/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.surface;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.model.volatility.VolatilityModel;
import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve;
import com.opengamma.analytics.math.Axis;
import com.opengamma.analytics.math.curve.Curve;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.analytics.math.surface.SurfaceShiftFunctionFactory;
import com.opengamma.analytics.math.surface.SurfaceSliceFunction;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
*
*/
public class VolatilitySurface implements VolatilityModel<DoublesPair> {
private final Surface<Double, Double, Double> _surface;
/** x-axis */
public static final Axis EXPIRY_AXIS = Axis.X; // TODO Review
/** y-axis */
public static final Axis STRIKE_AXIS = Axis.Y;
public VolatilitySurface(final Surface<Double, Double, Double> surface) {
ArgumentChecker.notNull(surface, "surface");
_surface = surface;
}
@Override
public Double getVolatility(final DoublesPair xy) {
ArgumentChecker.notNull(xy, "xy pair");
return _surface.getZValue(xy);
}
/**
* Return a volatility for the expiry, strike pair provided.
* Interpolation/extrapolation behaviour depends on underlying surface
* @param t time to maturity
* @param k strike
* @return The Black (implied) volatility
*/
public double getVolatility(final double t, final double k) {
final DoublesPair temp = new DoublesPair(t, k);
return getVolatility(temp);
}
public VolatilityCurve getSlice(final Axis axis, final double here, final Interpolator1D interpolator) {
final Curve<Double, Double> curve = SurfaceSliceFunction.cut(_surface, axis, here, interpolator);
return new VolatilityCurve(curve);
}
public Surface<Double, Double, Double> getSurface() {
return _surface;
}
public VolatilitySurface withParallelShift(final double shift) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, shift, true));
}
public VolatilitySurface withSingleAdditiveShift(final double x, final double y, final double shift) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, x, y, shift, true));
}
public VolatilitySurface withMultipleAdditiveShifts(final double[] x, final double[] y, final double[] shifts) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, x, y, shifts, true));
}
public VolatilitySurface withConstantMultiplicativeShift(final double shift) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, shift, false));
}
public VolatilitySurface withSingleMultiplicativeShift(final double x, final double y, final double shift) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, x, y, shift, false));
}
public VolatilitySurface withMultipleMultiplicativeShifts(final double[] x, final double[] y, final double[] shifts) {
return new VolatilitySurface(SurfaceShiftFunctionFactory.getShiftedSurface(_surface, x, y, shifts, false));
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _surface.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 VolatilitySurface other = (VolatilitySurface) obj;
return ObjectUtils.equals(_surface, other._surface);
}
}