com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity 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.util.Map;
import java.util.NoSuchElementException;
import java.util.function.DoubleUnaryOperator;
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.google.common.collect.ComparisonChain;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.market.model.SabrParameterType;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
/**
* Sensitivity of a swaption to SABR model parameters.
*
* Holds the sensitivity vales to grid points of the SABR parameters.
*/
@BeanDefinition(builderScope = "private")
public final class SwaptionSabrSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The name of the volatilities.
*/
@PropertyDefinition(validate = "notNull")
private final SwaptionVolatilitiesName volatilitiesName;
/**
* The time to expiry of the option as a year fraction.
*/
@PropertyDefinition(validate = "notNull")
private final double expiry;
/**
* The underlying swap tenor.
*/
@PropertyDefinition
private final double tenor;
/**
* The type of the sensitivity.
*/
@PropertyDefinition
private final SabrParameterType sensitivityType;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(overrideGet = true)
private final Currency currency;
/**
* The value of the sensitivity.
*/
@PropertyDefinition(overrideGet = true)
private final double sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the specified elements.
*
* @param volatilitiesName the name of the volatilities
* @param expiry the time to expiry of the option as a year fraction
* @param tenor the underlying swap tenor
* @param sensitivityType the type of the sensitivity
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the sensitivity object
*/
public static SwaptionSabrSensitivity of(
SwaptionVolatilitiesName volatilitiesName,
double expiry,
double tenor,
SabrParameterType sensitivityType,
Currency sensitivityCurrency,
double sensitivity) {
return new SwaptionSabrSensitivity(
volatilitiesName,
expiry,
tenor,
sensitivityType,
sensitivityCurrency,
sensitivity);
}
//-------------------------------------------------------------------------
@Override
public SwaptionSabrSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new SwaptionSabrSensitivity(volatilitiesName, expiry, tenor, sensitivityType, currency, sensitivity);
}
@Override
public SwaptionSabrSensitivity withSensitivity(double sensitivity) {
return new SwaptionSabrSensitivity(volatilitiesName, expiry, tenor, sensitivityType, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof SwaptionSabrSensitivity) {
SwaptionSabrSensitivity otherSwpt = (SwaptionSabrSensitivity) other;
return ComparisonChain.start()
.compare(volatilitiesName, otherSwpt.volatilitiesName)
.compare(currency, otherSwpt.currency)
.compare(expiry, otherSwpt.expiry)
.compare(tenor, otherSwpt.tenor)
.compare(sensitivityType, otherSwpt.sensitivityType)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public SwaptionSabrSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (SwaptionSabrSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public SwaptionSabrSensitivity multipliedBy(double factor) {
return new SwaptionSabrSensitivity(volatilitiesName, expiry, tenor, sensitivityType, currency, sensitivity * factor);
}
@Override
public SwaptionSabrSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new SwaptionSabrSensitivity(
volatilitiesName, expiry, tenor, sensitivityType, currency, operator.applyAsDouble(sensitivity));
}
@Override
public SwaptionSabrSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public SwaptionSabrSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SwaptionSabrSensitivity}.
* @return the meta-bean, not null
*/
public static SwaptionSabrSensitivity.Meta meta() {
return SwaptionSabrSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(SwaptionSabrSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private SwaptionSabrSensitivity(
SwaptionVolatilitiesName volatilitiesName,
double expiry,
double tenor,
SabrParameterType sensitivityType,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(expiry, "expiry");
this.volatilitiesName = volatilitiesName;
this.expiry = expiry;
this.tenor = tenor;
this.sensitivityType = sensitivityType;
this.currency = currency;
this.sensitivity = sensitivity;
}
@Override
public SwaptionSabrSensitivity.Meta metaBean() {
return SwaptionSabrSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name of the volatilities.
* @return the value of the property, not null
*/
public SwaptionVolatilitiesName getVolatilitiesName() {
return volatilitiesName;
}
//-----------------------------------------------------------------------
/**
* Gets the time to expiry of the option as a year fraction.
* @return the value of the property, not null
*/
public double getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying swap tenor.
* @return the value of the property
*/
public double getTenor() {
return tenor;
}
//-----------------------------------------------------------------------
/**
* Gets the type of the sensitivity.
* @return the value of the property
*/
public SabrParameterType getSensitivityType() {
return sensitivityType;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the sensitivity.
