com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities 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.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.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.value.ValueDerivatives;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.model.SabrParameterType;
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.Surface;
import com.opengamma.strata.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.pricer.model.SabrInterestRateParameters;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.swap.type.FixedFloatSwapConvention;
/**
* Volatility environment for swaptions in the SABR model.
*
* The volatility is represented in terms of SABR model parameters.
*
* The {@code parameterSensitivity()}, {@code priceGamma()} and {@code priceTheta()} methods are not implemented.
*/
@BeanDefinition
public final class SabrParametersSwaptionVolatilities
implements BlackSabrSwaptionVolatilities, ImmutableBean, Serializable {
// To represent the data sensitivities (dataSensitivityAlpha, ...), DoubleMatrix does not work as the
// number of raw data can be different for each element of the list.
/**
* The name.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SwaptionVolatilitiesName name;
/**
* 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 SABR model parameters.
*
* Each model parameter of SABR model is a surface.
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
*/
@PropertyDefinition(validate = "notNull")
private final SabrInterestRateParameters parameters;
/**
* The sensitivity of the Alpha parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList dataSensitivityAlpha;
/**
* The sensitivity of the Beta parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList dataSensitivityBeta;
/**
* The sensitivity of the Rho parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList dataSensitivityRho;
/**
* The sensitivity of the Nu parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList dataSensitivityNu;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the SABR model parameters and the date-time for which it is valid.
*
* @param name the name
* @param convention the swap convention that the volatilities are to be used for
* @param valuationDateTime the valuation date-time
* @param parameters the SABR model parameters
* @return the volatilities
*/
public static SabrParametersSwaptionVolatilities of(
SwaptionVolatilitiesName name,
FixedFloatSwapConvention convention,
ZonedDateTime valuationDateTime,
SabrInterestRateParameters parameters) {
return new SabrParametersSwaptionVolatilities(name, convention, valuationDateTime, parameters, null, null, null, null);
}
//-------------------------------------------------------------------------
/**
* Gets the day count used to calculate the expiry year fraction.
*
* @return the day count
*/
public DayCount getDayCount() {
return getParameters().getDayCount();
}
@Override
public Optional findData(MarketDataName name) {
if (parameters.getAlphaSurface().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getAlphaSurface()));
}
if (parameters.getBetaSurface().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getBetaSurface()));
}
if (parameters.getRhoSurface().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getRhoSurface()));
}
if (parameters.getNuSurface().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getNuSurface()));
}
if (parameters.getShiftSurface().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getShiftSurface()));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return parameters.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return parameters.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return parameters.getParameterMetadata(parameterIndex);
}
@Override
public SabrParametersSwaptionVolatilities withParameter(int parameterIndex, double newValue) {
SabrInterestRateParameters updated = parameters.withParameter(parameterIndex, newValue);
return new SabrParametersSwaptionVolatilities(
name,
convention,
valuationDateTime,
updated,
dataSensitivityAlpha,
dataSensitivityBeta,
dataSensitivityRho,
dataSensitivityNu);
}
@Override
public SabrParametersSwaptionVolatilities withPerturbation(ParameterPerturbation perturbation) {
SabrInterestRateParameters updated = parameters.withPerturbation(perturbation);
return new SabrParametersSwaptionVolatilities(
name,
convention,
valuationDateTime,
updated,
dataSensitivityAlpha,
dataSensitivityBeta,
dataSensitivityRho,
dataSensitivityNu);
}
//-------------------------------------------------------------------------
@Override
public double volatility(double expiry, double tenor, double strike, double forwardRate) {
return parameters.volatility(expiry, tenor, strike, forwardRate);
