com.opengamma.strata.pricer.fxopt

Class BlackFxSingleBarrierOptionProductPricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer

public class BlackFxSingleBarrierOptionProductPricer
extends Object

Pricer for FX barrier option products in Black-Scholes world.

This function provides the ability to price an ResolvedFxSingleBarrierOption.

All the computation is based on the counter currency of the underlying FX transaction. For example, price, PV and risk measures of the product will be expressed in USD for an option on EUR/USD.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
BlackFxSingleBarrierOptionProductPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option product.
double	delta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the delta of the FX barrier option product.
FxRate	forwardFxRate(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider) Calculates the forward exchange rate.
double	gamma(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the gamma of the FX barrier option product.
double	impliedVolatility(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the FX barrier option product.
CurrencyAmount	presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option product.
CurrencyAmount	presentValueDelta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value delta of the FX barrier option product.
CurrencyAmount	presentValueGamma(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value gamma of the FX barrier option product.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivityBuilder	presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option product.
CurrencyAmount	presentValueTheta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value theta of the FX barrier option product.
double	price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the price of the FX barrier option product.
double	theta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the theta of the FX barrier option product.
double	vega(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the vega of the FX barrier option product.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BlackFxSingleBarrierOptionProductPricer DEFAULT

Default implementation.

Constructor Detail

BlackFxSingleBarrierOptionProductPricer

public BlackFxSingleBarrierOptionProductPricer()

Creates an instance.

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedFxSingleBarrierOption option,
                                   RatesProvider ratesProvider,
                                   BlackFxOptionVolatilities volatilities)

Calculates the present value of the FX barrier option product.

The present value of the product is the value on the valuation date. It is expressed in the counter currency.

The volatility used in this computation is the Black implied volatility at expiry time and strike.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the product

price

public double price(ResolvedFxSingleBarrierOption option,
                    RatesProvider ratesProvider,
                    BlackFxOptionVolatilities volatilities)

Calculates the price of the FX barrier option product.

The price of the product is the value on the valuation date for one unit of the base currency and is expressed in the counter currency. The price does not take into account the long/short flag. See presentValue(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) for scaling and currency.

The volatility used in this computation is the Black implied volatility at expiry time and strike.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the price of the product

presentValueSensitivityRatesStickyStrike

public PointSensitivityBuilder presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOption option,
                                                                        RatesProvider ratesProvider,
                                                                        BlackFxOptionVolatilities volatilities)

Calculates the present value sensitivity of the FX barrier option product.

The present value sensitivity of the product is the sensitivity of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) to the underlying curves.

The volatility is fixed in this sensitivity computation, i.e., sticky-strike.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value curve sensitivity of the product

presentValueDelta

public CurrencyAmount presentValueDelta(ResolvedFxSingleBarrierOption option,
                                        RatesProvider ratesProvider,
                                        BlackFxOptionVolatilities volatilities)

Calculates the present value delta of the FX barrier option product.

The present value delta is the first derivative of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to spot.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value delta of the product

delta

public double delta(ResolvedFxSingleBarrierOption option,
                    RatesProvider ratesProvider,
                    BlackFxOptionVolatilities volatilities)

Calculates the delta of the FX barrier option product.

The delta is the first derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to spot.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the delta of the product

presentValueGamma

public CurrencyAmount presentValueGamma(ResolvedFxSingleBarrierOption option,
                                        RatesProvider ratesProvider,
                                        BlackFxOptionVolatilities volatilities)

Calculates the present value gamma of the FX barrier option product.

The present value gamma is the second derivative of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to spot.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value gamma of the product

gamma

public double gamma(ResolvedFxSingleBarrierOption option,
                    RatesProvider ratesProvider,
                    BlackFxOptionVolatilities volatilities)

Calculates the gamma of the FX barrier option product.

The delta is the second derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to spot.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the gamma of the product

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption option,
                                                                            RatesProvider ratesProvider,
                                                                            BlackFxOptionVolatilities volatilities)

Computes the present value sensitivity to the black volatility used in the pricing.

The result is a single sensitivity to the volatility used. This is also called Black vega.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value sensitivity

vega

public double vega(ResolvedFxSingleBarrierOption option,
                   RatesProvider ratesProvider,
                   BlackFxOptionVolatilities volatilities)

Calculates the vega of the FX barrier option product.

The delta is the first derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to Black volatility.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the vega of the product

presentValueTheta

public CurrencyAmount presentValueTheta(ResolvedFxSingleBarrierOption option,
                                        RatesProvider ratesProvider,
                                        BlackFxOptionVolatilities volatilities)

Calculates the present value theta of the FX barrier option product.

The present value theta is the negative of the first derivative of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with time parameter.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value theta of the product

theta

public double theta(ResolvedFxSingleBarrierOption option,
                    RatesProvider ratesProvider,
                    BlackFxOptionVolatilities volatilities)

Calculates the theta of the FX barrier option product.

The theta is the negative of the first derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to time parameter.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the theta of the product

forwardFxRate

public FxRate forwardFxRate(ResolvedFxSingleBarrierOption option,
                            RatesProvider ratesProvider)

Calculates the forward exchange rate.

Parameters:

option - the option product

ratesProvider - the rates provider

Returns:

the forward rate

impliedVolatility

public double impliedVolatility(ResolvedFxSingleBarrierOption option,
                                RatesProvider ratesProvider,
                                BlackFxOptionVolatilities volatilities)

Calculates the implied Black volatility of the FX barrier option product.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the implied volatility of the product

Throws:

IllegalArgumentException - if the option has expired

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOption option,
                                            RatesProvider ratesProvider,
                                            BlackFxOptionVolatilities volatilities)

Calculates the currency exposure of the FX barrier option product.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the currency exposure