Uses of Class
com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData

Packages that use RecombiningTrinomialTreeData

Package	Description
com.opengamma.strata.pricer.fxopt	Calculators for FX options.
com.opengamma.strata.pricer.impl.tree
com.opengamma.strata.pricer.impl.volatility.local

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

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

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.
static RecombiningTrinomialTreeData	RecombiningTrinomialTreeData.of(DoubleMatrix stateValue, List<DoubleMatrix> transitionProbability, DoubleArray discountFactor, DoubleArray time) Creates an instance.

Methods in com.opengamma.strata.pricer.fxopt that return types with arguments of type RecombiningTrinomialTreeData

Modifier and Type	Method and Description
Class<? extends RecombiningTrinomialTreeData>	RecombiningTrinomialTreeData.Meta.beanType()
org.joda.beans.BeanBuilder<? extends RecombiningTrinomialTreeData>	RecombiningTrinomialTreeData.Meta.builder()

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

Modifier and Type	Method and Description
MultiCurrencyAmount	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData) Calculates the currency exposure 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.
CurrencyParameterSensitivities	ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData baseTreeData) Calculates the present value sensitivity 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.

Uses of RecombiningTrinomialTreeData in com.opengamma.strata.pricer.impl.tree

Methods in com.opengamma.strata.pricer.impl.tree with parameters of type RecombiningTrinomialTreeData

Modifier and Type	Method and Description
double	TrinomialTree.optionPrice(OptionFunction function, RecombiningTrinomialTreeData data) Price an option under the specified trinomial tree gird.
ValueDerivatives	TrinomialTree.optionPriceAdjoint(OptionFunction function, RecombiningTrinomialTreeData data) Compute option price and delta under the specified trinomial tree gird.

Uses of RecombiningTrinomialTreeData in com.opengamma.strata.pricer.impl.volatility.local

Methods in com.opengamma.strata.pricer.impl.volatility.local that return RecombiningTrinomialTreeData

Modifier and Type	Method and Description
RecombiningTrinomialTreeData	ImpliedTrinomialTreeLocalVolatilityCalculator.calibrateImpliedVolatility(Function<DoublesPair,Double> impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate) Calibrate trinomial tree to implied volatility surface.