| Package | Description |
|---|---|
| com.opengamma.strata.pricer.fxopt |
Calculators for FX options.
|
| Modifier and Type | Interface and Description |
|---|---|
interface |
BlackFxOptionVolatilities
Volatility for FX option in the log-normal or Black model.
|
| 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.
|
| Modifier and Type | Method and Description |
|---|---|
FxOptionVolatilities |
FxOptionVolatilities.withParameter(int parameterIndex,
double newValue) |
FxOptionVolatilities |
FxOptionVolatilities.withPerturbation(ParameterPerturbation perturbation) |
| Modifier and Type | Method and Description |
|---|---|
MarketDataName<FxOptionVolatilities> |
FxOptionVolatilitiesId.getMarketDataName() |
Class<FxOptionVolatilities> |
FxOptionVolatilitiesName.getMarketDataType() |
Class<FxOptionVolatilities> |
FxOptionVolatilitiesId.getMarketDataType() |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.