/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.model.volatility.VolatilityModel;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class describing the SABR parameter surfaces used in interest rate modeling.
*/
public class SABRInterestRateParameters implements VolatilityModel<double[]> {
/**
* The alpha (volatility level) surface. The first dimension is the expiration and the second the tenor.
*/
private final InterpolatedDoublesSurface _alphaSurface;
/**
* The beta (elasticity) surface. The first dimension is the expiration and the second the tenor.
*/
private final InterpolatedDoublesSurface _betaSurface;
/**
* The rho (correlation) surface. The first dimension is the expiration and the second the tenor.
*/
private final InterpolatedDoublesSurface _rhoSurface;
/**
* The nu (volatility of volatility) surface. The first dimension is the expiration and the second the tenor.
*/
private final InterpolatedDoublesSurface _nuSurface;
/**
* The function containing the SABR volatility formula. Default is HaganVolatilityFunction.
*/
private final VolatilityFunctionProvider<SABRFormulaData> _sabrFunction;
/**
* The standard day count for which the parameter surfaces are valid.
*/
// TODO: should be removed from the data structure but available at the provider level.
private final DayCount _dayCount;
/**
* Constructor from the parameter surfaces. The default SABR volatility formula is HaganVolatilityFunction.
* @param alpha The alpha parameters. The first dimension is the expiration and the second the tenor.
* @param beta The beta parameters.
* @param rho The rho parameters.
* @param nu The nu parameters.
* @param dayCount The standard day count for which the parameter surfaces are valid.
*/
public SABRInterestRateParameters(final InterpolatedDoublesSurface alpha, final InterpolatedDoublesSurface beta, final InterpolatedDoublesSurface rho, final InterpolatedDoublesSurface nu,
final DayCount dayCount) {
this(alpha, beta, rho, nu, dayCount, new SABRHaganVolatilityFunction());
}
/**
* Constructor from the parameter surfaces. The default SABR volatility formula is HaganVolatilityFunction.
* @param alpha The alpha parameters. The first dimension is the expiration and the second the tenor.
* @param beta The beta parameters.
* @param rho The rho parameters.
* @param nu The nu parameters.
* @param dayCount The standard day count for which the parameter surfaces are valid.
* @param sabrFormula The SABR formula provider.
*/
public SABRInterestRateParameters(final InterpolatedDoublesSurface alpha, final InterpolatedDoublesSurface beta, final InterpolatedDoublesSurface rho, final InterpolatedDoublesSurface nu,
final DayCount dayCount, final VolatilityFunctionProvider<SABRFormulaData> sabrFormula) {
ArgumentChecker.notNull(alpha, "alpha surface");
ArgumentChecker.notNull(beta, "beta surface");
ArgumentChecker.notNull(rho, "rho surface");
ArgumentChecker.notNull(nu, "nu surface");
ArgumentChecker.notNull(dayCount, "dayCount");
ArgumentChecker.notNull(sabrFormula, "SABR formula");
_alphaSurface = alpha;
_betaSurface = beta;
_rhoSurface = rho;
_nuSurface = nu;
_dayCount = dayCount;
_sabrFunction = sabrFormula;
}
/**
* Return the alpha parameter for a pair of time to expiry and instrument maturity.
* @param expiryMaturity The expiry/maturity pair.
* @return The alpha parameter.
*/
public double getAlpha(final DoublesPair expiryMaturity) {
return _alphaSurface.getZValue(expiryMaturity);
}
/**
* Return the beta parameter for a pair of time to expiry and instrument maturity.
* @param expiryMaturity The expiry/maturity pair.
* @return The beta parameter.
*/
public double getBeta(final DoublesPair expiryMaturity) {
return _betaSurface.getZValue(expiryMaturity);
}
/**
* Return the rho parameter for a pair of time to expiry and instrument maturity.
* @param expiryMaturity The expiry/maturity pair.
* @return The rho parameter.
*/
public double getRho(final DoublesPair expiryMaturity) {
return _rhoSurface.getZValue(expiryMaturity);
}
/**
* Return the nu parameter for a pair of time to expiry and instrument maturity.