}
@Override
public ValueDerivatives volatilityAdjoint(double expiry, double tenor, double strike, double forward) {
return parameters.volatilityAdjoint(expiry, tenor, strike, forward);
}
@Override
public double alpha(double expiry, double tenor) {
return parameters.alpha(expiry, tenor);
}
@Override
public double beta(double expiry, double tenor) {
return parameters.beta(expiry, tenor);
}
@Override
public double rho(double expiry, double tenor) {
return parameters.rho(expiry, tenor);
}
@Override
public double nu(double expiry, double tenor) {
return parameters.nu(expiry, tenor);
}
@Override
public double shift(double expiry, double tenor) {
return parameters.shift(expiry, tenor);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof SwaptionSabrSensitivity) {
SwaptionSabrSensitivity pt = (SwaptionSabrSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
// convert a single point sensitivity
private CurrencyParameterSensitivity parameterSensitivity(SwaptionSabrSensitivity point) {
Surface surface = getSurface(point.getSensitivityType());
double expiry = point.getExpiry();
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, point.getTenor());
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
// find surface
private Surface getSurface(SabrParameterType type) {
switch (type) {
case ALPHA:
return parameters.getAlphaSurface();
case BETA:
return parameters.getBetaSurface();
case RHO:
return parameters.getRhoSurface();
case NU:
return parameters.getNuSurface();
case SHIFT:
return parameters.getShiftSurface();
default:
throw new IllegalStateException("Invalid enum value");
}
}
//-------------------------------------------------------------------------
@Override
public double price(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry, tenor);
return BlackFormulaRepository.price(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceDelta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry, tenor);
return BlackFormulaRepository.delta(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceGamma(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry, tenor);
return BlackFormulaRepository.gamma(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceTheta(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry, tenor);
return BlackFormulaRepository.driftlessTheta(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceVega(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry, tenor);
return BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility);
}
//-------------------------------------------------------------------------
@Override
public double relativeTime(ZonedDateTime dateTime) {
ArgChecker.notNull(dateTime, "dateTime");
LocalDate valuationDate = valuationDateTime.toLocalDate();
LocalDate date = dateTime.toLocalDate();
return getDayCount().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 SabrParametersSwaptionVolatilities}.
* @return the meta-bean, not null
*/
public static SabrParametersSwaptionVolatilities.Meta meta() {
return SabrParametersSwaptionVolatilities.Meta.INSTANCE;
}
static {
MetaBean.register(SabrParametersSwaptionVolatilities.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 SabrParametersSwaptionVolatilities.Builder builder() {
return new SabrParametersSwaptionVolatilities.Builder();
}
private SabrParametersSwaptionVolatilities(
SwaptionVolatilitiesName name,
FixedFloatSwapConvention convention,
ZonedDateTime valuationDateTime,
SabrInterestRateParameters parameters,
List dataSensitivityAlpha,
List dataSensitivityBeta,
List dataSensitivityRho,
List dataSensitivityNu) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(convention, "convention");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
JodaBeanUtils.notNull(parameters, "parameters");
this.name = name;
this.convention = convention;
this.valuationDateTime = valuationDateTime;
this.parameters = parameters;
this.dataSensitivityAlpha = (dataSensitivityAlpha != null ? ImmutableList.copyOf(dataSensitivityAlpha) : null);
this.dataSensitivityBeta = (dataSensitivityBeta != null ? ImmutableList.copyOf(dataSensitivityBeta) : null);
this.dataSensitivityRho = (dataSensitivityRho != null ? ImmutableList.copyOf(dataSensitivityRho) : null);
this.dataSensitivityNu = (dataSensitivityNu != null ? ImmutableList.copyOf(dataSensitivityNu) : null);
}
@Override
public SabrParametersSwaptionVolatilities.Meta metaBean() {
return SabrParametersSwaptionVolatilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name.
* @return the value of the property, not null
*/
@Override
public SwaptionVolatilitiesName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* 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 SABR model parameters.
*
* Each model parameter of SABR model is a surface.
