com.opengamma.strata.pricer.fxopt

Class ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer

public class ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer
extends Object

Pricer for FX barrier option products under implied trinomial tree.

This function provides the ability to price an ResolvedFxSingleBarrierOption.

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 ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer() Pricer with the default number of time steps.
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(int nSteps) Pricer with the specified number of time steps.

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.
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the currency exposure of the FX barrier option product.
ImpliedTrinomialTreeFxOptionCalibrator	getCalibrator() Obtains the calibrator.
CurrencyAmount	presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option product.
CurrencyAmount	presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the present value of the FX barrier option product.
CurrencyParameterSensitivities	presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option product.
CurrencyParameterSensitivities	presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData baseTreeData) Calculates the present value sensitivity of the FX barrier option product.
double	price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the price of the FX barrier option product.
double	price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the price 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 ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer DEFAULT

Default implementation.

Constructor Detail

ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer

public ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer()

Pricer with the default number of time steps.

ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer

public ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(int nSteps)

Pricer with the specified number of time steps.

Parameters:

nSteps - number of time steps

Method Detail

getCalibrator

public ImpliedTrinomialTreeFxOptionCalibrator getCalibrator()

Obtains the calibrator.

Returns:

the calibrator

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 for scaling and currency.

The trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the price of the product

price

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

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 presnetValue for scaling and currency.

This assumes the tree is already calibrated and the tree data is stored as RecombiningTrinomialTreeData. The tree data should be consistent with the pricer and other inputs, see validateData(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities, com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData).

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

treeData - the trinomial tree data

Returns:

the price of the product

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 trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the product

presentValue

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

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.

This assumes the tree is already calibrated and the tree data is stored as RecombiningTrinomialTreeData. The tree data should be consistent with the pricer and other inputs, see validateData(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities, com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData).

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

treeData - the trinomial tree data

Returns:

the present value of the product

presentValueSensitivityRates

public CurrencyParameterSensitivities presentValueSensitivityRates(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 curve parameters.

The sensitivity is computed by bump and re-price.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the product

presentValueSensitivityRates

public CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOption option,
                                                                   RatesProvider ratesProvider,
                                                                   BlackFxOptionVolatilities volatilities,
                                                                   RecombiningTrinomialTreeData baseTreeData)

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 curve parameters.

The sensitivity is computed by bump and re-price.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

baseTreeData - the trinomial tree data

Returns:

the present value of the product

currencyExposure

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

Calculates the currency exposure of the FX barrier option product.

The trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the currency exposure

currencyExposure

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

Calculates the currency exposure of the FX barrier option product.

This assumes the tree is already calibrated and the tree data is stored as RecombiningTrinomialTreeData. The tree data should be consistent with the pricer and other inputs, see validateData(com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities, com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData).

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

treeData - the trinomial tree data

Returns:

the currency exposure