public final class SurfaceIborCapletFloorletVolatilityBootstrapDefinition extends Object implements IborCapletFloorletVolatilityDefinition, org.joda.beans.ImmutableBean, Serializable
This definition is used with SurfaceIborCapletFloorletVolatilityBootstrapper
.
The caplet volatilities are computed by bootstrap along the time direction,
thus the interpolation and left extrapolation for the time dimension must be local.
The resulting volatilities object will be a set of caplet volatilities interpolated by GridSurfaceInterpolator
.
Modifier and Type | Class and Description |
---|---|
static class |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
The meta-bean for
SurfaceIborCapletFloorletVolatilityBootstrapDefinition . |
Modifier and Type | Method and Description |
---|---|
SurfaceMetadata |
createMetadata(RawOptionData capFloorData)
Creates surface metadata.
|
boolean |
equals(Object obj) |
DayCount |
getDayCount()
Gets the day count to measure the time in the expiry dimension.
|
IborIndex |
getIndex()
Gets the Ibor index.
|
GridSurfaceInterpolator |
getInterpolator()
Gets the interpolator for the caplet volatilities.
|
IborCapletFloorletVolatilitiesName |
getName()
Gets the name of the volatilities.
|
Optional<Curve> |
getShiftCurve()
Gets the shift parameter of shifted Black model.
|
int |
hashCode() |
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta |
meta()
The meta-bean for
SurfaceIborCapletFloorletVolatilityBootstrapDefinition . |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta |
metaBean() |
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator)
Obtains an instance with time interpolator and strike interpolator.
|
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator,
Curve shiftCurve)
Obtains an instance with time interpolator, strike interpolator and shift curve.
|
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator)
Obtains an instance with gird surface interpolator.
|
static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator,
Curve shiftCurve)
Obtains an instance with gird surface interpolator and shift curve.
|
String |
toString() |
clone, finalize, getClass, notify, notifyAll, wait, wait, wait
createCap
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator)
name
- the name of the volatilitiesindex
- the Ibor indexdayCount
- the day count to useinterpolator
- the surface interpolatorpublic static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve)
name
- the name of the volatilitiesindex
- the Ibor indexdayCount
- the day count to useinterpolator
- the surface interpolatorshiftCurve
- the shift curvepublic static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator)
The extrapolation is completed by default extrapolators in GridSurfaceInterpolator
.
name
- the name of the volatilitiesindex
- the Ibor indexdayCount
- the day count to usetimeInterpolator
- the time interpolatorstrikeInterpolator
- the strike interpolatorpublic static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator, Curve shiftCurve)
The extrapolation is completed by default extrapolators in GridSurfaceInterpolator
.
name
- the name of the volatilitiesindex
- the Ibor indexdayCount
- the day count to usetimeInterpolator
- the time interpolatorstrikeInterpolator
- the strike interpolatorshiftCurve
- the shift curvepublic SurfaceMetadata createMetadata(RawOptionData capFloorData)
IborCapletFloorletVolatilityDefinition
createMetadata
in interface IborCapletFloorletVolatilityDefinition
capFloorData
- the cap/floor datapublic static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta meta()
SurfaceIborCapletFloorletVolatilityBootstrapDefinition
.public SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta metaBean()
metaBean
in interface org.joda.beans.Bean
public IborCapletFloorletVolatilitiesName getName()
getName
in interface IborCapletFloorletVolatilityDefinition
public IborIndex getIndex()
getIndex
in interface IborCapletFloorletVolatilityDefinition
public DayCount getDayCount()
getDayCount
in interface IborCapletFloorletVolatilityDefinition
public GridSurfaceInterpolator getInterpolator()
public Optional<Curve> getShiftCurve()
The market volatilities are calibrated to shifted Black model if this field is not null.
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.