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
* @return the value of the property, not null
*/
public SabrInterestRateParameters getParameters() {
return parameters;
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @return the optional value of the property, not null
*/
public Optional> getDataSensitivityAlpha() {
return Optional.ofNullable(dataSensitivityAlpha);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Beta parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @return the optional value of the property, not null
*/
public Optional> getDataSensitivityBeta() {
return Optional.ofNullable(dataSensitivityBeta);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Rho parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @return the optional value of the property, not null
*/
public Optional> getDataSensitivityRho() {
return Optional.ofNullable(dataSensitivityRho);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Nu parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @return the optional value of the property, not null
*/
public Optional> getDataSensitivityNu() {
return Optional.ofNullable(dataSensitivityNu);
}
//-----------------------------------------------------------------------
/**
* 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()) {
SabrParametersSwaptionVolatilities other = (SabrParametersSwaptionVolatilities) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(convention, other.convention) &&
JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) &&
JodaBeanUtils.equal(parameters, other.parameters) &&
JodaBeanUtils.equal(dataSensitivityAlpha, other.dataSensitivityAlpha) &&
JodaBeanUtils.equal(dataSensitivityBeta, other.dataSensitivityBeta) &&
JodaBeanUtils.equal(dataSensitivityRho, other.dataSensitivityRho) &&
JodaBeanUtils.equal(dataSensitivityNu, other.dataSensitivityNu);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(convention);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDateTime);
hash = hash * 31 + JodaBeanUtils.hashCode(parameters);
hash = hash * 31 + JodaBeanUtils.hashCode(dataSensitivityAlpha);
hash = hash * 31 + JodaBeanUtils.hashCode(dataSensitivityBeta);
hash = hash * 31 + JodaBeanUtils.hashCode(dataSensitivityRho);
hash = hash * 31 + JodaBeanUtils.hashCode(dataSensitivityNu);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("SabrParametersSwaptionVolatilities{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("dataSensitivityAlpha").append('=').append(JodaBeanUtils.toString(dataSensitivityAlpha)).append(',').append(' ');
buf.append("dataSensitivityBeta").append('=').append(JodaBeanUtils.toString(dataSensitivityBeta)).append(',').append(' ');
buf.append("dataSensitivityRho").append('=').append(JodaBeanUtils.toString(dataSensitivityRho)).append(',').append(' ');
buf.append("dataSensitivityNu").append('=').append(JodaBeanUtils.toString(dataSensitivityNu));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SabrParametersSwaptionVolatilities}.
*/
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", SabrParametersSwaptionVolatilities.class, SwaptionVolatilitiesName.class);
/**
* The meta-property for the {@code convention} property.
*/
private final MetaProperty convention = DirectMetaProperty.ofImmutable(
this, "convention", SabrParametersSwaptionVolatilities.class, FixedFloatSwapConvention.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", SabrParametersSwaptionVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code parameters} property.
*/
private final MetaProperty parameters = DirectMetaProperty.ofImmutable(
this, "parameters", SabrParametersSwaptionVolatilities.class, SabrInterestRateParameters.class);
/**
* The meta-property for the {@code dataSensitivityAlpha} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> dataSensitivityAlpha = DirectMetaProperty.ofImmutable(
this, "dataSensitivityAlpha", SabrParametersSwaptionVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityBeta} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> dataSensitivityBeta = DirectMetaProperty.ofImmutable(
this, "dataSensitivityBeta", SabrParametersSwaptionVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityRho} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> dataSensitivityRho = DirectMetaProperty.ofImmutable(
this, "dataSensitivityRho", SabrParametersSwaptionVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityNu} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> dataSensitivityNu = DirectMetaProperty.ofImmutable(
this, "dataSensitivityNu", SabrParametersSwaptionVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"convention",
"valuationDateTime",
"parameters",
"dataSensitivityAlpha",
"dataSensitivityBeta",
"dataSensitivityRho",
"dataSensitivityNu");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 2039569265: // convention
return convention;
case -949589828: // valuationDateTime
return valuationDateTime;
case 458736106: // parameters
return parameters;
case 1650101705: // dataSensitivityAlpha
return dataSensitivityAlpha;
case -85295067: // dataSensitivityBeta
return dataSensitivityBeta;
case 967095332: // dataSensitivityRho
return dataSensitivityRho;
case -1077182148: // dataSensitivityNu
return dataSensitivityNu;
}
return super.metaPropertyGet(propertyName);
}
@Override
public SabrParametersSwaptionVolatilities.Builder builder() {
return new SabrParametersSwaptionVolatilities.Builder();
}
@Override
public Class beanType() {
return SabrParametersSwaptionVolatilities.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 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 parameters} property.
