/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.capfloor;
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 java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.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.index.IborIndex;
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.curve.Curve;
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.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.pricer.model.SabrParameters;
import com.opengamma.strata.product.common.PutCall;
/**
* Volatility environment for Ibor caplet/floorlet in the SABR model.
* <p>
* The volatility is represented in terms of SABR model parameters.
*/
@BeanDefinition
public final class SabrParametersIborCapletFloorletVolatilities
implements SabrIborCapletFloorletVolatilities, ImmutableBean, Serializable {
/**
* The name.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborCapletFloorletVolatilitiesName name;
/**
* The Ibor index.
* <p>
* The data must valid in terms of this Ibor index.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborIndex index;
/**
* The valuation date-time.
* <p>
* The volatilities are calibrated for this date-time.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ZonedDateTime valuationDateTime;
/**
* The SABR model parameters.
* <p>
* Each model parameter of SABR model is a curve.
* The x-value of the curve is the expiry, as a year fraction.
*/
@PropertyDefinition(validate = "notNull")
private final SabrParameters parameters;
/**
* The sensitivity of the Alpha parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList<DoubleArray> dataSensitivityAlpha;
/**
* The sensitivity of the Beta parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList<DoubleArray> dataSensitivityBeta;
/**
* The sensitivity of the Rho parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList<DoubleArray> dataSensitivityRho;
/**
* The sensitivity of the Nu parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
*/
@PropertyDefinition(get = "optional")
private final ImmutableList<DoubleArray> dataSensitivityNu;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the SABR model parameters and the date-time for which it is valid.
*
* @param name the name
* @param index the Ibor index for which the data is valid
* @param valuationDateTime the valuation date-time
* @param parameters the SABR model parameters
* @return the volatilities
*/
public static SabrParametersIborCapletFloorletVolatilities of(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
ZonedDateTime valuationDateTime,
SabrParameters parameters) {
return new SabrParametersIborCapletFloorletVolatilities(name, index, 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 <T> Optional<T> findData(MarketDataName<T> name) {
if (parameters.getAlphaCurve().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getAlphaCurve()));
}
if (parameters.getBetaCurve().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getBetaCurve()));
}
if (parameters.getRhoCurve().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getRhoCurve()));
}
if (parameters.getNuCurve().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getNuCurve()));
}
if (parameters.getShiftCurve().getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(parameters.getShiftCurve()));
}
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 SabrParametersIborCapletFloorletVolatilities withParameter(int parameterIndex, double newValue) {
SabrParameters updated = parameters.withParameter(parameterIndex, newValue);
return new SabrParametersIborCapletFloorletVolatilities(
name,
index,
valuationDateTime,
updated,
dataSensitivityAlpha,
dataSensitivityBeta,
dataSensitivityRho,
dataSensitivityNu);
}
@Override
public SabrParametersIborCapletFloorletVolatilities withPerturbation(ParameterPerturbation perturbation) {
SabrParameters updated = parameters.withPerturbation(perturbation);
return new SabrParametersIborCapletFloorletVolatilities(
name,
index,
valuationDateTime,
updated,
dataSensitivityAlpha,
dataSensitivityBeta,
dataSensitivityRho,
dataSensitivityNu);
}
//-------------------------------------------------------------------------
@Override
public double volatility(double expiry, double strike, double forwardRate) {
return parameters.volatility(expiry, strike, forwardRate);
}
@Override
public ValueDerivatives volatilityAdjoint(double expiry, double strike, double forward) {
return parameters.volatilityAdjoint(expiry, strike, forward);
}
@Override
public double alpha(double expiry) {
return parameters.alpha(expiry);
}
@Override
public double beta(double expiry) {
return parameters.beta(expiry);
}
@Override
public double rho(double expiry) {
return parameters.rho(expiry);
}
@Override
public double nu(double expiry) {
return parameters.nu(expiry);
}
@Override
public double shift(double expiry) {
return parameters.shift(expiry);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof IborCapletFloorletSabrSensitivity) {
IborCapletFloorletSabrSensitivity pt = (IborCapletFloorletSabrSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
// convert a single point sensitivity
private CurrencyParameterSensitivity parameterSensitivity(IborCapletFloorletSabrSensitivity point) {
Curve curve = getCurve(point.getSensitivityType());
double expiry = point.getExpiry();
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(expiry);
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
// find Curve
private Curve getCurve(SabrParameterType type) {
