| Package | Description |
|---|---|
| com.opengamma.strata.pricer.fxopt |
Calculators for FX options.
|
| Modifier and Type | Method and Description |
|---|---|
FxOptionVolatilitiesName |
FxOptionVolatilitiesId.getName()
Gets the name of the volatilities.
|
FxOptionVolatilitiesName |
FxOptionVolatilities.getName()
Gets the name of these volatilities.
|
FxOptionVolatilitiesName |
BlackFxOptionSurfaceVolatilities.getName()
Gets the name of the volatilities.
|
FxOptionVolatilitiesName |
BlackFxOptionSmileVolatilities.getName()
Gets the name of the volatilities.
|
FxOptionVolatilitiesName |
BlackFxOptionFlatVolatilities.getName() |
FxOptionVolatilitiesName |
FxOptionSensitivity.getVolatilitiesName()
Gets the name of the volatilities.
|
static FxOptionVolatilitiesName |
FxOptionVolatilitiesName.of(String name)
Obtains an instance from the specified name.
|
| Modifier and Type | Method and Description |
|---|---|
org.joda.beans.MetaProperty<FxOptionVolatilitiesName> |
BlackFxOptionSurfaceVolatilities.Meta.name()
The meta-property for the
name property. |
org.joda.beans.MetaProperty<FxOptionVolatilitiesName> |
BlackFxOptionSmileVolatilities.Meta.name()
The meta-property for the
name property. |
org.joda.beans.MetaProperty<FxOptionVolatilitiesName> |
FxOptionSensitivity.Meta.volatilitiesName()
The meta-property for the
volatilitiesName property. |
| Modifier and Type | Method and Description |
|---|---|
BlackFxOptionSurfaceVolatilities.Builder |
BlackFxOptionSurfaceVolatilities.Builder.name(FxOptionVolatilitiesName name)
Sets the name of the volatilities.
|
BlackFxOptionSmileVolatilities.Builder |
BlackFxOptionSmileVolatilities.Builder.name(FxOptionVolatilitiesName name)
Sets the name of the volatilities.
|
static FxOptionVolatilitiesId |
FxOptionVolatilitiesId.of(FxOptionVolatilitiesName name)
Obtains an identifier used to find FX option volatilities.
|
static FxOptionSensitivity |
FxOptionSensitivity.of(FxOptionVolatilitiesName volatilitiesName,
CurrencyPair currencyPair,
double expiry,
double strike,
double forward,
Currency sensitivityCurrency,
double sensitivity)
Obtains an instance, specifying sensitivity currency.
|
static BlackFxOptionSmileVolatilities |
BlackFxOptionSmileVolatilities.of(FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationTime,
SmileDeltaTermStructure smile)
Obtains an instance based on a smile.
|
static BlackFxOptionSurfaceVolatilities |
BlackFxOptionSurfaceVolatilities.of(FxOptionVolatilitiesName name,
CurrencyPair currencyPair,
ZonedDateTime valuationDateTime,
Surface surface)
Obtains an instance from the implied volatility surface and the date-time for which it is valid.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.