com.opengamma.strata.pricer.fxopt

Class BlackFxVanillaOptionProductPricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer

public class BlackFxVanillaOptionProductPricer
extends Object

Pricer for foreign exchange vanilla option transaction products with a lognormal model.

This function provides the ability to price an ResolvedFxVanillaOption.

All of the computation is be 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 BlackFxVanillaOptionProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
BlackFxVanillaOptionProductPricer(DiscountingFxSingleProductPricer fxPricer) Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

BlackFxVanillaOptionProductPricer

public BlackFxVanillaOptionProductPricer(DiscountingFxSingleProductPricer fxPricer)

Creates an instance.

Parameters:

fxPricer - the pricer for ResolvedFxSingle

Method Detail

price

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

Calculates the price of the foreign exchange vanilla 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.ResolvedFxVanillaOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) for scaling and currency.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the price of the product

presentValue

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

Calculates the present value of the foreign exchange vanilla option product.

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

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the product

delta

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

Calculates the delta of the foreign exchange vanilla option product.

The delta is the first derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, 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

presentValueDelta

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

Calculates the present value delta of the foreign exchange vanilla option product.

The present value delta is the first derivative of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, 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

presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option,
                                                                   RatesProvider ratesProvider,
                                                                   BlackFxOptionVolatilities volatilities)

Calculates the present value sensitivity of the foreign exchange vanilla option product.

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

The volatility is fixed in this sensitivity computation.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value curve sensitivity of the product

gamma

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

Calculates the gamma of the foreign exchange vanilla option product.

The gamma is the second derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, 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

presentValueGamma

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

Calculates the present value delta of the foreign exchange vanilla option product.

The present value gamma is the second derivative of the presentValue(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, 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

vega

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

Calculates the vega of the foreign exchange vanilla option product.

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

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the vega of the product

presentValueVega

public CurrencyAmount presentValueVega(ResolvedFxVanillaOption option,
                                       RatesProvider ratesProvider,
                                       BlackFxOptionVolatilities volatilities)

Calculates the present value vega of the foreign exchange vanilla option product.

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

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value vega of the product

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption 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.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value sensitivity

theta

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

Calculates the Black theta of the foreign exchange vanilla option product.

The theta is the negative of the first derivative of price(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with respect to time parameter in Black formula (the discounted driftless theta).

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the theta of the product

presentValueTheta

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

Calculates the present value theta of the foreign exchange vanilla option product.

The present value theta is the negative of the first derivative of presentValue(com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities) with time parameter in Black formula, i.e., the driftless theta of the present value.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value vega of the product

forwardFxRate

public FxRate forwardFxRate(ResolvedFxVanillaOption 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(ResolvedFxVanillaOption option,
                                RatesProvider ratesProvider,
                                BlackFxOptionVolatilities volatilities)

Calculates the implied Black volatility of the foreign exchange vanilla 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(ResolvedFxVanillaOption option,
                                            RatesProvider ratesProvider,
                                            BlackFxOptionVolatilities volatilities)

Calculates the currency exposure of the foreign exchange vanilla option product.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the currency exposure