/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.volatility.surface; import org.apache.commons.lang.ObjectUtils; import org.apache.commons.lang.Validate; import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve; import com.opengamma.analytics.math.surface.Surface; import com.opengamma.analytics.math.surface.SurfaceShiftFunctionFactory; /** * */ public class BlackVolatilitySurfaceLogMoneyness extends BlackVolatilitySurface<LogMoneyness> { private final ForwardCurve _fc; public BlackVolatilitySurfaceLogMoneyness(final BlackVolatilitySurfaceMoneyness other) { super(other.getSurface()); _fc = other.getForwardCurve(); } /** * @param surface The surface, not null * @param forwardCurve The forward curve, not null */ public BlackVolatilitySurfaceLogMoneyness(final Surface<Double, Double, Double> surface, final ForwardCurve forwardCurve) { super(surface); Validate.notNull(forwardCurve, "null forward curve"); _fc = forwardCurve; } @Override public double getVolatility(final double t, final double k) { final double f = _fc.getForward(t); final LogMoneyness x = new LogMoneyness(k, f); return getVolatility(t, x); } /** * Return a volatility for the expiry, log-moneyness pair provided. * Interpolation/extrapolation behaviour depends on underlying surface * @param t time to maturity * @param x the log-moneyness x = ln[k/F(T)], where k is the strike and F(T) is the forward for expiry at time T * @return The Black (implied) volatility */ public double getVolatilityForLogMoneyness(final double t, final double x) { return getVolatility(t, new LogMoneyness(x)); } public ForwardCurve getForwardCurve() { return _fc; } @Override public double getAbsoluteStrike(final double t, final LogMoneyness s) { return _fc.getForward(t) * Math.exp(s.value()); } @Override public BlackVolatilitySurface<LogMoneyness> withShift(final double shift, final boolean useAdditive) { return new BlackVolatilitySurfaceLogMoneyness(SurfaceShiftFunctionFactory.getShiftedSurface(getSurface(), shift, useAdditive), _fc); } @Override public BlackVolatilitySurface<LogMoneyness> withSurface(final Surface<Double, Double, Double> surface) { return new BlackVolatilitySurfaceLogMoneyness(surface, _fc); } @Override public <S, U> U accept(final BlackVolatilitySurfaceVisitor<S, U> visitor, final S data) { return visitor.visitLogMoneyness(this, data); } @Override public <U> U accept(final BlackVolatilitySurfaceVisitor<?, U> visitor) { return visitor.visitLogMoneyness(this); } @Override public int hashCode() { final int prime = 31; int result = super.hashCode(); result = prime * result + _fc.hashCode(); return result; } @Override public boolean equals(final Object obj) { if (this == obj) { return true; } if (!super.equals(obj)) { return false; } if (!(obj instanceof BlackVolatilitySurfaceLogMoneyness)) { return false; } final BlackVolatilitySurfaceLogMoneyness other = (BlackVolatilitySurfaceLogMoneyness) obj; if (!ObjectUtils.equals(_fc, other._fc)) { return false; } return true; } }