com.opengamma.strata.pricer.fxopt

Interface FxOptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Subinterfaces:

BlackFxOptionVolatilities

All Known Implementing Classes:

BlackFxOptionFlatVolatilities, BlackFxOptionSmileVolatilities, BlackFxOptionSurfaceVolatilities

public interface FxOptionVolatilities
extends MarketDataView, ParameterizedData

Volatilities for pricing FX options.

This provides access to the volatilities for pricing models, such as Black.

Method Summary

Modifier and Type	Method and Description
ValueDerivatives	firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward) Computes the partial derivatives of the volatilities.
CurrencyPair	getCurrencyPair() Gets the currency pair for which the data is valid.
FxOptionVolatilitiesName	getName() Gets the name of these volatilities.
default LocalDate	getValuationDate() Gets the valuation date.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
ValueType	getVolatilityType() Gets the type of volatility returned by the volatility(com.opengamma.strata.basics.currency.CurrencyPair, java.time.ZonedDateTime, double, double) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... 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.
double	volatility(CurrencyPair currencyPair, double expiry, double strike, double forward) Calculates the volatility at the specified expiry.
default double	volatility(CurrencyPair currencyPair, ZonedDateTime expiryDateTime, double strike, double forward) Calculates the volatility at the specified expiry.
FxOptionVolatilities	withParameter(int parameterIndex, double newValue)
FxOptionVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getName

FxOptionVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getCurrencyPair

CurrencyPair getCurrencyPair()

Gets the currency pair for which the data is valid.

Returns:

the currency pai

getVolatilityType

ValueType getVolatilityType()

Gets the type of volatility returned by the volatility(com.opengamma.strata.basics.currency.CurrencyPair, java.time.ZonedDateTime, double, double) method.

Returns:

the type

getValuationDate

default LocalDate getValuationDate()

Gets the valuation date.

The volatilities are calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getValuationDateTime

ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Returns:

the valuation date-time

withParameter

FxOptionVolatilities withParameter(int parameterIndex,
                                   double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

FxOptionVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

volatility

default double volatility(CurrencyPair currencyPair,
                          ZonedDateTime expiryDateTime,
                          double strike,
                          double forward)

Calculates the volatility at the specified expiry.

Parameters:

currencyPair - the currency pair

expiryDateTime - the option expiry

strike - the option strike rate

forward - the forward rate

Returns:

the volatility

volatility

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

Calculates the volatility at the specified expiry.

This relies on expiry supplied by relativeTime(ZonedDateTime).

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

default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

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.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

firstPartialDerivatives

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

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

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

Throws:

RuntimeException - if the derivative cannot be calculated

price

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

Calculates the price.

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

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

Throws:

RuntimeException - if the value cannot be obtained

relativeTime

double relativeTime(ZonedDateTime dateTime)

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.

Parameters:

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

Returns:

the relative year fraction