* @return the meta-property, not null
*/
public MetaProperty parameters() {
return parameters;
}
/**
* The meta-property for the {@code dataSensitivityAlpha} property.
* @return the meta-property, not null
*/
public MetaProperty> dataSensitivityAlpha() {
return dataSensitivityAlpha;
}
/**
* The meta-property for the {@code dataSensitivityBeta} property.
* @return the meta-property, not null
*/
public MetaProperty> dataSensitivityBeta() {
return dataSensitivityBeta;
}
/**
* The meta-property for the {@code dataSensitivityRho} property.
* @return the meta-property, not null
*/
public MetaProperty> dataSensitivityRho() {
return dataSensitivityRho;
}
/**
* The meta-property for the {@code dataSensitivityNu} property.
* @return the meta-property, not null
*/
public MetaProperty> dataSensitivityNu() {
return dataSensitivityNu;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((SabrParametersSwaptionVolatilities) bean).getName();
case 2039569265: // convention
return ((SabrParametersSwaptionVolatilities) bean).getConvention();
case -949589828: // valuationDateTime
return ((SabrParametersSwaptionVolatilities) bean).getValuationDateTime();
case 458736106: // parameters
return ((SabrParametersSwaptionVolatilities) bean).getParameters();
case 1650101705: // dataSensitivityAlpha
return ((SabrParametersSwaptionVolatilities) bean).dataSensitivityAlpha;
case -85295067: // dataSensitivityBeta
return ((SabrParametersSwaptionVolatilities) bean).dataSensitivityBeta;
case 967095332: // dataSensitivityRho
return ((SabrParametersSwaptionVolatilities) bean).dataSensitivityRho;
case -1077182148: // dataSensitivityNu
return ((SabrParametersSwaptionVolatilities) bean).dataSensitivityNu;
}
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 SabrParametersSwaptionVolatilities}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SwaptionVolatilitiesName name;
private FixedFloatSwapConvention convention;
private ZonedDateTime valuationDateTime;
private SabrInterestRateParameters parameters;
private List dataSensitivityAlpha;
private List dataSensitivityBeta;
private List dataSensitivityRho;
private List dataSensitivityNu;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(SabrParametersSwaptionVolatilities beanToCopy) {
this.name = beanToCopy.getName();
this.convention = beanToCopy.getConvention();
this.valuationDateTime = beanToCopy.getValuationDateTime();
this.parameters = beanToCopy.getParameters();
this.dataSensitivityAlpha = beanToCopy.dataSensitivityAlpha;
this.dataSensitivityBeta = beanToCopy.dataSensitivityBeta;
this.dataSensitivityRho = beanToCopy.dataSensitivityRho;
this.dataSensitivityNu = beanToCopy.dataSensitivityNu;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 2039569265: // convention
return convention;
case -949589828: // valuationDateTime
return valuationDateTime;
case 458736106: // parameters
return parameters;
case 1650101705: // dataSensitivityAlpha
return dataSensitivityAlpha;
case -85295067: // dataSensitivityBeta
return dataSensitivityBeta;
case 967095332: // dataSensitivityRho
return dataSensitivityRho;
case -1077182148: // dataSensitivityNu
return dataSensitivityNu;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3373707: // name
this.name = (SwaptionVolatilitiesName) newValue;
break;
case 2039569265: // convention
this.convention = (FixedFloatSwapConvention) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
case 458736106: // parameters
this.parameters = (SabrInterestRateParameters) newValue;
break;
case 1650101705: // dataSensitivityAlpha
this.dataSensitivityAlpha = (List) newValue;
break;
case -85295067: // dataSensitivityBeta
this.dataSensitivityBeta = (List) newValue;
break;
case 967095332: // dataSensitivityRho
this.dataSensitivityRho = (List) newValue;
break;
case -1077182148: // dataSensitivityNu
this.dataSensitivityNu = (List) 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 SabrParametersSwaptionVolatilities build() {
return new SabrParametersSwaptionVolatilities(
name,
convention,
valuationDateTime,
parameters,
dataSensitivityAlpha,
dataSensitivityBeta,
dataSensitivityRho,
dataSensitivityNu);
}
//-----------------------------------------------------------------------
/**
* Sets the name.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(SwaptionVolatilitiesName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the swap convention that the volatilities are to be used for.
