com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider 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.model;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.util.Map;
import java.util.NoSuchElementException;
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.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.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.value.ValueDerivatives;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
/**
* Hull-White one factor model with piecewise constant volatility.
*
* Reference: Henrard, M. "The Irony in the derivatives discounting Part II: the crisis", Wilmott Journal, 2010, 2, 301-316
*/
@BeanDefinition(builderScope = "private")
public final class HullWhiteOneFactorPiecewiseConstantParametersProvider
implements ImmutableBean, Serializable {
/**
* Hull-White one factor model with piecewise constant volatility.
*/
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
HullWhiteOneFactorPiecewiseConstantInterestRateModel.DEFAULT;
/**
* The Hull-White model parameters.
*/
@PropertyDefinition(validate = "notNull")
private final HullWhiteOneFactorPiecewiseConstantParameters parameters;
/**
* The day count applicable to the model.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* The valuation date.
*
* The volatilities are calibrated for this date-time.
*/
@PropertyDefinition(validate = "notNull")
private final ZonedDateTime valuationDateTime;
//-------------------------------------------------------------------------
/**
* Obtains an instance from Hull-White model parameters and the date-time for which it is valid.
*
* @param parameters the Hull-White model parameters
* @param dayCount the day count applicable to the model
* @param valuationDateTime the valuation date-time
* @return the provider
*/
public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(
HullWhiteOneFactorPiecewiseConstantParameters parameters,
DayCount dayCount,
ZonedDateTime valuationDateTime) {
return new HullWhiteOneFactorPiecewiseConstantParametersProvider(parameters, dayCount, valuationDateTime);
}
/**
* Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.
*
* @param parameters the Hull-White model parameters
* @param dayCount the day count applicable to the model
* @param valuationDate the valuation date
* @param valuationTime the valuation time
* @param valuationZone the valuation time zone
* @return the provider
*/
public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(
HullWhiteOneFactorPiecewiseConstantParameters parameters,
DayCount dayCount,
LocalDate valuationDate,
LocalTime valuationTime,
ZoneId valuationZone) {
return of(parameters, dayCount, valuationDate.atTime(valuationTime).atZone(valuationZone));
}
//-------------------------------------------------------------------------
/**
* Calculates the future convexity factor for the specified period at the future reference date.
*
* @param referenceDate the reference date
* @param startDate the start date of the period
* @param endDate the end date of the period
* @return the convexity factor
*/
public double futuresConvexityFactor(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) {
double referenceTime = relativeTime(referenceDate);
double startTime = relativeTime(startDate);
double endTime = relativeTime(endDate);
return MODEL.futuresConvexityFactor(parameters, referenceTime, startTime, endTime);
}
/**
* Calculates the future convexity factor and its derivative for the specified period at the future reference date.
*
* @param referenceDate the reference date
* @param startDate the start date of the period
* @param endDate the end date of the period
* @return the convexity factor
*/
public ValueDerivatives futuresConvexityFactorAdjoint(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) {
double referenceTime = relativeTime(referenceDate);
double startTime = relativeTime(startDate);
double endTime = relativeTime(endDate);
return MODEL.futuresConvexityFactorAdjoint(parameters, referenceTime, startTime, endTime);
}
/**
* Converts a date to a relative year fraction.
*
* When the date is after the valuation date, the returned number is negative.
*
* @param date the date to find the relative year fraction of
* @return the relative year fraction
*/
public double relativeTime(LocalDate date) {
ArgChecker.notNull(date, "date");
LocalDate valuationDate = valuationDateTime.toLocalDate();
boolean timeIsNegative = valuationDate.isAfter(date);
if (timeIsNegative) {
return -dayCount.yearFraction(date, valuationDate);
}
return dayCount.yearFraction(valuationDate, date);
}
/**
* Calculates the alpha value for the specified period with respect to the maturity date.
*
* The alpha is computed with a bond numeraire of {@code numeraireDate}.
*
* @param startDate the start date of the period
* @param endDate the end date of the period
* @param numeraireDate the numeraire date
* @param maturityDate the maturity date
* @return the alpha
*/
public double alpha(LocalDate startDate, LocalDate endDate, LocalDate numeraireDate, LocalDate maturityDate) {
double startTime = relativeTime(startDate);
double endTime = relativeTime(endDate);
double numeraireTime = relativeTime(numeraireDate);
double maturityTime = relativeTime(maturityDate);
return MODEL.alpha(parameters, startTime, endTime, numeraireTime, maturityTime);
}
/**
* Calculates the alpha and its derivative values for the specified period with respect to the maturity date.
