com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities 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.swaption;
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.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.ImmutableConstructor;
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.collect.ArgChecker;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.model.MoneynessType;
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.NormalFormulaRepository;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.swap.type.FixedFloatSwapConvention;
/**
* Volatility for swaptions in the normal or Bachelier model based on a surface.
*
* The volatility is represented by a surface on the expiry and simple moneyness dimensions.
*/
@BeanDefinition(builderScope = "private")
public final class NormalSwaptionExpirySimpleMoneynessVolatilities
implements NormalSwaptionVolatilities, ImmutableBean, Serializable {
/**
* The swap convention that the volatilities are to be used for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final FixedFloatSwapConvention convention;
/**
* The valuation date-time.
*
* The volatilities are calibrated for this date-time.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ZonedDateTime valuationDateTime;
/**
* The normal volatility surface.
*
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the simple moneyness, i.e. strike - forward, as a rate.
*/
@PropertyDefinition(validate = "notNull")
private final Surface surface;
/**
* The day count convention of the surface.
*/
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.
*
* 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#SIMPLE_MONEYNESS}
*
- The z-value type must be {@link ValueType#NORMAL_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#normalVolatilityByExpirySimpleMoneyness(String, DayCount, MoneynessType)}.
*
* @param convention the swap convention that the volatilities are to be used for
* @param valuationDateTime the valuation date-time
* @param surface the implied volatility surface
* @return the volatilities
*/
public static NormalSwaptionExpirySimpleMoneynessVolatilities of(
FixedFloatSwapConvention convention,
ZonedDateTime valuationDateTime,
Surface surface) {
return new NormalSwaptionExpirySimpleMoneynessVolatilities(convention, valuationDateTime, surface);
}
@ImmutableConstructor
private NormalSwaptionExpirySimpleMoneynessVolatilities(
FixedFloatSwapConvention convention,
ZonedDateTime valuationDateTime,
Surface surface) {
ArgChecker.notNull(convention, "convention");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(surface, "surface");
surface.getMetadata().getXValueType().checkEquals(
ValueType.YEAR_FRACTION, "Incorrect x-value type for Normal volatilities");
surface.getMetadata().getYValueType().checkEquals(
ValueType.SIMPLE_MONEYNESS, "Incorrect y-value type for Normal volatilities");
surface.getMetadata().getZValueType().checkEquals(
ValueType.NORMAL_VOLATILITY, "Incorrect z-value type for Normal volatilities");
DayCount dayCount = surface.getMetadata().findInfo(SurfaceInfoType.DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect surface metadata, missing DayCount"));
this.valuationDateTime = valuationDateTime;
this.surface = surface;
this.convention = convention;
this.dayCount = dayCount;
}
// ensure standard constructor is invoked
private Object readResolve() {
return new NormalSwaptionExpirySimpleMoneynessVolatilities(convention, valuationDateTime, surface);
}
//-------------------------------------------------------------------------
@Override
public SwaptionVolatilitiesName getName() {
return SwaptionVolatilitiesName.of(surface.getName().getName());
}
@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 NormalSwaptionExpirySimpleMoneynessVolatilities withParameter(int parameterIndex, double newValue) {
return new NormalSwaptionExpirySimpleMoneynessVolatilities(
convention, valuationDateTime, surface.withParameter(parameterIndex, newValue));
}
@Override
public NormalSwaptionExpirySimpleMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation) {
return new NormalSwaptionExpirySimpleMoneynessVolatilities(
convention, valuationDateTime, surface.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double volatility(double expiry, double tenor, double strike, double forwardRate) {
double simpleMoneyness = strike - forwardRate;
return surface.zValue(expiry, simpleMoneyness);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof SwaptionSensitivity) {
SwaptionSensitivity pt = (SwaptionSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
private CurrencyParameterSensitivity parameterSensitivity(SwaptionSensitivity point) {
double expiry = point.getExpiry();
double moneyness = point.getStrike() - point.getForward();
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, moneyness);
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
//-------------------------------------------------------------------------
@Override
public double price(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
return NormalFormulaRepository.price(forward, strike, expiry, volatility, putCall);
}
@Override
public double priceDelta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
return NormalFormulaRepository.delta(forward, strike, expiry, volatility, putCall);
}
@Override
public double priceGamma(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
return NormalFormulaRepository.gamma(forward, strike, expiry, volatility, putCall);
}
@Override
public double priceTheta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
return NormalFormulaRepository.theta(forward, strike, expiry, volatility, putCall);
}
@Override
public double priceVega(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
return NormalFormulaRepository.vega(forward, strike, expiry, volatility, putCall);
}
//-------------------------------------------------------------------------
@Override
public double relativeTime(ZonedDateTime dateTime) {
ArgChecker.notNull(dateTime, "dateTime");
LocalDate valuationDate = valuationDateTime.toLocalDate();
LocalDate date = dateTime.toLocalDate();
return dayCount.relativeYearFraction(valuationDate, date);
}
@Override
public double tenor(LocalDate startDate, LocalDate endDate) {
// rounded number of months. the rounding is to ensure that an integer number of year even with holidays/leap year
return Math.round((endDate.toEpochDay() - startDate.toEpochDay()) / 365.25 * 12) / 12;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code NormalSwaptionExpirySimpleMoneynessVolatilities}.
