public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (FxOptionVolatilitiesName)newValue;
break;
case 1005147787: // currencyPair
this.currencyPair_Renamed = (CurrencyPair)newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime_Renamed = (ZonedDateTime)newValue;
break;
case 109556488: // smile
this.smile_Renamed = (SmileDeltaTermStructure)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutablePreBuild private static void preBuild(Builder builder)
private static void preBuild(Builder builder)
{
if (builder.name_Renamed == null && builder.surface_Renamed != null)
{
builder.name_Renamed = FxOptionVolatilitiesName.of(builder.surface_Renamed.Name.Name);
}
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BlackFxOptionSmileVolatilities beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.currencyPair_Renamed = beanToCopy.CurrencyPair;
this.valuationDateTime_Renamed = beanToCopy.ValuationDateTime;
this.smile_Renamed = beanToCopy.Smile;
}
public virtual void test_of_object()
{
FxOptionVolatilitiesId test = FxOptionVolatilitiesId.of(FxOptionVolatilitiesName.of("Foo"));
assertEquals(test.Name, FxOptionVolatilitiesName.of("Foo"));
assertEquals(test.MarketDataType, typeof(FxOptionVolatilities));
assertEquals(test.MarketDataName, FxOptionVolatilitiesName.of("Foo"));
}
public virtual void test_of()
{
FxOptionVolatilitiesName test = FxOptionVolatilitiesName.of("Foo");
assertEquals(test.Name, "Foo");
assertEquals(test.MarketDataType, typeof(FxOptionVolatilities));
assertEquals(test.ToString(), "Foo");
assertEquals(test.CompareTo(FxOptionVolatilitiesName.of("Goo")) < 0, true);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionSmileVolatilities test1 = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, SMILE_TERM);
coverImmutableBean(test1);
BlackFxOptionSmileVolatilities test2 = BlackFxOptionSmileVolatilities.of(FxOptionVolatilitiesName.of("Boo"), CURRENCY_PAIR.inverse(), ZonedDateTime.of(2015, 12, 21, 11, 15, 0, 0, ZoneId.of("Z")), SMILE_TERM);
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
BlackFxOptionFlatVolatilities test = BlackFxOptionFlatVolatilities.builder().currencyPair(CURRENCY_PAIR).curve(CURVE).valuationDateTime(VAL_DATE_TIME).build();
assertEquals(test.ValuationDateTime, VAL_DATE_TIME);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Name, FxOptionVolatilitiesName.of(CURVE.Name.Name));
assertEquals(test.Curve, CURVE);
assertEquals(VOLS, test);
}
private BlackFxOptionSmileVolatilities(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationDateTime, SmileDeltaTermStructure smile)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
JodaBeanUtils.notNull(smile, "smile");
this.name = name;
this.currencyPair = currencyPair;
this.valuationDateTime = valuationDateTime;
this.smile = smile;
}
private FxOptionSensitivity(FxOptionVolatilitiesName volatilitiesName, CurrencyPair currencyPair, double expiry, double strike, double forward, Currency currency, double sensitivity)
{
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(currency, "currency");
this.volatilitiesName = volatilitiesName;
this.currencyPair = currencyPair;
this.expiry = expiry;
this.strike = strike;
this.forward = forward;
this.currency = currency;
this.sensitivity = sensitivity;
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private BlackFxOptionSurfaceVolatilities(FxOptionVolatilitiesName name, com.opengamma.strata.basics.currency.CurrencyPair currencyPair, java.time.ZonedDateTime valuationDateTime, com.opengamma.strata.market.surface.Surface surface)
private BlackFxOptionSurfaceVolatilities(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Surface surface)
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(currencyPair, "currencyPair");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(surface, "surface");
surface.Metadata.XValueType.checkEquals(ValueType.YEAR_FRACTION, "Incorrect x-value type for Black volatilities");
surface.Metadata.YValueType.checkEquals(ValueType.STRIKE, "Incorrect y-value type for Black volatilities");
surface.Metadata.ZValueType.checkEquals(ValueType.BLACK_VOLATILITY, "Incorrect z-value type for Black volatilities");
DayCount dayCount = surface.Metadata.findInfo(SurfaceInfoType.DAY_COUNT).orElseThrow(() => new System.ArgumentException("Incorrect surface metadata, missing DayCount"));
this.name = name;
this.currencyPair = currencyPair;
this.valuationDateTime = valuationDateTime;
this.surface = surface;
this.dayCount = dayCount;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 2100884654: // volatilitiesName
this.volatilitiesName = (FxOptionVolatilitiesName)newValue;
break;
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair)newValue;
break;
case -1289159373: // expiry
this.expiry = (double?)newValue.Value;
break;
case -891985998: // strike
this.strike = (double?)newValue.Value;
break;
case -677145915: // forward
this.forward = (double?)newValue.Value;
break;
case 575402001: // currency
this.currency = (Currency)newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance, specifying sensitivity currency.