* @param convention the new value, not null
* @return this, for chaining, not null
*/
public Builder convention(FixedFloatSwapConvention convention) {
JodaBeanUtils.notNull(convention, "convention");
this.convention = convention;
return this;
}
/**
* Sets the valuation date-time.
*
* The volatilities are 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 SABR model parameters.
*
* Each model parameter of SABR model is a surface.
* The x-value of the surface is the expiry, as a year fraction.
* The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
* @param parameters the new value, not null
* @return this, for chaining, not null
*/
public Builder parameters(SabrInterestRateParameters parameters) {
JodaBeanUtils.notNull(parameters, "parameters");
this.parameters = parameters;
return this;
}
/**
* Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @param dataSensitivityAlpha the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityAlpha(List dataSensitivityAlpha) {
this.dataSensitivityAlpha = dataSensitivityAlpha;
return this;
}
/**
* Sets the {@code dataSensitivityAlpha} property in the builder
* from an array of objects.
* @param dataSensitivityAlpha the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityAlpha(DoubleArray... dataSensitivityAlpha) {
return dataSensitivityAlpha(ImmutableList.copyOf(dataSensitivityAlpha));
}
/**
* Sets the sensitivity of the Beta parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @param dataSensitivityBeta the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityBeta(List dataSensitivityBeta) {
this.dataSensitivityBeta = dataSensitivityBeta;
return this;
}
/**
* Sets the {@code dataSensitivityBeta} property in the builder
* from an array of objects.
* @param dataSensitivityBeta the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityBeta(DoubleArray... dataSensitivityBeta) {
return dataSensitivityBeta(ImmutableList.copyOf(dataSensitivityBeta));
}
/**
* Sets the sensitivity of the Rho parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @param dataSensitivityRho the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityRho(List dataSensitivityRho) {
this.dataSensitivityRho = dataSensitivityRho;
return this;
}
/**
* Sets the {@code dataSensitivityRho} property in the builder
* from an array of objects.
* @param dataSensitivityRho the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityRho(DoubleArray... dataSensitivityRho) {
return dataSensitivityRho(ImmutableList.copyOf(dataSensitivityRho));
}
/**
* Sets the sensitivity of the Nu parameters to the raw data used for calibration.
*
* The order of the sensitivities have to be coherent with the surface parameter metadata.
* @param dataSensitivityNu the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityNu(List dataSensitivityNu) {
this.dataSensitivityNu = dataSensitivityNu;
return this;
}
/**
* Sets the {@code dataSensitivityNu} property in the builder
* from an array of objects.
* @param dataSensitivityNu the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityNu(DoubleArray... dataSensitivityNu) {
return dataSensitivityNu(ImmutableList.copyOf(dataSensitivityNu));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("SabrParametersSwaptionVolatilities.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention)).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(JodaBeanUtils.toString(valuationDateTime)).append(',').append(' ');
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("dataSensitivityAlpha").append('=').append(JodaBeanUtils.toString(dataSensitivityAlpha)).append(',').append(' ');
buf.append("dataSensitivityBeta").append('=').append(JodaBeanUtils.toString(dataSensitivityBeta)).append(',').append(' ');
buf.append("dataSensitivityRho").append('=').append(JodaBeanUtils.toString(dataSensitivityRho)).append(',').append(' ');
buf.append("dataSensitivityNu").append('=').append(JodaBeanUtils.toString(dataSensitivityNu));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}