switch (type) {
case ALPHA:
return parameters.getAlphaCurve();
case BETA:
return parameters.getBetaCurve();
case RHO:
return parameters.getRhoCurve();
case NU:
return parameters.getNuCurve();
case SHIFT:
return parameters.getShiftCurve();
default:
throw new IllegalStateException("Invalid enum value");
}
}
//-------------------------------------------------------------------------
@Override
public double price(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry);
return BlackFormulaRepository.price(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceDelta(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry);
return BlackFormulaRepository.delta(forward + shift, strike + shift, expiry, volatility, putCall.isCall());
}
@Override
public double priceGamma(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry);
return BlackFormulaRepository.gamma(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceTheta(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry);
return BlackFormulaRepository.driftlessTheta(forward + shift, strike + shift, expiry, volatility);
}
@Override
public double priceVega(double expiry, PutCall putCall, double strike, double forward, double volatility) {
double shift = parameters.shift(expiry);
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);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code SabrParametersIborCapletFloorletVolatilities}.
* @return the meta-bean, not null
*/
public static SabrParametersIborCapletFloorletVolatilities.Meta meta() {
return SabrParametersIborCapletFloorletVolatilities.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(SabrParametersIborCapletFloorletVolatilities.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 SabrParametersIborCapletFloorletVolatilities.Builder builder() {
return new SabrParametersIborCapletFloorletVolatilities.Builder();
}
private SabrParametersIborCapletFloorletVolatilities(
IborCapletFloorletVolatilitiesName name,
IborIndex index,
ZonedDateTime valuationDateTime,
SabrParameters parameters,
List<DoubleArray> dataSensitivityAlpha,
List<DoubleArray> dataSensitivityBeta,
List<DoubleArray> dataSensitivityRho,
List<DoubleArray> dataSensitivityNu) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
JodaBeanUtils.notNull(parameters, "parameters");
this.name = name;
this.index = index;
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 SabrParametersIborCapletFloorletVolatilities.Meta metaBean() {
return SabrParametersIborCapletFloorletVolatilities.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets the name.
* @return the value of the property, not null
*/
@Override
public IborCapletFloorletVolatilitiesName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index.
* <p>
* The data must valid in terms of this Ibor index.
* @return the value of the property, not null
*/
@Override
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date-time.
* <p>
* 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.
* <p>
* Each model parameter of SABR model is a curve.
* The x-value of the curve is the expiry, as a year fraction.
* @return the value of the property, not null
*/
public SabrParameters getParameters() {
return parameters;
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @return the optional value of the property, not null
*/
public Optional<ImmutableList<DoubleArray>> getDataSensitivityAlpha() {
return Optional.ofNullable(dataSensitivityAlpha);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Beta parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @return the optional value of the property, not null
*/
public Optional<ImmutableList<DoubleArray>> getDataSensitivityBeta() {
return Optional.ofNullable(dataSensitivityBeta);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Rho parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @return the optional value of the property, not null
*/
public Optional<ImmutableList<DoubleArray>> getDataSensitivityRho() {
return Optional.ofNullable(dataSensitivityRho);
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity of the Nu parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @return the optional value of the property, not null
*/
public Optional<ImmutableList<DoubleArray>> 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()) {
SabrParametersIborCapletFloorletVolatilities other = (SabrParametersIborCapletFloorletVolatilities) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(index, other.index) &&
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(index);
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("SabrParametersIborCapletFloorletVolatilities{");
buf.append("name").append('=').append(name).append(',').append(' ');
buf.append("index").append('=').append(index).append(',').append(' ');
buf.append("valuationDateTime").append('=').append(valuationDateTime).append(',').append(' ');
buf.append("parameters").append('=').append(parameters).append(',').append(' ');
buf.append("dataSensitivityAlpha").append('=').append(dataSensitivityAlpha).append(',').append(' ');
buf.append("dataSensitivityBeta").append('=').append(dataSensitivityBeta).append(',').append(' ');
buf.append("dataSensitivityRho").append('=').append(dataSensitivityRho).append(',').append(' ');
buf.append("dataSensitivityNu").append('=').append(JodaBeanUtils.toString(dataSensitivityNu));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SabrParametersIborCapletFloorletVolatilities}.
