public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 2100884654: // volatilitiesName
this.volatilitiesName = (SwaptionVolatilitiesName)newValue;
break;
case -1289159373: // expiry
this.expiry = (double?)newValue.Value;
break;
case 110246592: // tenor
this.tenor = (double?)newValue.Value;
break;
case 1598929529: // sensitivityType
this.sensitivityType = (SabrParameterType)newValue;
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);
}
private IborCapletFloorletSabrSensitivity(IborCapletFloorletVolatilitiesName volatilitiesName, double expiry, SabrParameterType sensitivityType, Currency currency, double sensitivity)
{
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(expiry, "expiry");
this.volatilitiesName = volatilitiesName;
this.expiry = expiry;
this.sensitivityType = sensitivityType;
this.currency = currency;
this.sensitivity = sensitivity;
}
private SwaptionSabrSensitivity(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, SabrParameterType sensitivityType, Currency currency, double sensitivity)
{
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(expiry, "expiry");
this.volatilitiesName = volatilitiesName;
this.expiry = expiry;
this.tenor = tenor;
this.sensitivityType = sensitivityType;
this.currency = currency;
this.sensitivity = sensitivity;
}
private void assertSensitivity(PointSensitivities points, SabrParameterType type, double expected, double tol)
{
foreach (PointSensitivity point in points.Sensitivities)
{
SwaptionSabrSensitivity sens = (SwaptionSabrSensitivity)point;
assertEquals(sens.Currency, USD);
assertEquals(sens.VolatilitiesName, VOLS.Name);
assertEquals(sens.Tenor, (double)TENOR_YEAR);
if (sens.SensitivityType == type)
{
assertEquals(sens.Sensitivity, expected, NOTIONAL * tol);
return;
}
}
fail("Did not find sensitivity: " + type + " in " + points);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the specified elements.
/// </summary>
/// <param name="volatilitiesName"> the name of the volatilities </param>
/// <param name="expiry"> the time to expiry of the option as a year fraction </param>
/// <param name="tenor"> the underlying swap tenor </param>
/// <param name="sensitivityType"> the type of the sensitivity </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the sensitivity object </returns>
public static SwaptionSabrSensitivity of(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, SabrParameterType sensitivityType, Currency sensitivityCurrency, double sensitivity)
{
return(new SwaptionSabrSensitivity(volatilitiesName, expiry, tenor, sensitivityType, sensitivityCurrency, sensitivity));
}
private void assertSensitivity(PointSensitivities points1, PointSensitivities points2, SabrParameterType type, int factor)
{
// use ordinal() as a hack to find correct type
assertEquals(points1.Sensitivities.get(type.ordinal()).Sensitivity, points2.Sensitivities.get(type.ordinal()).Sensitivity *factor, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the specified elements.
/// </summary>
/// <param name="volatilitiesName"> the name of the volatilities </param>
/// <param name="expiry"> the time to expiry of the option as a year fraction </param>
/// <param name="sensitivityType"> the type of the sensitivity </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the sensitivity object </returns>
public static IborCapletFloorletSabrSensitivity of(IborCapletFloorletVolatilitiesName volatilitiesName, double expiry, SabrParameterType sensitivityType, Currency sensitivityCurrency, double sensitivity)
{
return(new IborCapletFloorletSabrSensitivity(volatilitiesName, expiry, sensitivityType, sensitivityCurrency, sensitivity));
}
