/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.interestrate;
import java.util.List;
import java.util.Set;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Implementation of a provider of normal volatility (Bachelier model) smile for options on STIR futures.
* The volatility is time to expiration/simple price moneyness dependent (not strike).
* The simple moneyness is computed as
* - moneynessOnPrice = true: (strike price) - (futures price).
* - moneynessOnPrice = false: (futures price) - (strike price) = (1 - strike price) - (1 - futures price) = (strike rate) - (futures rate).
*/
public class NormalSTIRFuturesExpSimpleMoneynessProvider implements NormalSTIRFuturesProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The normal volatility surface. Not null.
*/
private final Surface<Double, Double, Double> _parameters;
/** Flag indicating if the moneyness is on the price (true) or on the rate (false). */
private final boolean _moneynessOnPrice;
/**
* The underlying swaps generators.
*/
private final IborIndex _index;
/**
* Constructor.
* @param multicurveProvider The multicurve provider.
* @param parameters The normal volatility parameters.
* @param index The index underlying the futures for which the date is valid.
* @param moneynessOnPrice Flag indicating if the moneyness is on the price (true) or on the rate (false).
*/
public NormalSTIRFuturesExpSimpleMoneynessProvider(final MulticurveProviderInterface multicurveProvider,
final Surface<Double, Double, Double> parameters, final IborIndex index, final boolean moneynessOnPrice) {
ArgumentChecker.notNull(multicurveProvider, "multicurveProvider");
ArgumentChecker.notNull(parameters, "parameters");
ArgumentChecker.notNull(index, "index");
_multicurveProvider = multicurveProvider;
_parameters = parameters;
_index = index;
_moneynessOnPrice = moneynessOnPrice;
}
@Override
public NormalSTIRFuturesExpSimpleMoneynessProvider copy() {
MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new NormalSTIRFuturesExpSimpleMoneynessProvider(multicurveProvider, _parameters, _index, _moneynessOnPrice);
}
@Override
public double getVolatility(final double expiry, final double delay, final double strikePrice,
final double futuresPrice) {
double simpleMoneyness = _moneynessOnPrice ? strikePrice - futuresPrice : futuresPrice - strikePrice;
return _parameters.getZValue(expiry, simpleMoneyness);
}
@Override
public IborIndex getFuturesIndex() {
return _index;
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return _multicurveProvider;
}
public boolean isMoneynessOnPrice() {
return _moneynessOnPrice;
}
/**
* Returns the Normal parameters.
* @return The parameters.
*/
public Surface<Double, Double, Double> getNormalParameters() {
return _parameters;
}
@Override
public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
return _multicurveProvider.parameterSensitivity(name, pointSensitivity);
}
@Override
public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
return _multicurveProvider.parameterForwardSensitivity(name, pointSensitivity);
}
@Override
public Set<String> getAllCurveNames() {
return _multicurveProvider.getAllCurveNames();
}
@Override
public NormalSTIRFuturesProviderInterface withMulticurve(MulticurveProviderInterface multicurveProvider) {
return new NormalSTIRFuturesExpSimpleMoneynessProvider(multicurveProvider, _parameters, _index, _moneynessOnPrice);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _index.hashCode();
result = prime * result + (_moneynessOnPrice ? 1231 : 1237);
result = prime * result + _multicurveProvider.hashCode();
result = prime * result + _parameters.hashCode();
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
NormalSTIRFuturesExpSimpleMoneynessProvider other = (NormalSTIRFuturesExpSimpleMoneynessProvider) obj;
if (!ObjectUtils.equals(_index, other._index)) {
return false;
}
if (_moneynessOnPrice != other._moneynessOnPrice) {
return false;
}
if (!ObjectUtils.equals(_multicurveProvider, other._multicurveProvider)) {
return false;
}
if (!ObjectUtils.equals(_parameters, other._parameters)) {
return false;
}
return true;
}
}