*/
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<IborCapletFloorletVolatilitiesName> name = DirectMetaProperty.ofImmutable(
this, "name", SabrParametersIborCapletFloorletVolatilities.class, IborCapletFloorletVolatilitiesName.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty<IborIndex> index = DirectMetaProperty.ofImmutable(
this, "index", SabrParametersIborCapletFloorletVolatilities.class, IborIndex.class);
/**
* The meta-property for the {@code valuationDateTime} property.
*/
private final MetaProperty<ZonedDateTime> valuationDateTime = DirectMetaProperty.ofImmutable(
this, "valuationDateTime", SabrParametersIborCapletFloorletVolatilities.class, ZonedDateTime.class);
/**
* The meta-property for the {@code parameters} property.
*/
private final MetaProperty<SabrParameters> parameters = DirectMetaProperty.ofImmutable(
this, "parameters", SabrParametersIborCapletFloorletVolatilities.class, SabrParameters.class);
/**
* The meta-property for the {@code dataSensitivityAlpha} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ImmutableList<DoubleArray>> dataSensitivityAlpha = DirectMetaProperty.ofImmutable(
this, "dataSensitivityAlpha", SabrParametersIborCapletFloorletVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityBeta} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ImmutableList<DoubleArray>> dataSensitivityBeta = DirectMetaProperty.ofImmutable(
this, "dataSensitivityBeta", SabrParametersIborCapletFloorletVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityRho} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ImmutableList<DoubleArray>> dataSensitivityRho = DirectMetaProperty.ofImmutable(
this, "dataSensitivityRho", SabrParametersIborCapletFloorletVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code dataSensitivityNu} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ImmutableList<DoubleArray>> dataSensitivityNu = DirectMetaProperty.ofImmutable(
this, "dataSensitivityNu", SabrParametersIborCapletFloorletVolatilities.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"index",
"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 100346066: // index
return index;
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 SabrParametersIborCapletFloorletVolatilities.Builder builder() {
return new SabrParametersIborCapletFloorletVolatilities.Builder();
}
@Override
public Class<? extends SabrParametersIborCapletFloorletVolatilities> beanType() {
return SabrParametersIborCapletFloorletVolatilities.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty<IborCapletFloorletVolatilitiesName> name() {
return name;
}
/**
* The meta-property for the {@code index} property.
* @return the meta-property, not null
*/
public MetaProperty<IborIndex> index() {
return index;
}
/**
* The meta-property for the {@code valuationDateTime} property.
* @return the meta-property, not null
*/
public MetaProperty<ZonedDateTime> valuationDateTime() {
return valuationDateTime;
}
/**
* The meta-property for the {@code parameters} property.
* @return the meta-property, not null
*/
public MetaProperty<SabrParameters> parameters() {
return parameters;
}
/**
* The meta-property for the {@code dataSensitivityAlpha} property.
* @return the meta-property, not null
*/
public MetaProperty<ImmutableList<DoubleArray>> dataSensitivityAlpha() {
return dataSensitivityAlpha;
}
/**
* The meta-property for the {@code dataSensitivityBeta} property.
* @return the meta-property, not null
*/
public MetaProperty<ImmutableList<DoubleArray>> dataSensitivityBeta() {
return dataSensitivityBeta;
}
/**
* The meta-property for the {@code dataSensitivityRho} property.
