length {}", 2 * delta.size() + 1, volatility.size());
ArgChecker.isTrue(2 * nbDelta + 1 == parameterMetadata.size(),
"Length of delta {} should be coherent with parameterMetadata length {}", 2 * delta.size() + 1, parameterMetadata.size());
if (nbDelta > 1) {
for (int i = 1; i < nbDelta; ++i) {
ArgChecker.isTrue(delta.get(i - 1) < delta.get(i), "delta should be sorted in ascending order");
}
}
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return volatility.size();
}
@Override
public double getParameter(int parameterIndex) {
return volatility.get(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return parameterMetadata.get(parameterIndex);
}
@Override
public SmileDeltaParameters withParameter(int parameterIndex, double newValue) {
return new SmileDeltaParameters(expiry, delta, volatility.with(parameterIndex, newValue), parameterMetadata);
}
@Override
public SmileDeltaParameters withPerturbation(ParameterPerturbation perturbation) {
int size = volatility.size();
DoubleArray perturbedValues = DoubleArray.of(
size, i -> perturbation.perturbParameter(i, volatility.get(i), getParameterMetadata(i)));
return new SmileDeltaParameters(expiry, delta, perturbedValues, parameterMetadata);
}
//-------------------------------------------------------------------------
/**
* Calculates the strikes in ascending order.
*
* The result has twice the number of values plus one as the delta/volatility.
* The put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
*
* @param forward the forward
* @return the strikes
*/
public DoubleArray strike(double forward) {
int nbDelta = delta.size();
double[] strike = new double[2 * nbDelta + 1];
strike[nbDelta] = forward * Math.exp(volatility.get(nbDelta) * volatility.get(nbDelta) * expiry / 2.0);
for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++) {
strike[loopdelta] = BlackFormulaRepository.impliedStrike(
-delta.get(loopdelta), false, forward, expiry, volatility.get(loopdelta)); // Put
strike[2 * nbDelta - loopdelta] = BlackFormulaRepository.impliedStrike(
delta.get(loopdelta), true, forward, expiry, volatility.get(2 * nbDelta - loopdelta)); // Call
}
return DoubleArray.ofUnsafe(strike);
}
//-------------------------------------------------------------------------
/**
* Calculates the derivatives of the implied strikes to expiry.
*
* @param forward the forward
* @return the strikes
*/
public DoubleArray impliedStrikesDerivativeToExpiry(double forward) {
int nbDelta = delta.size();
double[] dStrikedTime = new double[2 * nbDelta + 1];
double atmVol = volatility.get(nbDelta);
dStrikedTime[nbDelta] = forward * atmVol * atmVol * Math.exp(atmVol * atmVol * expiry / 2.0) / 2.0;
for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++) {
double[] valueDerivatives = new double[4];
BlackFormulaRepository.impliedStrike(
-delta.get(loopdelta), false, forward, expiry, volatility.get(loopdelta), valueDerivatives); // Put
dStrikedTime[loopdelta] = valueDerivatives[2];
BlackFormulaRepository.impliedStrike(
delta.get(loopdelta), true, forward, expiry, volatility.get(2 * nbDelta - loopdelta), valueDerivatives); // Call
dStrikedTime[2 * nbDelta - loopdelta] = valueDerivatives[2];
}
return DoubleArray.ofUnsafe(dStrikedTime);
}
//-------------------------------------------------------------------------
/**
* Calculates the derivatives of the implied strikes to volatility.
*
* @param forward the forward
* @return the strikes
*/
public DoubleArray impliedStrikesDerivativeToSmileVols(double forward) {
int nbDelta = delta.size();
double[] dStrikedVol = new double[2 * nbDelta + 1];
double[] valueDerivatives = new double[4];
double atmVol = volatility.get(nbDelta);
dStrikedVol[nbDelta] = atmVol * expiry * forward * Math.exp(atmVol * atmVol * expiry / 2.0);
for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++) {
BlackFormulaRepository.impliedStrike(
-delta.get(loopdelta), false, forward, expiry, volatility.get(loopdelta), valueDerivatives); // Put
dStrikedVol[loopdelta] = valueDerivatives[3];
BlackFormulaRepository.impliedStrike(
delta.get(loopdelta), true, forward, expiry, volatility.get(2 * nbDelta - loopdelta), valueDerivatives); // Call
dStrikedVol[2 * nbDelta - loopdelta] = valueDerivatives[3];
}
return DoubleArray.ofUnsafe(dStrikedVol);
}
/**
* Gets the tenor associated with the time to expiry, optional.
* @return the optional value of the property, not null
*/
public Optional getExpiryTenor() {
ParameterMetadata meta = parameterMetadata.get(0);
if (meta instanceof TenoredParameterMetadata) {
return Optional.of(((TenoredParameterMetadata) meta).getTenor());
} else if (meta instanceof GenericVolatilitySurfaceYearFractionParameterMetadata) {
return ((GenericVolatilitySurfaceYearFractionParameterMetadata) meta).getYearFractionTenor();
} else {
return Optional.empty();
}
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SmileDeltaParameters}.
