com.opengamma.strata.pricer.bond

Class BlackFixedCouponBondOptionPricer

java.lang.Object

com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer

public class BlackFixedCouponBondOptionPricer
extends Object

Pricer for fixed coupon bond options based on Black formula for the (dirty) bond price.

The volatilities are stored in a (normalized) BondYieldVolatilities. They are stored as bond yield equivalent volatilities and are converted to bond price volatilities through the formula "price volatility = duration * yield volatility".

Field Summary

Fields

Modifier and Type	Field and Description
static BlackFixedCouponBondOptionPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
BlackFixedCouponBondOptionPricer(DiscountingFixedCouponBondProductPricer bondPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
protected DiscountingFixedCouponBondProductPricer	getBondPricer() Gets the bond pricer.
CurrencyAmount	presentValue(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities) Calculates the present value of the bond option.
BondYieldSensitivity	presentValueSensitivityModelParamsVolatility(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities) Returns the present value sensitivity to the underlying yield volatilities.
PointSensitivities	presentValueSensitivityRatesStickyStrike(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities) Returns the present value sensitivity to the underlying curves.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final BlackFixedCouponBondOptionPricer DEFAULT

Default implementation.

Constructor Detail

BlackFixedCouponBondOptionPricer

public BlackFixedCouponBondOptionPricer(DiscountingFixedCouponBondProductPricer bondPricer)

Creates an instance.

Parameters:

bondPricer - the pricer for the underlying ResolvedFixedCouponBond.

Method Detail

getBondPricer

protected DiscountingFixedCouponBondProductPricer getBondPricer()

Gets the bond pricer.

Returns:

the bond pricer

presentValue

public CurrencyAmount presentValue(ResolvedFixedCouponBondOption bondOption,
                                   LegalEntityDiscountingProvider legalEntityProvider,
                                   BondYieldVolatilities volatilities)

Calculates the present value of the bond option.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:

bondOption - the bond option

legalEntityProvider - the provider to value the bond

volatilities - the volatilities

Returns:

the present value

presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFixedCouponBondOption bondOption,
                                                                   LegalEntityDiscountingProvider legalEntityProvider,
                                                                   BondYieldVolatilities volatilities)

Returns the present value sensitivity to the underlying curves.

The sensitivity is computed with "sticky strike" volatility, i.e. the volatility used in the Black formula is not impacted by the curve-implied change in moneyness.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:

bondOption - the bond option

legalEntityProvider - the provider to value the bond

volatilities - the volatilities

Returns:

the present value sensitivity to rates

presentValueSensitivityModelParamsVolatility

public BondYieldSensitivity presentValueSensitivityModelParamsVolatility(ResolvedFixedCouponBondOption bondOption,
                                                                         LegalEntityDiscountingProvider legalEntityProvider,
                                                                         BondYieldVolatilities volatilities)

Returns the present value sensitivity to the underlying yield volatilities.

The sensitivity is to the underlying yield volatilities, before they are transformed to bond price volatilities as described below.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:

bondOption - the bond option

legalEntityProvider - the provider to value the bond

volatilities - the volatilities

Returns:

the present value sensitivity to the yield volatility parameters