//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private SabrParameters(com.opengamma.strata.market.curve.Curve alphaCurve, com.opengamma.strata.market.curve.Curve betaCurve, com.opengamma.strata.market.curve.Curve rhoCurve, com.opengamma.strata.market.curve.Curve nuCurve, com.opengamma.strata.market.curve.Curve shiftCurve, SabrVolatilityFormula sabrFormula)
private SabrParameters(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, Curve shiftCurve, SabrVolatilityFormula sabrFormula)
{
validate(alphaCurve, "alphaCurve", ValueType.SABR_ALPHA);
validate(betaCurve, "betaCurve", ValueType.SABR_BETA);
validate(rhoCurve, "rhoCurve", ValueType.SABR_RHO);
validate(nuCurve, "nuCurve", ValueType.SABR_NU);
ArgChecker.notNull(shiftCurve, "shiftCurve");
ArgChecker.notNull(sabrFormula, "sabrFormula");
DayCount dayCount = alphaCurve.Metadata.findInfo(CurveInfoType.DAY_COUNT).orElseThrow(() => new System.ArgumentException("Incorrect curve metadata, missing DayCount"));
validate(betaCurve, dayCount);
validate(rhoCurve, dayCount);
validate(nuCurve, dayCount);
validate(shiftCurve, dayCount);
this.alphaCurve = alphaCurve;
this.betaCurve = betaCurve;
this.rhoCurve = rhoCurve;
this.nuCurve = nuCurve;
this.shiftCurve = shiftCurve;
this.sabrVolatilityFormula = sabrFormula;
this.dayCount = dayCount;
this.paramCombiner = ParameterizedDataCombiner.of(alphaCurve, betaCurve, rhoCurve, nuCurve, shiftCurve);
}
//-------------------------------------------------------------------------
/// <summary>
/// Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
/// <para>
/// {@code strikes}, {@code impliedVols} and {@code error} should be the same length and ordered coherently.
///
/// </para>
/// </summary>
/// <param name="forward"> the forward value of the underlying </param>
/// <param name="strikes"> the ordered values of strikes </param>
/// <param name="timeToExpiry"> the time-to-expiry </param>
/// <param name="impliedVols"> the market implied volatilities </param>
/// <param name="error"> the 'measurement' error to apply to the market volatility of a particular option </param>
/// <param name="sabrVolatilityFormula"> the volatility formula </param>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unchecked") public SabrModelFitter(double forward, com.opengamma.strata.collect.array.DoubleArray strikes, double timeToExpiry, com.opengamma.strata.collect.array.DoubleArray impliedVols, com.opengamma.strata.collect.array.DoubleArray error, com.opengamma.strata.pricer.model.SabrVolatilityFormula sabrVolatilityFormula)
public SabrModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, SabrVolatilityFormula sabrVolatilityFormula) : base(forward, strikes, timeToExpiry, impliedVols, error, (VolatilityFunctionProvider <SabrFormulaData>)sabrVolatilityFormula)
{
}
/// <summary>
/// Obtains an instance with shift from nodal curves and volatility function provider.
/// <para>
/// Each curve is specified by an instance of <seealso cref="Curve"/>, such as <seealso cref="InterpolatedNodalCurve"/>.
/// The curves 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#YEAR_FRACTION"/>
/// <li>The z-value type must be <seealso cref="ValueType#SABR_ALPHA"/>, <seealso cref="ValueType#SABR_BETA"/>,
/// <seealso cref="ValueType#SABR_RHO"/> or <seealso cref="ValueType#SABR_NU"/> as appropriate
/// <li>The day count must be set in the additional information of the alpha curve using
/// <seealso cref="CurveInfoType#DAY_COUNT"/>, if present on other curves it must match that on the alpha
/// </ul>
/// The shift curve does not have to contain any metadata.
/// If it does, the day count and convention must match that on the alpha curve.
/// </para>
/// <para>
/// Suitable curve metadata can be created using
/// <seealso cref="Curves#sabrParameterByExpiry(String, DayCount, ValueType)"/>.
///
/// </para>
/// </summary>
/// <param name="alphaCurve"> the alpha curve </param>
/// <param name="betaCurve"> the beta curve </param>
/// <param name="rhoCurve"> the rho curve </param>
/// <param name="nuCurve"> the nu curve </param>
/// <param name="shiftCurve"> the shift curve </param>
/// <param name="sabrFormula"> the SABR formula </param>
/// <returns> {@code SabrParameters} </returns>
public static SabrParameters of(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, Curve shiftCurve, SabrVolatilityFormula sabrFormula)
{
return(new SabrParameters(alphaCurve, betaCurve, rhoCurve, nuCurve, shiftCurve, sabrFormula));
}
/// <summary>
/// Obtains an instance with shift from nodal surfaces and volatility function provider.
/// <para>
/// Each surface is specified by an instance of <seealso cref="Surface"/>, such as <seealso cref="InterpolatedNodalSurface"/>.
/// The surfaces 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#YEAR_FRACTION"/>
/// <li>The z-value type must be <seealso cref="ValueType#SABR_ALPHA"/>, <seealso cref="ValueType#SABR_BETA"/>,
/// <seealso cref="ValueType#SABR_RHO"/> or <seealso cref="ValueType#SABR_NU"/> as appropriate
/// <li>The day count must be set in the additional information of the alpha surface using
/// <seealso cref="SurfaceInfoType#DAY_COUNT"/>, if present on other surfaces it must match that on the alpha
/// </ul>
/// The shift surface does not have to contain any metadata.
/// If it does, the day count and convention must match that on the alpha surface.
/// </para>
/// <para>
/// Suitable surface metadata can be created using
/// <seealso cref="Surfaces#sabrParameterByExpiryTenor(String, DayCount, ValueType)"/>.
///
/// </para>
/// </summary>
/// <param name="alphaSurface"> the alpha surface </param>
/// <param name="betaSurface"> the beta surface </param>
/// <param name="rhoSurface"> the rho surface </param>
/// <param name="nuSurface"> the nu surface </param>
/// <param name="shiftSurface"> the shift surface </param>
/// <param name="sabrFormula"> the SABR formula </param>
/// <returns> {@code SabrInterestRateParameters} </returns>
public static SabrInterestRateParameters of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, Surface shiftSurface, SabrVolatilityFormula sabrFormula)
{
return(new SabrInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, shiftSurface, sabrFormula));
}