* @return the meta-bean, not null
*/
public static SmileDeltaParameters.Meta meta() {
return SmileDeltaParameters.Meta.INSTANCE;
}
static {
MetaBean.register(SmileDeltaParameters.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private SmileDeltaParameters(
double expiry,
DoubleArray delta,
DoubleArray volatility,
List parameterMetadata) {
this.expiry = expiry;
this.delta = delta;
this.volatility = volatility;
this.parameterMetadata = (parameterMetadata != null ? ImmutableList.copyOf(parameterMetadata) : null);
validate();
}
@Override
public SmileDeltaParameters.Meta metaBean() {
return SmileDeltaParameters.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the time to expiry associated with the data.
* @return the value of the property
*/
public double getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the delta of the different data points.
* Must be positive and sorted in ascending order.
* The put will have as delta the opposite of the numbers.
* The array is typically {@code [0.1, 0.25]}. The at-the-money value of 0.5 is not included.
* @return the value of the property
*/
public DoubleArray getDelta() {
return delta;
}
//-----------------------------------------------------------------------
/**
* Gets the volatilities associated with the strikes.
* This will be of size {@code (delta.size() * 2) + 1} with the put with lower delta (in absolute value) first,
* at-the-money and call with larger delta first.
* @return the value of the property
*/
public DoubleArray getVolatility() {
return volatility;
}
//-----------------------------------------------------------------------
/**
* Gets the associated metadata.
* This will be of size {@code (delta.size() * 2) + 1} with the put with lower delta (in absolute value) first,
* at-the-money and call with larger delta first.
* @return the value of the property
*/
public ImmutableList getParameterMetadata() {
return parameterMetadata;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SmileDeltaParameters other = (SmileDeltaParameters) obj;
return JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(delta, other.delta) &&
JodaBeanUtils.equal(volatility, other.volatility) &&
JodaBeanUtils.equal(parameterMetadata, other.parameterMetadata);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(delta);
hash = hash * 31 + JodaBeanUtils.hashCode(volatility);
hash = hash * 31 + JodaBeanUtils.hashCode(parameterMetadata);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("SmileDeltaParameters{");
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("delta").append('=').append(JodaBeanUtils.toString(delta)).append(',').append(' ');
buf.append("volatility").append('=').append(JodaBeanUtils.toString(volatility)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SmileDeltaParameters}.
*/
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 expiry} property.
*/
private final MetaProperty expiry = DirectMetaProperty.ofImmutable(
this, "expiry", SmileDeltaParameters.class, Double.TYPE);
/**
* The meta-property for the {@code delta} property.
*/
private final MetaProperty delta = DirectMetaProperty.ofImmutable(
this, "delta", SmileDeltaParameters.class, DoubleArray.class);
/**
* The meta-property for the {@code volatility} property.
*/
private final MetaProperty volatility = DirectMetaProperty.ofImmutable(
this, "volatility", SmileDeltaParameters.class, DoubleArray.class);
/**
* The meta-property for the {@code parameterMetadata} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> parameterMetadata = DirectMetaProperty.ofImmutable(
this, "parameterMetadata", SmileDeltaParameters.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"expiry",
"delta",
"volatility",
"parameterMetadata");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1289159373: // expiry
return expiry;
case 95468472: // delta
return delta;
case -1917967323: // volatility
return volatility;
case -1169106440: // parameterMetadata
return parameterMetadata;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new SmileDeltaParameters.Builder();
}
@Override
public Class beanType() {
return SmileDeltaParameters.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code expiry} property.
* @return the meta-property, not null
*/
public MetaProperty expiry() {
return expiry;
}
/**
* The meta-property for the {@code delta} property.
* @return the meta-property, not null
*/
public MetaProperty delta() {
return delta;
}
/**
* The meta-property for the {@code volatility} property.
* @return the meta-property, not null
*/
public MetaProperty volatility() {
return volatility;
}
/**
* The meta-property for the {@code parameterMetadata} property.
* @return the meta-property, not null
*/
public MetaProperty> parameterMetadata() {
return parameterMetadata;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1289159373: // expiry
return ((SmileDeltaParameters) bean).getExpiry();
case 95468472: // delta
return ((SmileDeltaParameters) bean).getDelta();
case -1917967323: // volatility
return ((SmileDeltaParameters) bean).getVolatility();
case -1169106440: // parameterMetadata
return ((SmileDeltaParameters) bean).getParameterMetadata();
}
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 SmileDeltaParameters}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private double expiry;
private DoubleArray delta;
private DoubleArray volatility;
private List parameterMetadata;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1289159373: // expiry
return expiry;
case 95468472: // delta
return delta;
case -1917967323: // volatility
return volatility;
case -1169106440: // parameterMetadata
return parameterMetadata;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1289159373: // expiry
this.expiry = (Double) newValue;
break;
case 95468472: // delta
this.delta = (DoubleArray) newValue;
break;
case -1917967323: // volatility
this.volatility = (DoubleArray) newValue;
break;
case -1169106440: // parameterMetadata
this.parameterMetadata = (List) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public SmileDeltaParameters build() {
preBuild(this);
return new SmileDeltaParameters(
expiry,
delta,
volatility,
parameterMetadata);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("SmileDeltaParameters.Builder{");
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("delta").append('=').append(JodaBeanUtils.toString(delta)).append(',').append(' ');
buf.append("volatility").append('=').append(JodaBeanUtils.toString(volatility)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}