com.opengamma.strata.pricer.bond

Class BondFutureOptionSensitivity

java.lang.Object

com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class BondFutureOptionSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to an implied volatility for a bond future option model.

Holds the sensitivity to a specific volatility point.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BondFutureOptionSensitivity.Meta The meta-bean for BondFutureOptionSensitivity.

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
BondFutureOptionSensitivity	cloned()
int	compareKey(PointSensitivity other)
BondFutureOptionSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
double	getExpiry() Gets the expiry date-time of the option.
LocalDate	getFutureExpiryDate() Gets the expiry date of the underlying future.
double	getFuturePrice() Gets the underlying future price.
double	getSensitivity() Gets the value of the sensitivity.
double	getStrikePrice() Gets the option strike price.
BondFutureVolatilitiesName	getVolatilitiesName() Gets the name of the volatilities.
int	hashCode()
BondFutureOptionSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static BondFutureOptionSensitivity.Meta	meta() The meta-bean for BondFutureOptionSensitivity.
BondFutureOptionSensitivity.Meta	metaBean()
BondFutureOptionSensitivity	multipliedBy(double factor)
BondFutureOptionSensitivity	normalize()
static BondFutureOptionSensitivity	of(BondFutureVolatilitiesName volatilitiesName, double expiry, LocalDate futureExpiryDate, double strikePrice, double futurePrice, Currency sensitivityCurrency, double sensitivity) Obtains an instance based on the security ID.
String	toString()
BondFutureOptionSensitivity	withCurrency(Currency currency)
BondFutureOptionSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static BondFutureOptionSensitivity of(BondFutureVolatilitiesName volatilitiesName,
                                             double expiry,
                                             LocalDate futureExpiryDate,
                                             double strikePrice,
                                             double futurePrice,
                                             Currency sensitivityCurrency,
                                             double sensitivity)

Obtains an instance based on the security ID.

Parameters:

volatilitiesName - the name of the volatilities

expiry - the time to expiry of the option as a year fraction

futureExpiryDate - the expiry date of the underlying future

strikePrice - the strike price of the option

futurePrice - the price of the underlying future

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

withCurrency

public BondFutureOptionSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public BondFutureOptionSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public BondFutureOptionSensitivity convertedTo(Currency resultCurrency,
                                               FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public BondFutureOptionSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public BondFutureOptionSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public BondFutureOptionSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public BondFutureOptionSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static BondFutureOptionSensitivity.Meta meta()

The meta-bean for BondFutureOptionSensitivity.

Returns:

the meta-bean, not null

metaBean

public BondFutureOptionSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getVolatilitiesName

public BondFutureVolatilitiesName getVolatilitiesName()

Gets the name of the volatilities.

Returns:

the value of the property, not null

getExpiry

public double getExpiry()

Gets the expiry date-time of the option.

Returns:

the value of the property, not null

getFutureExpiryDate

public LocalDate getFutureExpiryDate()

Gets the expiry date of the underlying future.

Returns:

the value of the property, not null

getStrikePrice

public double getStrikePrice()

Gets the option strike price.

Returns:

the value of the property

getFuturePrice

public double getFuturePrice()

Gets the underlying future price.

Returns:

the value of the property

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object