/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.parameters;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.model.interestrate.definition.InflationZeroCouponCapFloorParameters;
import com.opengamma.analytics.financial.model.volatility.VolatilityModel;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.math.interpolation.Interpolator2D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class describing the Black volatility surface used in inflation zero-coupon cap/floor modeling. The CPI forward is assumed to log normal.
*/
public class BlackSmileCapInflationZeroCouponParameters implements VolatilityModel<double[]> {
/**
* The volatility surface. The dimensions are the expiration and the strike. Not null.
*/
private final InterpolatedDoublesSurface _volatility;
/**
* The Ibor index for which the volatility is valid. Not null.
*/
private final IndexPrice _index;
/**
* Constructor from the parameter surfaces.
* @param volatility The Black volatility curve.
* @param index The Ibor index for which the volatility is valid.
*/
public BlackSmileCapInflationZeroCouponParameters(final InterpolatedDoublesSurface volatility, final IndexPrice index) {
ArgumentChecker.notNull(volatility, "volatility curve");
ArgumentChecker.notNull(index, "index price");
_volatility = volatility;
_index = index;
}
/**
* Constructor from the parameter surfaces.
* @param expiryTimes The Black volatility curve.
* @param strikes The Black volatility curve.
* @param volatility The Black volatility cube.
* @param interpolator The interpolator necessary to Black volatility surface from the black volatility cube.
* @param index The index price for which the volatility is valid.
*/
public BlackSmileCapInflationZeroCouponParameters(final double[] expiryTimes, final double[] strikes, final double[][] volatility, final Interpolator2D interpolator, final IndexPrice index) {
ArgumentChecker.notNull(volatility, "volatility curve");
ArgumentChecker.notNull(expiryTimes, "expiry times");
ArgumentChecker.notNull(strikes, "strikes");
ArgumentChecker.notNull(index, "index price");
ArgumentChecker.isTrue(expiryTimes.length == volatility.length, null);
ArgumentChecker.isTrue(strikes.length == volatility[0].length, null);
final DoublesPair[] xyData = new DoublesPair[expiryTimes.length * strikes.length];
final double[] volatilityVector = new double[expiryTimes.length * strikes.length];
for (int i = 0; i < expiryTimes.length; i++) {
for (int j = 0; j < strikes.length; j++) {
xyData[i + j * expiryTimes.length] = DoublesPair.of(expiryTimes[i], strikes[j]);
volatilityVector[i + j * expiryTimes.length] = volatility[i][j];
}
}
_volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
_index = index;
}
/**
* Constructor from the parameter surfaces.
* @param parameters The Black volatility curve.
* @param interpolator The Black volatility curve.
*/
public BlackSmileCapInflationZeroCouponParameters(final InflationZeroCouponCapFloorParameters parameters, final Interpolator2D interpolator) {
ArgumentChecker.notNull(interpolator, "interpolator");
final double[] expiryTimes = parameters.getExpiryTimes();
final double[] strikes = parameters.getStrikes();
final double[][] volatility = parameters.getVolatility();
final DoublesPair[] xyData = new DoublesPair[expiryTimes.length * strikes.length];
final double[] volatilityVector = new double[expiryTimes.length * strikes.length];
for (int i = 0; i < expiryTimes.length; i++) {
for (int j = 0; j < strikes.length; j++) {
xyData[i + j * expiryTimes.length] = DoublesPair.of(expiryTimes[i], strikes[j]);
volatilityVector[i + j * expiryTimes.length] = volatility[i][j];
}
}
_volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
_index = parameters.getIndex();
}
/**
* Constructor from the parameter surfaces and default interpolator (flat extrapolation, linear interpolation).
* @param parameters The Black volatility curve.
*/
public BlackSmileCapInflationZeroCouponParameters(final InflationZeroCouponCapFloorParameters parameters) {
final double[] expiryTimes = parameters.getExpiryTimes();
final double[] strikes = parameters.getStrikes();
final double[][] volatility = parameters.getVolatility();
final DoublesPair[] xyData = new DoublesPair[expiryTimes.length * strikes.length];
final double[] volatilityVector = new double[expiryTimes.length * strikes.length];
for (int i = 0; i < expiryTimes.length; i++) {
for (int j = 0; j < strikes.length; j++) {
xyData[i + j * expiryTimes.length] = DoublesPair.of(expiryTimes[i], strikes[j]);
volatilityVector[i + j * expiryTimes.length] = volatility[i][j];
}
}
final Interpolator1D linearFlat = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
final GridInterpolator2D interpolator = new GridInterpolator2D(linearFlat, linearFlat);
_volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
_index = parameters.getIndex();
}
/**
* Return the volatility surface.
* @return The volatility surface.
*/
public InterpolatedDoublesSurface getVolatilitySurface() {
return _volatility;
}
/**
* Return the volatility for a time to expiration and strike.
* @param expiration The time to expiration.
* @param strike The strike.
* @return The volatility.
*/
public double getVolatility(final double expiration, final double strike) {
return _volatility.getZValue(expiration, strike);
}
@Override
/**
* Return the volatility for a expiration tenor array.
* @param data An array of one doubles with the expiration.
* @return The volatility.
*/
public Double getVolatility(final double[] data) {
ArgumentChecker.notNull(data, "data");
ArgumentChecker.isTrue(data.length == 2, "data should have two components (expiration and strike)");
return getVolatility(data[0], data[1]);
}
/**
* Gets the Ibor index for which the volatility is valid.
* @return The index.
*/
public IndexPrice getIndex() {
return _index;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _index.hashCode();
result = prime * result + _volatility.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 BlackSmileCapInflationZeroCouponParameters other = (BlackSmileCapInflationZeroCouponParameters) obj;
if (!ObjectUtils.equals(_index, other._index)) {
return false;
}
if (!ObjectUtils.equals(_volatility, other._volatility)) {
return false;
}
return true;
}
}