*
* The alpha is computed with a bond numeraire of {@code numeraireDate}.
*
* @param startDate the start date of the period
* @param endDate the end date of the period
* @param numeraireDate the numeraire date
* @param maturityDate the maturity date
* @return the alpha adjoint
*/
public ValueDerivatives alphaAdjoint(
LocalDate startDate,
LocalDate endDate,
LocalDate numeraireDate,
LocalDate maturityDate) {
double startTime = relativeTime(startDate);
double endTime = relativeTime(endDate);
double numeraireTime = relativeTime(numeraireDate);
double maturityTime = relativeTime(maturityDate);
return MODEL.alphaAdjoint(parameters, startTime, endTime, numeraireTime, maturityTime);
}
/**
* Returns a Hull-White one-factor model.
*
* @return the model
*/
public HullWhiteOneFactorPiecewiseConstantInterestRateModel getModel() {
return MODEL;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code HullWhiteOneFactorPiecewiseConstantParametersProvider}.
* @return the meta-bean, not null
*/
public static HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta meta() {
return HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.INSTANCE;
}
static {
MetaBean.register(HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private HullWhiteOneFactorPiecewiseConstantParametersProvider(
HullWhiteOneFactorPiecewiseConstantParameters parameters,
DayCount dayCount,
ZonedDateTime valuationDateTime) {
JodaBeanUtils.notNull(parameters, "parameters");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
this.parameters = parameters;
this.dayCount = dayCount;
this.valuationDateTime = valuationDateTime;
}
@Override
public HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta metaBean() {
return HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the Hull-White model parameters.
* @return the value of the property, not null
*/
public HullWhiteOneFactorPiecewiseConstantParameters getParameters() {
return parameters;
}
//-----------------------------------------------------------------------
/**
* Gets the day count applicable to the model.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
*
* The volatilities are calibrated for this date-time.
* @return the value of the property, not null
*/
public ZonedDateTime getValuationDateTime() {
return valuationDateTime;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
HullWhiteOneFactorPiecewiseConstantParametersProvider other = (HullWhiteOneFactorPiecewiseConstantParametersProvider) obj;
return JodaBeanUtils.equal(parameters, other.parameters) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(parameters);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("HullWhiteOneFactorPiecewiseConstantParametersProvider{");
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code HullWhiteOneFactorPiecewiseConstantParametersProvider}.
*/
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 parameters} property.
*/
private final MetaProperty parameters = DirectMetaProperty.ofImmutable(
this, "parameters", HullWhiteOneFactorPiecewiseConstantParametersProvider.class, HullWhiteOneFactorPiecewiseConstantParameters.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", HullWhiteOneFactorPiecewiseConstantParametersProvider.class, DayCount.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", HullWhiteOneFactorPiecewiseConstantParametersProvider.class, ZonedDateTime.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"parameters",
"dayCount",
"valuationDateTime");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 458736106: // parameters
return parameters;
case 1905311443: // dayCount
return dayCount;
case -949589828: // valuationDateTime
return valuationDateTime;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new HullWhiteOneFactorPiecewiseConstantParametersProvider.Builder();
}
@Override
public Class beanType() {
return HullWhiteOneFactorPiecewiseConstantParametersProvider.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code parameters} property.
* @return the meta-property, not null
*/
public MetaProperty parameters() {
return parameters;
}
/**
* 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 valuationDateTime} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDateTime() {
return valuationDateTime;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 458736106: // parameters
return ((HullWhiteOneFactorPiecewiseConstantParametersProvider) bean).getParameters();
case 1905311443: // dayCount
return ((HullWhiteOneFactorPiecewiseConstantParametersProvider) bean).getDayCount();
case -949589828: // valuationDateTime
return ((HullWhiteOneFactorPiecewiseConstantParametersProvider) bean).getValuationDateTime();
}
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 HullWhiteOneFactorPiecewiseConstantParametersProvider}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private HullWhiteOneFactorPiecewiseConstantParameters parameters;
private DayCount dayCount;
private ZonedDateTime valuationDateTime;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 458736106: // parameters
return parameters;
case 1905311443: // dayCount
return dayCount;
case -949589828: // valuationDateTime
return valuationDateTime;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 458736106: // parameters
this.parameters = (HullWhiteOneFactorPiecewiseConstantParameters) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public HullWhiteOneFactorPiecewiseConstantParametersProvider build() {
return new HullWhiteOneFactorPiecewiseConstantParametersProvider(
parameters,
dayCount,
valuationDateTime);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("HullWhiteOneFactorPiecewiseConstantParametersProvider.Builder{");
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}