/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.volatility.smile;
import java.io.Serializable;
import java.util.Set;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableValidator;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.light.LightMetaBean;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
/**
* The data bundle for SSVI smile formula.
* <p>
* The bundle contains the SSVI model parameters, ATM volatility, rho and eta.
*/
@BeanDefinition(style = "light")
public final class SsviFormulaData
implements SmileModelData, ImmutableBean, Serializable {
/**
* The number of model parameters.
*/
private static final int NUM_PARAMETERS = 3;
/**
* The model parameters.
* <p>
* This must be an array of length 3.
* The parameters in the array are in the order of sigma (ATM volatility), rho and eta.
* The constraints for the parameters are defined in {@link #isAllowed(int, double)}.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray parameters;
//-------------------------------------------------------------------------
/**
* Obtains an instance of the SSVI formula data.
*
* @param sigma the sigma parameter, ATM volatility
* @param rho the rho parameter
* @param eta the eta parameter
* @return the instance
*/
public static SsviFormulaData of(double sigma, double rho, double eta) {
return new SsviFormulaData(DoubleArray.of(sigma, rho, eta));
}
/**
* Obtains an instance of the SSVI formula data.
* <p>
* The parameters in the input array should be in the order of sigma (ATM volatility), rho and eta.
*
* @param parameters the parameters
* @return the instance
*/
public static SsviFormulaData of(double[] parameters) {
ArgChecker.notNull(parameters, "parameters");
ArgChecker.isTrue(parameters.length == NUM_PARAMETERS, "the number of parameters should be 3");
return new SsviFormulaData(DoubleArray.copyOf(parameters));
}
@ImmutableValidator
private void validate() {
for (int i = 0; i < NUM_PARAMETERS; ++i) {
ArgChecker.isTrue(isAllowed(i, parameters.get(i)), "the {}-th parameter is not allowed", i);
}
}
//-------------------------------------------------------------------------
/**
* Gets the sigma parameter.
*
* @return the sigma parameter
*/
public double getSigma() {
return parameters.get(0);
}
/**
* Gets the rho parameter.
*
* @return the rho parameter
*/
public double getRho() {
return parameters.get(1);
}
/**
* Gets the eta parameters.
*
* @return the eta parameter
*/
public double getEta() {
return parameters.get(2);
}
//-------------------------------------------------------------------------
/**
* Returns a copy of this instance with sigma replaced.
*
* @param sigma the new sigma
* @return the new data instance
*/
public SsviFormulaData withSigma(double sigma) {
return of(sigma, getRho(), getEta());
}
/**
* Returns a copy of this instance with rho replaced.
*
* @param rho the new rho
* @return the new data instance
*/
public SsviFormulaData withRho(double rho) {
return of(getSigma(), rho, getEta());
}
/**
* Returns a copy of this instance with eta replaced.
*
* @param eta the new eta
* @return the new data instance
*/
public SsviFormulaData withEta(double eta) {
return of(getSigma(), getRho(), eta);
}
//-------------------------------------------------------------------------
@Override
public int getNumberOfParameters() {
return NUM_PARAMETERS;
}
@Override
public double getParameter(int index) {
ArgChecker.inRangeExclusive(index, -1, NUM_PARAMETERS, "index");
return parameters.get(index);
}
@Override
public boolean isAllowed(int index, double value) {
switch (index) {
case 0:
return value > 0;
case 1:
return value >= -1 && value <= 1;
case 2:
return value > 0;
default:
throw new IllegalArgumentException("index " + index + " outside range");
}
}
@Override
public SsviFormulaData with(int index, double value) {
ArgChecker.inRange(index, 0, NUM_PARAMETERS, "index");
double[] paramsCp = parameters.toArray();
paramsCp[index] = value;
return of(paramsCp);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code SsviFormulaData}.
*/
private static MetaBean META_BEAN = LightMetaBean.of(SsviFormulaData.class);
/**
* The meta-bean for {@code SsviFormulaData}.
* @return the meta-bean, not null
*/
public static MetaBean meta() {
return META_BEAN;
}
static {
JodaBeanUtils.registerMetaBean(META_BEAN);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private SsviFormulaData(
DoubleArray parameters) {
JodaBeanUtils.notNull(parameters, "parameters");
this.parameters = parameters;
validate();
}
@Override
public MetaBean metaBean() {
return META_BEAN;
}
@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 model parameters.
* <p>
* This must be an array of length 3.
* The parameters in the array are in the order of sigma (ATM volatility), rho and eta.
* The constraints for the parameters are defined in {@link #isAllowed(int, double)}.
* @return the value of the property, not null
*/
public DoubleArray getParameters() {
return parameters;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SsviFormulaData other = (SsviFormulaData) obj;
return JodaBeanUtils.equal(parameters, other.parameters);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(parameters);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(64);
buf.append("SsviFormulaData{");
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters));
buf.append('}');
return buf.toString();
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}