/// </summary>
/// <param name="volatilitiesName"> the name of the volatilities </param>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="expiry"> the time to expiry of the option as a year fraction </param>
/// <param name="strike"> the strike rate </param>
/// <param name="forward"> the forward rate </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static FxOptionSensitivity of(FxOptionVolatilitiesName volatilitiesName, CurrencyPair currencyPair, double expiry, double strike, double forward, Currency sensitivityCurrency, double sensitivity)
{
return(new FxOptionSensitivity(volatilitiesName, currencyPair, expiry, strike, forward, sensitivityCurrency, sensitivity));
}
private readonly DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the implied volatility surface and the date-time for which it is valid.
/// <para>
/// {@code FxOptionVolatilitiesName} is built from the name in {@code Surface}.
/// </para>
/// <para>
/// The surface is specified by an instance of <seealso cref="Surface"/>, such as <seealso cref="InterpolatedNodalSurface"/>.
/// The surface must contain the correct metadata:
/// <ul>
/// <li>The x-value type must be <seealso cref="ValueType#YEAR_FRACTION"/>
/// <li>The y-value type must be <seealso cref="ValueType#STRIKE"/>
/// <li>The z-value type must be <seealso cref="ValueType#BLACK_VOLATILITY"/>
/// <li>The day count must be set in the additional information using <seealso cref="SurfaceInfoType#DAY_COUNT"/>
/// </ul>
/// Suitable surface metadata can be created using
/// <seealso cref="Surfaces#blackVolatilityByExpiryStrike(String, DayCount)"/>.
///
/// </para>
/// </summary>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="valuationDateTime"> the valuation date-time </param>
/// <param name="surface"> the volatility surface </param>
/// <returns> the volatilities </returns>
public static BlackFxOptionSurfaceVolatilities of(CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Surface surface)
{
FxOptionVolatilitiesName name = FxOptionVolatilitiesName.of(surface.Name.Name);
return(of(name, currencyPair, valuationDateTime, surface));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an identifier used to find FX option volatilities.
/// </summary>
/// <param name="name"> the name </param>
/// <returns> an identifier for the volatilities </returns>
public static FxOptionVolatilitiesId of(string name)
{
return(new FxOptionVolatilitiesId(FxOptionVolatilitiesName.of(name)));
}
/// <summary>
/// Obtains an instance from the implied volatility surface and the date-time for which it is valid.
/// <para>
/// The surface is specified by an instance of <seealso cref="Surface"/>, such as <seealso cref="InterpolatedNodalSurface"/>.
/// The surface must contain the correct metadata:
/// <ul>
/// <li>The x-value type must be <seealso cref="ValueType#YEAR_FRACTION"/>
/// <li>The y-value type must be <seealso cref="ValueType#STRIKE"/>
/// <li>The z-value type must be <seealso cref="ValueType#BLACK_VOLATILITY"/>
/// <li>The day count must be set in the additional information using <seealso cref="SurfaceInfoType#DAY_COUNT"/>
/// </ul>
/// Suitable surface metadata can be created using
/// <seealso cref="Surfaces#blackVolatilityByExpiryStrike(String, DayCount)"/>.
///
/// </para>
/// </summary>
/// <param name="name"> the name </param>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="valuationDateTime"> the valuation date-time </param>
/// <param name="surface"> the volatility surface </param>
/// <returns> the volatilities </returns>
public static BlackFxOptionSurfaceVolatilities of(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Surface surface)
{
return(new BlackFxOptionSurfaceVolatilities(name, currencyPair, valuationDateTime, surface));
}
private FxOptionVolatilitiesId(FxOptionVolatilitiesName name)
{
JodaBeanUtils.notNull(name, "name");
this.name = name;
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the name of the volatilities. </summary>
/// <param name="name"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder name(FxOptionVolatilitiesName name)
{
JodaBeanUtils.notNull(name, "name");
this.name_Renamed = name;
return(this);
}
/// <summary>
/// Obtains an identifier used to find FX option volatilities.
/// </summary>
/// <param name="name"> the name </param>
/// <returns> an identifier for the volatilities </returns>
public static FxOptionVolatilitiesId of(FxOptionVolatilitiesName name)
{
return(new FxOptionVolatilitiesId(name));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a smile.
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="valuationTime"> the valuation date-time </param>
/// <param name="smile"> the term structure of smile </param>
/// <returns> the provider </returns>
public static BlackFxOptionSmileVolatilities of(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationTime, SmileDeltaTermStructure smile)
{
return(new BlackFxOptionSmileVolatilities(name, currencyPair, valuationTime, smile));
}