* @param expiryMaturity The expiry/maturity pair.
* @return The nu parameter.
*/
public double getNu(final DoublesPair expiryMaturity) {
return _nuSurface.getZValue(expiryMaturity);
}
/**
* Gets the standard day count for which the parameter surfaces are valid.
* @return The day count.
* @deprecated Should be removed from the data structure but available at the provider level.
*/
@Deprecated
public DayCount getDayCount() {
return _dayCount;
}
/**
* Gets the SABR function.
* @return The SABR function
*/
public VolatilityFunctionProvider<SABRFormulaData> getSabrFunction() {
return _sabrFunction;
}
/**
* Gets the alpha surface.
* @return The alpha surface.
*/
public InterpolatedDoublesSurface getAlphaSurface() {
return _alphaSurface;
}
/**
* Gets the beta surface.
* @return The beta surface.
*/
public InterpolatedDoublesSurface getBetaSurface() {
return _betaSurface;
}
/**
* Gets the rho surface.
* @return The rho surface.
*/
public InterpolatedDoublesSurface getRhoSurface() {
return _rhoSurface;
}
/**
* Gets the nu surface.
* @return The nu surface.
*/
public InterpolatedDoublesSurface getNuSurface() {
return _nuSurface;
}
/**
* Return the volatility for a expiry, a maturity, a strike and a forward rate.
* @param expiryTime Time to expiry.
* @param maturity Tenor.
* @param strike The strike.
* @param forward The forward.
* @return The volatility.
*/
public double getVolatility(final double expiryTime, final double maturity, final double strike, final double forward) {
final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
final Function1D<SABRFormulaData, Double> funcSabrLongPayer = _sabrFunction.getVolatilityFunction(option, forward);
return funcSabrLongPayer.evaluate(data);
}
@Override
/**
* Return the volatility for a expiry/maturity/strike/forward array.
* @param data An array of four doubles with [0] the expiry, [1] the maturity, [2] the strike, [3] the forward.
* @return The volatility.
*/
public Double getVolatility(final double[] data) {
ArgumentChecker.notNull(data, "data");
ArgumentChecker.isTrue(data.length == 4, "data should have four components (expiry time, maturity, strike and forward");
return getVolatility(data[0], data[1], data[2], data[3]);
}
/**
* Return the Black implied volatility in the SABR model and its derivatives when the SABR function is Hagan function.
* @param expiryTime Time to expiry.
* @param maturity Tenor.
* @param strike The strike.
* @param forward The forward.
* @return The volatility and its derivative. An array with [0] the volatility, [1] Derivative w.r.t the forward, [2] the derivative w.r.t the strike,
* [3] the derivative w.r.t. to alpha, [4] the derivative w.r.t. to beta, [5] the derivative w.r.t. to rho, [6] the derivative w.r.t. to nu.
*/
public double[] getVolatilityAdjoint(final double expiryTime, final double maturity, final double strike, final double forward) {
ArgumentChecker.isTrue(_sabrFunction instanceof SABRHaganVolatilityFunction, "Adjoint volatility available only for Hagan formula");
final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) _sabrFunction;
final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
final double[] result = sabrHaganFunction.getVolatilityAdjoint(option, forward, data);
return result;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _alphaSurface.hashCode();
result = prime * result + _betaSurface.hashCode();
result = prime * result + _dayCount.hashCode();
result = prime * result + _nuSurface.hashCode();
result = prime * result + _rhoSurface.hashCode();
result = prime * result + _sabrFunction.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final SABRInterestRateParameters other = (SABRInterestRateParameters) obj;
if (!ObjectUtils.equals(_alphaSurface, other._alphaSurface)) {
return false;
}
if (!ObjectUtils.equals(_betaSurface, other._betaSurface)) {
return false;
}
if (!ObjectUtils.equals(_rhoSurface, other._rhoSurface)) {
return false;
}
if (!ObjectUtils.equals(_nuSurface, other._nuSurface)) {
return false;
}
if (!ObjectUtils.equals(_dayCount, other._dayCount)) {
return false;
}
return ObjectUtils.equals(_sabrFunction, other._sabrFunction);
}
}