* @return the value of the property
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the value of the sensitivity.
* @return the value of the property
*/
@Override
public double getSensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SwaptionSabrSensitivity other = (SwaptionSabrSensitivity) obj;
return JodaBeanUtils.equal(volatilitiesName, other.volatilitiesName) &&
JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(tenor, other.tenor) &&
JodaBeanUtils.equal(sensitivityType, other.sensitivityType) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(sensitivity, other.sensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(volatilitiesName);
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(tenor);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivityType);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("SwaptionSabrSensitivity{");
buf.append("volatilitiesName").append('=').append(JodaBeanUtils.toString(volatilitiesName)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("tenor").append('=').append(JodaBeanUtils.toString(tenor)).append(',').append(' ');
buf.append("sensitivityType").append('=').append(JodaBeanUtils.toString(sensitivityType)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SwaptionSabrSensitivity}.
*/
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 volatilitiesName} property.
*/
private final MetaProperty volatilitiesName = DirectMetaProperty.ofImmutable(
this, "volatilitiesName", SwaptionSabrSensitivity.class, SwaptionVolatilitiesName.class);
/**
* The meta-property for the {@code expiry} property.
*/
private final MetaProperty expiry = DirectMetaProperty.ofImmutable(
this, "expiry", SwaptionSabrSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code tenor} property.
*/
private final MetaProperty tenor = DirectMetaProperty.ofImmutable(
this, "tenor", SwaptionSabrSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code sensitivityType} property.
*/
private final MetaProperty sensitivityType = DirectMetaProperty.ofImmutable(
this, "sensitivityType", SwaptionSabrSensitivity.class, SabrParameterType.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", SwaptionSabrSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", SwaptionSabrSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"volatilitiesName",
"expiry",
"tenor",
"sensitivityType",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
return volatilitiesName;
case -1289159373: // expiry
return expiry;
case 110246592: // tenor
return tenor;
case 1598929529: // sensitivityType
return sensitivityType;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new SwaptionSabrSensitivity.Builder();
}
@Override
public Class beanType() {
return SwaptionSabrSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code volatilitiesName} property.
* @return the meta-property, not null
*/
public MetaProperty volatilitiesName() {
return volatilitiesName;
}
/**
* 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 tenor} property.
* @return the meta-property, not null
*/
public MetaProperty tenor() {
return tenor;
}
/**
* The meta-property for the {@code sensitivityType} property.
* @return the meta-property, not null
*/
public MetaProperty sensitivityType() {
return sensitivityType;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code sensitivity} property.
* @return the meta-property, not null
*/
public MetaProperty sensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
return ((SwaptionSabrSensitivity) bean).getVolatilitiesName();
case -1289159373: // expiry
return ((SwaptionSabrSensitivity) bean).getExpiry();
case 110246592: // tenor
return ((SwaptionSabrSensitivity) bean).getTenor();
case 1598929529: // sensitivityType
return ((SwaptionSabrSensitivity) bean).getSensitivityType();
case 575402001: // currency
return ((SwaptionSabrSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((SwaptionSabrSensitivity) bean).getSensitivity();
}
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 SwaptionSabrSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private SwaptionVolatilitiesName volatilitiesName;
private double expiry;
private double tenor;
private SabrParameterType sensitivityType;
private Currency currency;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
return volatilitiesName;
case -1289159373: // expiry
return expiry;
case 110246592: // tenor
return tenor;
case 1598929529: // sensitivityType
return sensitivityType;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
this.volatilitiesName = (SwaptionVolatilitiesName) newValue;
break;
case -1289159373: // expiry
this.expiry = (Double) newValue;
break;
case 110246592: // tenor
this.tenor = (Double) newValue;
break;
case 1598929529: // sensitivityType
this.sensitivityType = (SabrParameterType) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public SwaptionSabrSensitivity build() {
return new SwaptionSabrSensitivity(
volatilitiesName,
expiry,
tenor,
sensitivityType,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("SwaptionSabrSensitivity.Builder{");
buf.append("volatilitiesName").append('=').append(JodaBeanUtils.toString(volatilitiesName)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("tenor").append('=').append(JodaBeanUtils.toString(tenor)).append(',').append(' ');
buf.append("sensitivityType").append('=').append(JodaBeanUtils.toString(sensitivityType)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}