@Override
public <T> Optional<T> findData(MarketDataName<T> name) {
if (surface.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(surface));
}
return Optional.empty();
}
// -------------------------------------------------------------------------
@Override
public double volatility(
double expiry, LocalDate fixingDate, double strikePrice, double futurePrice) {
double simpleMoneyness =
moneynessOnPrice ? strikePrice - futurePrice : futurePrice - strikePrice;
return surface.zValue(expiry, simpleMoneyness);
}
private CurrencyParameterSensitivity parameterSensitivity(IborFutureOptionSensitivity point) {
double simpleMoneyness =
moneynessOnPrice
? point.getStrikePrice() - point.getFuturePrice()
: point.getFuturePrice() - point.getStrikePrice();
UnitParameterSensitivity unitSens =
surface.zValueParameterSensitivity(point.getExpiry(), simpleMoneyness);
return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
}
@ImmutableConstructor
private NormalIborFutureOptionExpirySimpleMoneynessVolatilities(
IborIndex index, ZonedDateTime valuationDateTime, Surface surface) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(valuationDateTime, "valuationDateTime");
ArgChecker.notNull(surface, "surface");
surface
.getMetadata()
.getXValueType()
.checkEquals(ValueType.YEAR_FRACTION, "Incorrect x-value type for Normal volatilities");
surface
.getMetadata()
.getYValueType()
.checkEquals(ValueType.SIMPLE_MONEYNESS, "Incorrect y-value type for Normal volatilities");
surface
.getMetadata()
.getZValueType()
.checkEquals(ValueType.NORMAL_VOLATILITY, "Incorrect z-value type for Normal volatilities");
DayCount dayCount =
surface
.getMetadata()
.findInfo(SurfaceInfoType.DAY_COUNT)
.orElseThrow(
() -> new IllegalArgumentException("Incorrect surface metadata, missing DayCount"));
MoneynessType moneynessType =
surface
.getMetadata()
.findInfo(SurfaceInfoType.MONEYNESS_TYPE)
.orElseThrow(
() ->
new IllegalArgumentException(
"Incorrect surface metadata, missing MoneynessType"));
this.index = index;
this.valuationDateTime = valuationDateTime;
this.surface = surface;
this.moneynessOnPrice = moneynessType == MoneynessType.PRICE;
this.dayCount = dayCount;
}
@Override
public NormalIborFutureOptionExpirySimpleMoneynessVolatilities withPerturbation(
ParameterPerturbation perturbation) {
return new NormalIborFutureOptionExpirySimpleMoneynessVolatilities(
index, valuationDateTime, surface.withPerturbation(perturbation));
}
@Override
public NormalIborFutureOptionExpirySimpleMoneynessVolatilities withParameter(
int parameterIndex, double newValue) {
return new NormalIborFutureOptionExpirySimpleMoneynessVolatilities(
index, valuationDateTime, surface.withParameter(parameterIndex, newValue));
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return surface.getParameterMetadata(parameterIndex);
}
@Override
public double getParameter(int parameterIndex) {
return surface.getParameter(parameterIndex);
}
@Override
public int getParameterCount() {
return surface.getParameterCount();
}
// -------------------------------------------------------------------------
@Override
public IborFutureOptionVolatilitiesName getName() {
return IborFutureOptionVolatilitiesName.of(surface.getName().getName());
}