* @return the meta-property, not null
*/
public MetaProperty<ImmutableList<DoubleArray>> dataSensitivityRho() {
return dataSensitivityRho;
}
/**
* The meta-property for the {@code dataSensitivityNu} property.
* @return the meta-property, not null
*/
public MetaProperty<ImmutableList<DoubleArray>> dataSensitivityNu() {
return dataSensitivityNu;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((SabrParametersIborCapletFloorletVolatilities) bean).getName();
case 100346066: // index
return ((SabrParametersIborCapletFloorletVolatilities) bean).getIndex();
case -949589828: // valuationDateTime
return ((SabrParametersIborCapletFloorletVolatilities) bean).getValuationDateTime();
case 458736106: // parameters
return ((SabrParametersIborCapletFloorletVolatilities) bean).getParameters();
case 1650101705: // dataSensitivityAlpha
return ((SabrParametersIborCapletFloorletVolatilities) bean).dataSensitivityAlpha;
case -85295067: // dataSensitivityBeta
return ((SabrParametersIborCapletFloorletVolatilities) bean).dataSensitivityBeta;
case 967095332: // dataSensitivityRho
return ((SabrParametersIborCapletFloorletVolatilities) bean).dataSensitivityRho;
case -1077182148: // dataSensitivityNu
return ((SabrParametersIborCapletFloorletVolatilities) 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 SabrParametersIborCapletFloorletVolatilities}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<SabrParametersIborCapletFloorletVolatilities> {
private IborCapletFloorletVolatilitiesName name;
private IborIndex index;
private ZonedDateTime valuationDateTime;
private SabrParameters parameters;
private List<DoubleArray> dataSensitivityAlpha;
private List<DoubleArray> dataSensitivityBeta;
private List<DoubleArray> dataSensitivityRho;
private List<DoubleArray> dataSensitivityNu;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(SabrParametersIborCapletFloorletVolatilities beanToCopy) {
this.name = beanToCopy.getName();
this.index = beanToCopy.getIndex();
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 100346066: // index
return index;
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 = (IborCapletFloorletVolatilitiesName) newValue;
break;
case 100346066: // index
this.index = (IborIndex) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
case 458736106: // parameters
this.parameters = (SabrParameters) newValue;
break;
case 1650101705: // dataSensitivityAlpha
this.dataSensitivityAlpha = (List<DoubleArray>) newValue;
break;
case -85295067: // dataSensitivityBeta
this.dataSensitivityBeta = (List<DoubleArray>) newValue;
break;
case 967095332: // dataSensitivityRho
this.dataSensitivityRho = (List<DoubleArray>) newValue;
break;
case -1077182148: // dataSensitivityNu
this.dataSensitivityNu = (List<DoubleArray>) 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 Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public SabrParametersIborCapletFloorletVolatilities build() {
return new SabrParametersIborCapletFloorletVolatilities(
name,
index,
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(IborCapletFloorletVolatilitiesName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the Ibor index.
* <p>
* The data must valid in terms of this Ibor index.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(IborIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the valuation date-time.
* <p>
* 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.
* <p>
* Each model parameter of SABR model is a curve.
* The x-value of the curve is the expiry, as a year fraction.
* @param parameters the new value, not null
* @return this, for chaining, not null
*/
public Builder parameters(SabrParameters parameters) {
JodaBeanUtils.notNull(parameters, "parameters");
this.parameters = parameters;
return this;
}
/**
* Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @param dataSensitivityAlpha the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityAlpha(List<DoubleArray> 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.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @param dataSensitivityBeta the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityBeta(List<DoubleArray> 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.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @param dataSensitivityRho the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityRho(List<DoubleArray> 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.
* <p>
* The order of the sensitivities have to be coherent with the curve parameter metadata.
* @param dataSensitivityNu the new value
* @return this, for chaining, not null
*/
public Builder dataSensitivityNu(List<DoubleArray> 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("SabrParametersIborCapletFloorletVolatilities.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).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();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}