public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name = (IborCapletFloorletVolatilitiesName)newValue;
break;
case 100346066: // index
this.index = (IborIndex)newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount)newValue;
break;
case 2096253127: // interpolator
this.interpolator = (GridSurfaceInterpolator)newValue;
break;
case 1908090253: // shiftCurve
this.shiftCurve = (Curve)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(DirectIborCapletFloorletVolatilityDefinition beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.index_Renamed = beanToCopy.Index;
this.dayCount_Renamed = beanToCopy.DayCount;
this.lambdaExpiry_Renamed = beanToCopy.LambdaExpiry;
this.lambdaStrike_Renamed = beanToCopy.LambdaStrike;
this.interpolator_Renamed = beanToCopy.Interpolator;
this.shiftCurve_Renamed = beanToCopy.shiftCurve;
}
public virtual void test_of_shift()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, STEP_UPPER, DOUBLE_QUADRATIC, SHIFT);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, GridSurfaceInterpolator.of(STEP_UPPER, DOUBLE_QUADRATIC));
assertEquals(test.Name, NAME);
assertEquals(test.ShiftCurve.get(), SHIFT);
}
public virtual void test_of_surface()
{
GridSurfaceInterpolator interp = GridSurfaceInterpolator.of(LINEAR, LINEAR);
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, interp);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, interp);
assertEquals(test.Name, NAME);
assertFalse(test.ShiftCurve.Present);
}
private SurfaceIborCapletFloorletVolatilityBootstrapDefinition(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(interpolator, "interpolator");
this.name = name;
this.index = index;
this.dayCount = dayCount;
this.interpolator = interpolator;
this.shiftCurve = shiftCurve;
validate();
}
private DirectIborCapletFloorletVolatilityDefinition(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambdaExpiry, double lambdaStrike, GridSurfaceInterpolator interpolator, Curve shiftCurve)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(dayCount, "dayCount");
ArgChecker.notNegative(lambdaExpiry, "lambdaExpiry");
ArgChecker.notNegative(lambdaStrike, "lambdaStrike");
JodaBeanUtils.notNull(interpolator, "interpolator");
this.name = name;
this.index = index;
this.dayCount = dayCount;
this.lambdaExpiry = lambdaExpiry;
this.lambdaStrike = lambdaStrike;
this.interpolator = interpolator;
this.shiftCurve = shiftCurve;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (IborCapletFloorletVolatilitiesName)newValue;
break;
case 100346066: // index
this.index_Renamed = (IborIndex)newValue;
break;
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case -1966011430: // lambdaExpiry
this.lambdaExpiry_Renamed = (double?)newValue.Value;
break;
case -1568838055: // lambdaStrike
this.lambdaStrike_Renamed = (double?)newValue.Value;
break;
case 2096253127: // interpolator
this.interpolator_Renamed = (GridSurfaceInterpolator)newValue;
break;
case 1908090253: // shiftCurve
this.shiftCurve_Renamed = (Curve)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(VOLS);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, VAL_DATE_TIME.plusMonths(1), InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, VOL, GridSurfaceInterpolator.of(TIME_SQUARE, LINEAR)), ConstantCurve.of("shift", 0.05));
coverBeanEquals(VOLS, vols);
}
/// <summary>
/// Sets the interpolator for the caplet volatilities. </summary>
/// <param name="interpolator"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder interpolator(GridSurfaceInterpolator interpolator)
{
JodaBeanUtils.notNull(interpolator, "interpolator");
this.interpolator_Renamed = interpolator;
return(this);
}
/// <summary>
/// Obtains an instance with shift curve.
