com.opengamma.strata.pricer.fxopt

Class VannaVolgaFxVanillaOptionProductPricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer

public class VannaVolgaFxVanillaOptionProductPricer
extends Object

Pricing method for vanilla Forex option transactions with Vanna-Volga method.

The volatilities are expressed using BlackFxOptionSmileVolatilities. Each smile of the term structure consists of 3 data points, where the middle point corresponds to ATM volatility.

Reference: The vanna-volga method for implied volatilities (2007), A. Castagna and F. Mercurio, Risk, 106-111, January 2007. OG implementation: Vanna-volga method for Forex options, version 1.0, June 2012.

Field Summary

Fields

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

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities) Calculates the currency exposure of the foreign exchange vanilla option product.
CurrencyAmount	presentValue(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities) Calculates the present value of the foreign exchange vanilla option product.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities) Computes the present value sensitivity to the black volatilities used in the pricing.
PointSensitivityBuilder	presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities) Calculates the present value sensitivity of the foreign exchange vanilla option product.
double	price(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities) Calculates the price 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 VannaVolgaFxVanillaOptionProductPricer DEFAULT

Default implementation.

Constructor Detail

VannaVolgaFxVanillaOptionProductPricer

public VannaVolgaFxVanillaOptionProductPricer(DiscountingFxSingleProductPricer fxPricer)

Creates an instance.

Parameters:

fxPricer - the pricer for ResolvedFxSingle

Method Detail

price

public double price(ResolvedFxVanillaOption option,
                    RatesProvider ratesProvider,
                    BlackFxOptionSmileVolatilities 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.BlackFxOptionSmileVolatilities) 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,
                                   BlackFxOptionSmileVolatilities 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

presentValueSensitivityRatesStickyStrike

public PointSensitivityBuilder presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option,
                                                                        RatesProvider ratesProvider,
                                                                        BlackFxOptionSmileVolatilities 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.BlackFxOptionSmileVolatilities) to the underlying curves.

The implied strikes and weights are 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

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option,
                                                                            RatesProvider ratesProvider,
                                                                            BlackFxOptionSmileVolatilities volatilities)

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

The implied strikes and weights are fixed in this sensitivity computation.

Parameters:

option - the option product

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOption option,
                                            RatesProvider ratesProvider,
                                            BlackFxOptionSmileVolatilities 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