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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption product.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
double expiry = swaptionVolatilities.relativeTime(swaption.Expiry);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
double pvbp = SwapPricer.LegPricer.pvbp(fixedLeg, ratesProvider);
double strike = SwapPricer.LegPricer.couponEquivalent(fixedLeg, ratesProvider, pvbp);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
double volatility = swaptionVolatilities.volatility(expiry, tenor, strike, forward);
DoubleArray derivative = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives;
// Backward sweep
double vega = Math.Abs(pvbp) * BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility) * swaption.LongShort.sign();
// sensitivities
Currency ccy = fixedLeg.Currency;
SwaptionVolatilitiesName name = swaptionVolatilities.Name;
return(PointSensitivityBuilder.of(SwaptionSabrSensitivity.of(name, expiry, tenor, ALPHA, ccy, vega * derivative.get(2)), SwaptionSabrSensitivity.of(name, expiry, tenor, BETA, ccy, vega * derivative.get(3)), SwaptionSabrSensitivity.of(name, expiry, tenor, RHO, ccy, vega * derivative.get(4)), SwaptionSabrSensitivity.of(name, expiry, tenor, NU, ccy, vega * derivative.get(5))));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name = (SwaptionVolatilitiesName)newValue;
break;
case 2039569265: // convention
this.convention = (FixedIborSwapConvention)newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount)newValue;
break;
case 2096253127: // interpolator
this.interpolator = (SurfaceInterpolator)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_of_object()
{
SwaptionVolatilitiesId test = SwaptionVolatilitiesId.of(SwaptionVolatilitiesName.of("Foo"));
assertEquals(test.Name, SwaptionVolatilitiesName.of("Foo"));
assertEquals(test.MarketDataType, typeof(SwaptionVolatilities));
assertEquals(test.MarketDataName, SwaptionVolatilitiesName.of("Foo"));
assertEquals(test.ToString(), "SwaptionVolatilitiesId:Foo");
}
public virtual void test_of()
{
SwaptionVolatilitiesName test = SwaptionVolatilitiesName.of("Foo");
assertEquals(test.Name, "Foo");
assertEquals(test.MarketDataType, typeof(SwaptionVolatilities));
assertEquals(test.ToString(), "Foo");
assertEquals(test.CompareTo(SwaptionVolatilitiesName.of("Goo")) < 0, true);
}
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 SabrSwaptionDefinition(SwaptionVolatilitiesName name, FixedIborSwapConvention convention, DayCount dayCount, SurfaceInterpolator interpolator)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(convention, "convention");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(interpolator, "interpolator");
this.name = name;
this.convention = convention;
this.dayCount = dayCount;
this.interpolator = interpolator;
}
private SwaptionSensitivity(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, double strike, double forward, Currency currency, double sensitivity)
{
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(currency, "currency");
this.volatilitiesName = volatilitiesName;
this.expiry = expiry;
this.tenor = tenor;
this.strike = strike;
this.forward = forward;
this.currency = currency;
this.sensitivity = sensitivity;
}
//-------------------------------------------------------------------------
/// <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="strike"> the swaption strike rate </param>
/// <param name="forward"> the underlying swap 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 SwaptionSensitivity of(SwaptionVolatilitiesName volatilitiesName, double expiry, double tenor, double strike, double forward, Currency sensitivityCurrency, double sensitivity)
{
return(new SwaptionSensitivity(volatilitiesName, expiry, tenor, strike, forward, sensitivityCurrency, sensitivity));
}
//-------------------------------------------------------------------------
/// <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));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the name, convention, day count and tenors.
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="convention"> the swap convention that the volatilities are to be used for </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="interpolator"> the interpolator for the alpha, rho and nu surfaces </param>
/// <returns> the volatilities </returns>
public static SabrSwaptionDefinition of(SwaptionVolatilitiesName name, FixedIborSwapConvention convention, DayCount dayCount, SurfaceInterpolator interpolator)
{
return(new SabrSwaptionDefinition(name, convention, dayCount, interpolator));
}
/// <summary>
/// Obtains an identifier used to find swaption volatilities.
/// </summary>
/// <param name="name"> the name </param>
/// <returns> an identifier for the volatilities </returns>
public static SwaptionVolatilitiesId of(SwaptionVolatilitiesName name)
{
return(new SwaptionVolatilitiesId(name));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an identifier used to find swaption volatilities.
/// </summary>
/// <param name="name"> the name </param>
/// <returns> an identifier for the volatilities </returns>
public static SwaptionVolatilitiesId of(string name)
{
return(new SwaptionVolatilitiesId(SwaptionVolatilitiesName.of(name)));
}
private SwaptionVolatilitiesId(SwaptionVolatilitiesName name)
{
JodaBeanUtils.notNull(name, "name");
this.name = name;
}
