Uses of Interface
com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities

Packages that use BlackFxOptionVolatilities

Package	Description
com.opengamma.strata.pricer.fxopt	Calculators for FX options.

Uses of BlackFxOptionVolatilities in com.opengamma.strata.pricer.fxopt

Classes in com.opengamma.strata.pricer.fxopt that implement BlackFxOptionVolatilities

Modifier and Type	Class and Description
class	BlackFxOptionFlatVolatilities Volatility for FX options in the log-normal or Black model based on a curve.
class	BlackFxOptionSmileVolatilities Data provider of volatility for FX options in the log-normal or Black-Scholes model.
class	BlackFxOptionSurfaceVolatilities Volatility for FX options in the log-normal or Black model based on a surface.

Methods in com.opengamma.strata.pricer.fxopt that return BlackFxOptionVolatilities

Modifier and Type	Method and Description
BlackFxOptionVolatilities	BlackFxOptionVolatilities.withParameter(int parameterIndex, double newValue)
BlackFxOptionVolatilities	BlackFxOptionVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.fxopt with parameters of type BlackFxOptionVolatilities

Modifier and Type	Method and Description
RecombiningTrinomialTreeData	ImpliedTrinomialTreeFxOptionCalibrator.calibrateTrinomialTree(double timeToExpiry, CurrencyPair currencyPair, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calibrate trinomial tree to Black volatilities.
RecombiningTrinomialTreeData	ImpliedTrinomialTreeFxOptionCalibrator.calibrateTrinomialTree(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calibrate trinomial tree to Black volatilities by using a vanilla option.
MultiCurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option product.
MultiCurrencyAmount	BlackFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option product.
MultiCurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the currency exposure of the FX barrier option product.
MultiCurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option trade.
MultiCurrencyAmount	BlackFxSingleBarrierOptionTradePricer.currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX barrier option trade.
MultiCurrencyAmount	BlackFxVanillaOptionProductPricer.currencyExposure(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the foreign exchange vanilla option product.
MultiCurrencyAmount	BlackFxVanillaOptionTradePricer.currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the currency exposure of the FX vanilla option trade.
double	BlackFxSingleBarrierOptionProductPricer.delta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the delta of the FX barrier option product.
double	BlackFxVanillaOptionProductPricer.delta(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the delta of the foreign exchange vanilla option product.
double	BlackFxSingleBarrierOptionProductPricer.gamma(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the gamma of the FX barrier option product.
double	BlackFxVanillaOptionProductPricer.gamma(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the gamma of the foreign exchange vanilla option product.
double	BlackFxSingleBarrierOptionProductPricer.impliedVolatility(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the FX barrier option product.
double	BlackFxSingleBarrierOptionTradePricer.impliedVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the FX barrier option trade.
double	BlackFxVanillaOptionProductPricer.impliedVolatility(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the foreign exchange vanilla option product.
double	BlackFxVanillaOptionTradePricer.impliedVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the implied Black volatility of the foreign exchange vanilla option trade.
CurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option product.
CurrencyAmount	BlackFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option product.
CurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the present value of the FX barrier option product.
MultiCurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option trade.
MultiCurrencyAmount	BlackFxSingleBarrierOptionTradePricer.presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX barrier option trade.
CurrencyAmount	BlackFxVanillaOptionProductPricer.presentValue(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the foreign exchange vanilla option product.
MultiCurrencyAmount	BlackFxVanillaOptionTradePricer.presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value of the FX vanilla option trade.
CurrencyAmount	BlackFxSingleBarrierOptionProductPricer.presentValueDelta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value delta of the FX barrier option product.
CurrencyAmount	BlackFxVanillaOptionProductPricer.presentValueDelta(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value delta of the foreign exchange vanilla option product.
CurrencyAmount	BlackFxSingleBarrierOptionProductPricer.presentValueGamma(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value gamma of the FX barrier option product.
CurrencyAmount	BlackFxVanillaOptionProductPricer.presentValueGamma(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value delta of the foreign exchange vanilla option product.
PointSensitivityBuilder	BlackFxSingleBarrierOptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivities	BlackFxSingleBarrierOptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivityBuilder	BlackFxVanillaOptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivities	BlackFxVanillaOptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Computes the present value sensitivity to the black volatility used in the pricing.
CurrencyParameterSensitivities	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option product.
CurrencyParameterSensitivities	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData baseTreeData) Calculates the present value sensitivity of the FX barrier option product.
CurrencyParameterSensitivities	ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option trade.
PointSensitivityBuilder	BlackFxSingleBarrierOptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option product.
PointSensitivities	BlackFxSingleBarrierOptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX barrier option trade.
PointSensitivities	BlackFxVanillaOptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the foreign exchange vanilla option product.
PointSensitivities	BlackFxVanillaOptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value sensitivity of the FX vanilla option trade.
CurrencyAmount	BlackFxSingleBarrierOptionProductPricer.presentValueTheta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value theta of the FX barrier option product.
CurrencyAmount	BlackFxVanillaOptionProductPricer.presentValueTheta(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value theta of the foreign exchange vanilla option product.
CurrencyAmount	BlackFxVanillaOptionProductPricer.presentValueVega(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the present value vega of the foreign exchange vanilla option product.
double	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the price of the FX barrier option product.
double	BlackFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the price of the FX barrier option product.
double	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the price of the FX barrier option product.
double	BlackFxVanillaOptionProductPricer.price(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the price of the foreign exchange vanilla option product.
double	BlackFxSingleBarrierOptionProductPricer.theta(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the theta of the FX barrier option product.
double	BlackFxVanillaOptionProductPricer.theta(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the Black theta of the foreign exchange vanilla option product.
double	BlackFxSingleBarrierOptionProductPricer.vega(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the vega of the FX barrier option product.
double	BlackFxVanillaOptionProductPricer.vega(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities) Calculates the vega of the foreign exchange vanilla option product.