com.opengamma.strata.pricer.fxopt

Class BlackFxSingleBarrierOptionTradePricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer

public class BlackFxSingleBarrierOptionTradePricer
extends Object

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

This function provides the ability to price an ResolvedFxSingleBarrierOptionTrade.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
BlackFxSingleBarrierOptionTradePricer(BlackFxSingleBarrierOptionProductPricer productPricer, DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option trade.
CurrencyAmount	currentCash(ResolvedFxSingleBarrierOptionTrade trade, LocalDate valuationDate) Calculates the current of the FX barrier option trade.
FxRate	forwardFxRate(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider) Calculates the forward exchange rate.
double	impliedVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the FX barrier option trade.
MultiCurrencyAmount	presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option trade.
PointSensitivities	presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivities	presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BlackFxSingleBarrierOptionTradePricer DEFAULT

Default implementation.

Constructor Detail

BlackFxSingleBarrierOptionTradePricer

public BlackFxSingleBarrierOptionTradePricer(BlackFxSingleBarrierOptionProductPricer productPricer,
                                             DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedFxSingleBarrierOption

paymentPricer - the pricer for Payment

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxSingleBarrierOptionTrade trade,
                                        RatesProvider ratesProvider,
                                        BlackFxOptionVolatilities volatilities)

Calculates the present value of the FX barrier option trade.

The present value of the trade is the value on the valuation date.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the trade

presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   BlackFxOptionVolatilities volatilities)

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

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

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

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value curve sensitivity of the trade

presentValueSensitivityModelParamsVolatility

public PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade,
                                                                       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.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOptionTrade trade,
                                            RatesProvider ratesProvider,
                                            BlackFxOptionVolatilities volatilities)

Calculates the currency exposure of the FX barrier option trade.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedFxSingleBarrierOptionTrade trade,
                                  LocalDate valuationDate)

Calculates the current of the FX barrier option trade.

Parameters:

trade - the option trade

valuationDate - the valuation date

Returns:

the current cash amount

forwardFxRate

public FxRate forwardFxRate(ResolvedFxSingleBarrierOptionTrade trade,
                            RatesProvider ratesProvider)

Calculates the forward exchange rate.

Parameters:

trade - the option trade

ratesProvider - the rates provider

Returns:

the forward rate

impliedVolatility

public double impliedVolatility(ResolvedFxSingleBarrierOptionTrade trade,
                                RatesProvider ratesProvider,
                                BlackFxOptionVolatilities volatilities)

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

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the implied volatility of the product

Throws:

IllegalArgumentException - if the option has expired