* @return the meta-bean, not null
*/
public static NormalSwaptionExpirySimpleMoneynessVolatilities.Meta meta() {
return NormalSwaptionExpirySimpleMoneynessVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(NormalSwaptionExpirySimpleMoneynessVolatilities.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public NormalSwaptionExpirySimpleMoneynessVolatilities.Meta metaBean() {
return NormalSwaptionExpirySimpleMoneynessVolatilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the swap convention that the volatilities are to be used for.
* @return the value of the property, not null
*/
@Override
public FixedFloatSwapConvention getConvention() {
return convention;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date-time.
*
* The volatilities are calibrated for this date-time.
* @return the value of the property, not null
*/
@Override
public ZonedDateTime getValuationDateTime() {
return valuationDateTime;
}
//-----------------------------------------------------------------------
/**
* Gets the normal volatility surface.
*
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the simple moneyness, i.e. strike - forward, as a rate.
* @return the value of the property, not null
*/
public Surface getSurface() {
return surface;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
NormalSwaptionExpirySimpleMoneynessVolatilities other = (NormalSwaptionExpirySimpleMoneynessVolatilities) obj;
return JodaBeanUtils.equal(convention, other.convention) &&
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(convention);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
hash = hash * 31 + JodaBeanUtils.hashCode(surface);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("NormalSwaptionExpirySimpleMoneynessVolatilities{");
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention)).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 NormalSwaptionExpirySimpleMoneynessVolatilities}.
*/
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 convention} property.
*/
private final MetaProperty convention = DirectMetaProperty.ofImmutable(
this, "convention", NormalSwaptionExpirySimpleMoneynessVolatilities.class, FixedFloatSwapConvention.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", NormalSwaptionExpirySimpleMoneynessVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code surface} property.
*/
private final MetaProperty surface = DirectMetaProperty.ofImmutable(
this, "surface", NormalSwaptionExpirySimpleMoneynessVolatilities.class, Surface.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"convention",
"valuationDateTime",
"surface");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 2039569265: // convention
return convention;
case -949589828: // valuationDateTime
return valuationDateTime;
case -1853231955: // surface
return surface;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new NormalSwaptionExpirySimpleMoneynessVolatilities.Builder();
}
@Override
public Class beanType() {
return NormalSwaptionExpirySimpleMoneynessVolatilities.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code convention} property.
* @return the meta-property, not null
*/
public MetaProperty convention() {
return convention;
}
/**
* 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 2039569265: // convention
return ((NormalSwaptionExpirySimpleMoneynessVolatilities) bean).getConvention();
case -949589828: // valuationDateTime
return ((NormalSwaptionExpirySimpleMoneynessVolatilities) bean).getValuationDateTime();
case -1853231955: // surface
return ((NormalSwaptionExpirySimpleMoneynessVolatilities) 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 NormalSwaptionExpirySimpleMoneynessVolatilities}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private FixedFloatSwapConvention convention;
private ZonedDateTime valuationDateTime;
private Surface surface;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 2039569265: // convention
return convention;
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 2039569265: // convention
this.convention = (FixedFloatSwapConvention) 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 NormalSwaptionExpirySimpleMoneynessVolatilities build() {
return new NormalSwaptionExpirySimpleMoneynessVolatilities(
convention,
valuationDateTime,
surface);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("NormalSwaptionExpirySimpleMoneynessVolatilities.Builder{");
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention)).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 --------------------------
}