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="lambdaExpiry"> the penalty intensity parameter for time dimension </param>
/// <param name="lambdaStrike"> the penalty intensity parameter for strike dimension </param>
/// <param name="interpolator"> the surface interpolator </param>
/// <param name="shiftCurve"> the shift surface </param>
/// <returns> the instance </returns>
public static DirectIborCapletFloorletVolatilityDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double lambdaExpiry, double lambdaStrike, GridSurfaceInterpolator interpolator, Curve shiftCurve)
{
return(new DirectIborCapletFloorletVolatilityDefinition(name, index, dayCount, lambdaExpiry, lambdaStrike, interpolator, shiftCurve));
}
static FxOptionVolatilitiesMarketDataFunctionTest()
{
ImmutableList.Builder <FxOptionVolatilitiesNode> volNodeBuilder = ImmutableList.builder();
ImmutableMap.Builder <QuoteId, double> marketQuoteBuilder = ImmutableMap.builder();
ImmutableMap.Builder <QuoteId, MarketDataBox <double> > scenarioMarketQuoteBuilder = ImmutableMap.builder();
ImmutableList.Builder <FixedOvernightSwapCurveNode> usdNodeBuilder = ImmutableList.builder();
ImmutableList.Builder <FxSwapCurveNode> gbpNodeBuilder = ImmutableList.builder();
for (int i = 0; i < VOL_TENORS.Count; ++i)
{
for (int j = 0; j < STRIKES.Count; ++j)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", VOL_TENORS[i].ToString() + "_" + STRIKES[j].Label + "_" + VALUE_TYPES[j].ToString()));
volNodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, VALUE_TYPES[j], quoteId, VOL_TENORS[i], STRIKES[j]));
marketQuoteBuilder.put(quoteId, VOL_QUOTES[i][j]);
scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(VOL_QUOTES[i][j], VOL_QUOTES_1[i][j]));
}
}
for (int i = 0; i < USD_QUOTES.Count; ++i)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", USD.ToString() + "-OIS-" + USD_TENORS[i].ToString()));
usdNodeBuilder.add(FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(USD_TENORS[i], FixedOvernightSwapConventions.USD_FIXED_TERM_FED_FUND_OIS), quoteId));
marketQuoteBuilder.put(quoteId, USD_QUOTES[i]);
scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(USD_QUOTES[i], USD_QUOTES_1[i]));
}
for (int i = 0; i < GBP_QUOTES.Count; ++i)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "-FX-" + GBP_PERIODS[i].ToString()));
gbpNodeBuilder.add(FxSwapCurveNode.of(FxSwapTemplate.of(GBP_PERIODS[i], FxSwapConventions.GBP_USD), quoteId));
marketQuoteBuilder.put(quoteId, GBP_QUOTES[i]);
scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(GBP_QUOTES[i], GBP_QUOTES_1[i]));
}
VOL_NODES = volNodeBuilder.build();
USD_NODES = usdNodeBuilder.build();
GBP_NODES = gbpNodeBuilder.build();
MARKET_QUOTES = marketQuoteBuilder.build();
SCENARIO_MARKET_QUOTES = scenarioMarketQuoteBuilder.build();
IList <double> expiry = VOL_TENORS.Select(t => ACT_365F.relativeYearFraction(VALUATION_DATE, BDA.adjust(SPOT_OFFSET.adjust(VALUATION_DATE, REF_DATA).plus(t), REF_DATA))).ToList();
int nSmiles = expiry.Count;
double[] atm = new double[nSmiles];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] rr = new double[nSmiles][2];
double[][] rr = RectangularArrays.ReturnRectangularDoubleArray(nSmiles, 2);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] str = new double[nSmiles][2];
double[][] str = RectangularArrays.ReturnRectangularDoubleArray(nSmiles, 2);
for (int i = 0; i < nSmiles; ++i)
{
atm[i] = VOL_QUOTES[i][0];
rr[i][0] = VOL_QUOTES[i][1];
rr[i][1] = VOL_QUOTES[i][3];
str[i][0] = VOL_QUOTES[i][2];
str[i][1] = VOL_QUOTES[i][4];
}
InterpolatedStrikeSmileDeltaTermStructure term = InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray.copyOf(expiry), DoubleArray.of(0.1, 0.25), DoubleArray.copyOf(atm), DoubleMatrix.copyOf(rr), DoubleMatrix.copyOf(str), ACT_365F, LINEAR, FLAT, FLAT, PCHIP, FLAT, FLAT);
EXP_VOLS = BlackFxOptionSmileVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE.atTime(VALUATION_TIME).atZone(ZONE), term);
for (int i = 0; i < nSmiles; ++i)
{
atm[i] = VOL_QUOTES_1[i][0];
rr[i][0] = VOL_QUOTES_1[i][1];
rr[i][1] = VOL_QUOTES_1[i][3];
str[i][0] = VOL_QUOTES_1[i][2];
str[i][1] = VOL_QUOTES_1[i][4];
}
InterpolatedStrikeSmileDeltaTermStructure term1 = InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray.copyOf(expiry), DoubleArray.of(0.1, 0.25), DoubleArray.copyOf(atm), DoubleMatrix.copyOf(rr), DoubleMatrix.copyOf(str), ACT_365F, LINEAR, FLAT, FLAT, PCHIP, FLAT, FLAT);
EXP_VOLS_1 = BlackFxOptionSmileVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE_1.atTime(VALUATION_TIME_1).atZone(ZONE), term1);
ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder();
ImmutableMap.Builder <QuoteId, double> quoteBuilder = ImmutableMap.builder();
for (int i = 0; i < SURFACE_TENORS.Count; ++i)
{
for (int j = 0; j < SURFACE_STRIKES.Count; ++j)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "_" + SURFACE_TENORS[i].ToString() + "_" + SURFACE_STRIKES[j]));
quoteBuilder.put(quoteId, SURFACE_VOL_QUOTES[i][j]);
nodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, SURFACE_TENORS[i], SimpleStrike.of(SURFACE_STRIKES[j])));
}
}
SURFACE_NODES = nodeBuilder.build();
SURFACE_QUOTES = quoteBuilder.build();
IList <double> expiry = new List <double>();
IList <double> strike = new List <double>();
IList <double> vols = new List <double>();
for (int i = 0; i < SURFACE_TENORS.Count; ++i)
{
for (int j = 0; j < SURFACE_STRIKES.Count; ++j)
{
double yearFraction = ACT_365F.relativeYearFraction(VALUATION_DATE, BDA.adjust(SPOT_OFFSET.adjust(VALUATION_DATE, REF_DATA).plus(SURFACE_TENORS[i]), REF_DATA));
expiry.Add(yearFraction);
strike.Add(SURFACE_STRIKES[j]);
vols.Add(SURFACE_VOL_QUOTES[i][j]);
}
}
SurfaceInterpolator interp = GridSurfaceInterpolator.of(LINEAR, PCHIP);
InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F), DoubleArray.copyOf(expiry), DoubleArray.copyOf(strike), DoubleArray.copyOf(vols), interp);
SURFACE_EXP_VOLS = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE.atTime(VALUATION_TIME).atZone(ZONE), surface);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance with gird surface interpolator.
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="interpolator"> the surface interpolator </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator)
{
return(of(name, index, dayCount, interpolator, null));
}
/// <summary>
/// Obtains an instance with time interpolator, strike interpolator and shift curve.
/// <para>
/// The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}.
///
/// </para>
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="timeInterpolator"> the time interpolator </param>
/// <param name="strikeInterpolator"> the strike interpolator </param>
/// <param name="shiftCurve"> the shift curve </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator, Curve shiftCurve)
{
GridSurfaceInterpolator gridInterpolator = GridSurfaceInterpolator.of(timeInterpolator, strikeInterpolator);
return(of(name, index, dayCount, gridInterpolator, shiftCurve));
}
/// <summary>
/// Obtains an instance with gird surface interpolator and shift curve.
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="interpolator"> the surface interpolator </param>
/// <param name="shiftCurve"> the shift curve </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve)
{
return(new SurfaceIborCapletFloorletVolatilityBootstrapDefinition(name, index, dayCount, interpolator, shiftCurve));
}
public virtual void test_volatilities()
{
BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification @base = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).strikeInterpolator(DOUBLE_QUADRATIC).build();
LocalDate date = LocalDate.of(2017, 9, 25);
ZonedDateTime dateTime = date.atStartOfDay().atZone(ZoneId.of("Europe/London"));
DoubleArray parameters = DoubleArray.of(0.19, 0.15, 0.13, 0.14, 0.14, 0.11, 0.09, 0.09, 0.11, 0.09, 0.07, 0.07);
BlackFxOptionSurfaceVolatilities computed = @base.volatilities(dateTime, parameters, REF_DATA);
DaysAdjustment expOffset = DaysAdjustment.ofBusinessDays(-2, NY_LO);
double[] expiries = new double[STRIKES.Count * TENORS.Count];
double[] strikes = new double[STRIKES.Count * TENORS.Count];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
for (int i = 0; i < TENORS.Count; ++i)
{
double expiry = ACT_365F.relativeYearFraction(date, expOffset.adjust(BDA.adjust(SPOT_OFFSET.adjust(date, REF_DATA).plus(TENORS[i]), REF_DATA), REF_DATA));
for (int j = 0; j < STRIKES.Count; ++j)
{
paramMetadata.add(FxVolatilitySurfaceYearFractionParameterMetadata.of(expiry, SimpleStrike.of(STRIKES[j]), GBP_USD));
expiries[STRIKES.Count * i + j] = expiry;
strikes[STRIKES.Count * i + j] = STRIKES[j];
}
}
InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F).withParameterMetadata(paramMetadata.build()), DoubleArray.ofUnsafe(expiries), DoubleArray.ofUnsafe(strikes), parameters, GridSurfaceInterpolator.of(PCHIP, DOUBLE_QUADRATIC));
BlackFxOptionSurfaceVolatilities expected = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, dateTime, surface);
assertEquals(computed, expected);
}
