com.opengamma.strata.pricer.fxopt

Class BlackFxOptionFlatVolatilities

java.lang.Object

com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackFxOptionVolatilities, FxOptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class BlackFxOptionFlatVolatilities
extends Object
implements BlackFxOptionVolatilities, org.joda.beans.ImmutableBean, Serializable

Volatility for FX options in the log-normal or Black model based on a curve.

The volatility is represented by a curve on the expiry and the volatility is flat along the strike direction.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BlackFxOptionFlatVolatilities.Builder The bean-builder for BlackFxOptionFlatVolatilities.
static class	BlackFxOptionFlatVolatilities.Meta The meta-bean for BlackFxOptionFlatVolatilities.

Method Summary

Modifier and Type	Method and Description
static BlackFxOptionFlatVolatilities.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
ValueDerivatives	firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward) Computes the partial derivatives of the volatilities.
CurrencyPair	getCurrencyPair() Gets the currency pair that the volatilities are for.
Curve	getCurve() Gets the Black volatility curve.
FxOptionVolatilitiesName	getName() Gets the name of these volatilities.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
int	hashCode()
static BlackFxOptionFlatVolatilities.Meta	meta() The meta-bean for BlackFxOptionFlatVolatilities.
BlackFxOptionFlatVolatilities.Meta	metaBean()
static BlackFxOptionFlatVolatilities	of(CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Curve curve) Obtains an instance from an expiry-volatility curve and the date-time for which it is valid.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
double	price(double expiry, PutCall putCall, double strike, double forward, double volatility) Calculates the price.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
BlackFxOptionFlatVolatilities.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(CurrencyPair currencyPair, double expiry, double strike, double forward) Calculates the volatility at the specified expiry.
BlackFxOptionFlatVolatilities	withParameter(int parameterIndex, double newValue)
BlackFxOptionFlatVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities

getVolatilityType

Methods inherited from interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities

getValuationDate, parameterSensitivity, volatility

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static BlackFxOptionFlatVolatilities of(CurrencyPair currencyPair,
                                               ZonedDateTime valuationDateTime,
                                               Curve curve)

Obtains an instance from an expiry-volatility curve and the date-time for which it is valid.

The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must contain the correct metadata:

• The x-value type must be ValueType.YEAR_FRACTION
• The y-value type must be ValueType.BLACK_VOLATILITY
• The day count must be set in the additional information using CurveInfoType.DAY_COUNT

Suitable curve metadata can be created using Curves.blackVolatilityByExpiry(String, DayCount).

Parameters:

currencyPair - the currency pair

valuationDateTime - the valuation date-time

curve - the volatility curve

Returns:

the volatilities

getName

public FxOptionVolatilitiesName getName()

Description copied from interface: FxOptionVolatilities

Gets the name of these volatilities.

Specified by:

getName in interface FxOptionVolatilities

Returns:

the name

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public BlackFxOptionFlatVolatilities withParameter(int parameterIndex,
                                                   double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface BlackFxOptionVolatilities

Specified by:

withParameter in interface FxOptionVolatilities

withPerturbation

public BlackFxOptionFlatVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface BlackFxOptionVolatilities

Specified by:

withPerturbation in interface FxOptionVolatilities

volatility

public double volatility(CurrencyPair currencyPair,
                         double expiry,
                         double strike,
                         double forward)

Description copied from interface: FxOptionVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by FxOptionVolatilities.relativeTime(ZonedDateTime).

Specified by:

volatility in interface FxOptionVolatilities

Parameters:

currencyPair - the currency pair

expiry - the time to expiry as a year fraction

strike - the option strike rate

forward - the forward rate

Returns:

the volatility

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: FxOptionVolatilities

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Specified by:

parameterSensitivity in interface FxOptionVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

firstPartialDerivatives

public ValueDerivatives firstPartialDerivatives(CurrencyPair currencyPair,
                                                double expiry,
                                                double strike,
                                                double forward)

Description copied from interface: FxOptionVolatilities

Computes the partial derivatives of the volatilities.

The first derivatives are dVol/dExpiry and dVol/dStrike. The derivatives are in the following order:

• [0] derivative with respect to expiry
• [1] derivative with respect to strike

Specified by:

firstPartialDerivatives in interface FxOptionVolatilities

Parameters:

currencyPair - the currency pair

expiry - the expiry at which the partial derivative is taken

strike - the strike at which the partial derivative is taken

forward - the forward rate

Returns:

the z-value and it's partial first derivatives

price

public double price(double expiry,
                    PutCall putCall,
                    double strike,
                    double forward,
                    double volatility)

Description copied from interface: FxOptionVolatilities

Calculates the price.

This relies on expiry supplied by FxOptionVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by FxOptionVolatilities.volatility(CurrencyPair, double, double, double).

Specified by:

price in interface FxOptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the price

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: FxOptionVolatilities

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Specified by:

relativeTime in interface FxOptionVolatilities

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction

meta

public static BlackFxOptionFlatVolatilities.Meta meta()

The meta-bean for BlackFxOptionFlatVolatilities.

Returns:

the meta-bean, not null

builder

public static BlackFxOptionFlatVolatilities.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public BlackFxOptionFlatVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair that the volatilities are for.

Specified by:

getCurrencyPair in interface FxOptionVolatilities

Returns:

the value of the property, not null

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date-time. All data items in this provider is calibrated for this date-time.

Specified by:

getValuationDateTime in interface FxOptionVolatilities

Returns:

the value of the property, not null

getCurve

public Curve getCurve()

Gets the Black volatility curve.

The x-values represent the expiry year-fraction. The metadata of the curve must define a day count.

Returns:

the value of the property, not null

toBuilder

public BlackFxOptionFlatVolatilities.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

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